Prudential Regulation Authority Rulebook

The following assets shall be subject to a 50% required stable funding factor:

1. (a) unencumbered assets that are eligible as level 2B assets pursuant to Chapter 2 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook, excluding level 2B securitisations and high quality covered bonds pursuant to that Chapter, 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. 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. (i) 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. (ii) 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. (iii) 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. — a maximum decline of price over a 30-day period not exceeding 40%; or
2. — an increase in haircut over a 30-day period not exceeding 40 percentage points,
3. during a relevant period of significant liquidity stress;
2. (b) deposits held by the institution in another financial institution that fulfil the criteria for operational deposits as set out in Chapter 2 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook;
3. (c) monies due from transactions with a residual maturity of less than one year with:
1. (i) the central government of the United Kingdom or of a third country;
2. (ii) regional governments or local authorities in a third country;
3. (iii) public sector entities of the United Kingdom or of a third country;
4. (iv multilateral development banks referred to in Article 117(2) and international organisations referred to in Article 118;
5. (v) non-financial corporates, retail customers and SMEs, unless otherwise specified in Article 428aa(c);
6. (vi) credit unions authorised by the competent authority, personal investment companies and clients that are deposit brokers to the extent that those assets do not fall under point (b) of this paragraph;
4. (d) monies due from transactions with a residual maturity of at least six months but less than one year with:
1. (i) the Bank of England or the central bank of a third country;
2. (iii) financial customers;
5. (e) trade finance on-balance sheet related products with a residual maturity of at least six months but less than one year;
6. (f) assets encumbered for a residual maturity of at least six months but less than one year, except where those assets would be assigned a higher required stable funding factor in accordance with Articles 428ae to 428ah if they were held unencumbered, in which case the higher required stable funding factor that would apply to those assets if they were held unencumbered shall apply;
7. (g) any other assets with a residual maturity of less than one year, unless otherwise specified in Articles 428r to 428ac.