Prudential Regulation Authority Rulebook

Assets that are eligible as level 2B assets pursuant to Chapter 2 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook, and shares or units in CIUs pursuant to that Chapter shall be subject to a 55% required stable funding factor, regardless of whether they comply with the operational requirements and with the requirements on the composition of the liquidity buffer as set out in that Chapter, provided that they are encumbered less than one year. For these purposes Article 12(1)(c)(i) to (iii) of Chapter 2 of the Liquidity Coverage Ratio (CRR) Part shall be replaced with the following eligibility criteria:

1. (a) the shares form part of the Financial Times Stock Exchange 100 (FTSE 100) in the United Kingdom or a major stock index of a third country composed of leading companies in the relevant jurisdiction;
2. (b) the shares are denominated in the domestic currency of the institution’s home jurisdiction or in the currency of the jurisdiction where the institution’s liquidity risk is taken; and
3. (c) the shares have a proven record as a reliable source of liquidity in the markets (through repo or outright sale) even during stressed market conditions, i.e.:
1. (i) a maximum decline of price over a 30-day period not exceeding 40%; or
2. (ii) an increase in haircut over a 30-day period not exceeding 40 percentage points,
4. during a relevant period of significant liquidity stress.