Prudential Regulation Authority Rulebook

1.

The following assets shall be subject to a 0% required stable funding factor:

1. (a) unencumbered assets that are eligible as level 1 high quality liquid assets pursuant to Chapter 2 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook, excluding extremely high quality covered bonds specified in that Chapter, regardless of whether they comply with the operational requirements as set out in that Chapter;
2. (b) all reserves held by the institution in the Bank of England or the central bank of a third country, including required reserves and excess reserves;
3. (c) all claims on the Bank of England or the central bank of a third country that have a residual maturity of less than six months;
4. (d) assets that are categorised as being interdependent with liabilities in accordance with Article 428f.

2.

By way of derogation from point (b) of paragraph 1, institutions shall apply a higher required stable funding factor to required reserves which shall be:

1. (a) the required stable funding factor for required reserves that is prescribed by the national law of the third country in which the relevant central bank is located; or
2. (b) if there is no national law prescribing the required stable funding for required reserves, an appropriate required stable funding factor, taking into account, in particular, the extent to which reserve requirements exist over a one-year horizon and therefore require associated stable funding.