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PRU A10.4.8

An Authorised Person must calculate its Available Stable Funding by:

(a) assigning each capital instrument and liability to one of the categories in the following table;
(b) multiplying the Carrying Value of each capital instrument and liability by the ASF factor associated with that category; and
(c) summing those weighted values.
 
ASF factor ASF category
100% •  amounts from Rule A10.4.2
•  amounts from Rule A10.4.3
•  the total amount of secured and unsecured borrowings and liabilities (including term deposits) with effective residual maturities of one year or more, excluding all cashflows falling below the one-year horizon that are associated with such borrowings and liabilities
95% • stable
o demand Deposits; and
o term Deposits and PSIAus with residual maturities of less than one year from retail and small business customers
90% • less stable%
o demand Deposits; and
o term Deposits and PSIAus with residual maturities of less than one year from retail and small business customers
50%

• funding (secured and unsecured) with a residual maturity of less than one year provided by non-financial corporate customers

• operational deposits generated by clearing, custody and cash management activities

• funding with residual maturity of less than one year from sovereigns, public sector entities (PSEs), and multilateral and national development banks

• other funding (secured and unsecured) not included in the categories above with residual maturity between six months to less than one year, including funding from central banks and financial institutions

0%

• all other liabilities and equity categories not included in the above categories, including other funding with residual maturity of less than six months from central banks and financial institutions

• other liabilities without a stated maturity, and this category may include short positions and open maturity positions

o Two exceptions may be recognised for liabilities without a stated maturity:

◘ deferred tax liabilities, which should be treated according to the nearest possible date on which such liabilities could be realised; and

◘ minority interest, which should be treated according to the term of the instrument, usually in perpetuity

o These liabilities would then be assigned either a 100% ASF factor if the effective maturity is one year or greater, or 50%, if the effective maturity is between six months and less than one year

• NSFR derivative liabilities as calculated according to Rule A10.4.4 net of NSFR derivative assets as calculated according to Rule A10.4.11, if NSFR derivative liabilities are greater than NSFR derivative assets

• Net NSFR Shari’a compliant hedging liabilities (where NSFR Shari’a compliant hedging liabilities are greater than NSFR Shari’a compliant hedging assets)

• “trade date” payables arising from purchases 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