Versions

 

PRU A10.4.16

Subject to A10.4.17, an Authorised Person must calculate the Required Stable Funding that it needs for its assets by:

(a) assigning each asset to one of the RSF asset categories in the following table;
(b) multiplying the Carrying Value of each asset by the RSF factor associated with that asset category; and
(c) summing those weighted values.
 
RSF factor RSF asset category
0% •  coins and banknotes immediately available to meet obligations
•  all central bank reserves (including required reserves and excess reserves)
•  all claims on central banks with residual maturities of less than six months
•  “trade date” receivables arising from sales of financial instruments, foreign currencies and commodities that:
o  are expected to settle within the standard settlement cycle or period that is customary for the relevant exchange or type of transaction; or
o  have failed to, but are still expected to, settle
5% •  unencumbered Level 1 HQLA as defined in Rule A10.2.6(2), excluding those assets receiving an RSF factor of 0% as above
10% •  unencumbered loans to financial institutions with residual maturities of less than six months, where the loan is secured against Level 1 HQLA as defined in Rule A10.2.7(2), and where the bank has the ability to freely rehypothecate the received collateral for the life of the loan
15% •  unencumbered Level 2A assets as defined in Rule A10.2.8(2)
•  all other unencumbered loans to financial institutions with residual maturities of less than six months not receiving an RSF factor of 10%
50% • unencumbered Level 2B assets as defined and subject to the conditions set forth in Rule A10.2.8
• any HQLA as defined in Rule A10.2.6, Rule 10.2.7 or Rule 10.2.8 that are encumbered for a period of between six months and less than one year
• all loans to financial institutions and central banks with residual maturity of between six months and less than one year
• operational deposits held at other financial institutions for operational purposes that are subject to the 50% ASF factor
• all other non-HQLA not included in the above categories that have a residual maturity of less than one year, including loans to non-financial corporate clients, loans to retail customers (i.e. natural persons) and small business customers, and loans to sovereigns and PSEs
65% • unencumbered residential mortgages with a residual maturity of one year or more that would qualify for a 50% or lower risk weight under Rule 4.12.17
• other unencumbered loans not included in the above categories, excluding loans to financial institutions, with a residual maturity of one year or more that would qualify for a 50% or lower risk weight under Section 4.12
85% • cash, securities or other assets posted as initial margin for Derivative Contracts or Shari’a compliant hedging contracts and cash or other assets provided to contribute to the default fund of a central counterparty (CCP). Where securities or other assets posted as initial margin for Derivative Contracts would otherwise receive a higher RSF factor, they must retain that higher factor
• other unencumbered performing loans19 that do not qualify for a 50% or lower risk weight under Section 4.12 and have residual maturities of one year or more, excluding loans to financial institutions
• unencumbered securities with a remaining maturity of one year or more and exchange-traded equities, that are not in default and do not qualify as HQLA according to the LCR
• physical traded commodities, including gold