Prudential Regulation Authority Rulebook

1.

The following assets and off-balance sheet items shall be subject to a 5% required stable funding factor:

1. (a) unencumbered shares or units in CIUs that are eligible for a 5% haircut for the calculation of the liquidity coverage ratio in accordance with Chapter 2 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook, 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;
2. (b) monies due from securities financing transactions with financial customers, where those transactions have a residual maturity of less than six months, other than those referred to in point (g) of Article 428r(1);
3. (c) the undrawn portion of committed credit and liquidity facilities pursuant to Chapter 2 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook;
4. (d) trade finance off-balance sheet related products as referred to in Annex I of the CRR with a residual maturity of one year or more.

Institutions shall take the monies due referred to in point (b) of the first subparagraph of this paragraph into account on a net basis where Article 428e applies.

2.

Subject to Article 428da, for all netting sets of derivative contracts, institutions shall apply a 5% required stable funding factor to the absolute fair value of those netting sets of derivative contracts, gross of any collateral posted, where those netting sets have a negative fair value. For the purposes of this paragraph, institutions shall determine the fair value as gross of any collateral posted or settlement payments and receipts related to market valuation changes of such contracts.