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:
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| 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% |
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| 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 A10.2.7 or Rule A10.2.8 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 |
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| 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 |
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| 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 |