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) unencumbered shares or units in CIUs that are eligible for a 0% haircut for the calculation of the liquidity coverage ratio pursuant to 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 set out in that Chapter;
3. (c) all reserves held by the institution with the Bank of England or the central bank of a third country, including required reserves and excess reserves;
4. (d) 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;
5. (e) trade date receivables arising from sales of financial instruments, foreign currencies or commodities that are expected to settle within the standard settlement cycle or period that is customary for the relevant exchange or type of transaction, or that have failed to settle but are nonetheless expected to settle;
6. (f) assets that are categorised as being interdependent with liabilities in accordance with Article 428f;
7. (g) monies due from securities financing transactions with financial customers, where those transactions have a residual maturity of less than six months, where those monies due are collateralised by assets that qualify as level 1 assets pursuant to Chapter 2 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook, excluding extremely high quality covered bonds specified therein, and where the institution would be legally entitled and operationally able to reuse those assets for the duration of the transaction.

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

2.

By way of derogation from point (c) 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.