PRU A10.4.19
An Authorised Person must calculate the Required Stable Funding that it needs for its off-balance sheet items, including potential liquidity exposures, by:
(a) assigning each off-balance sheet items to one of the RSF off-balance categories in the following table;
(b) multiplying the value of each of those items by the RSF factor associated with that off-balance sheet category; and
(c) summing those weighted values.
| RSF factor | RSF off-balance sheet category | |
| 5% of the currently undrawn portion | • Irrevocable and conditionally revocable credit and liquidity facilities to any client | |
| National discretion | 5% | • Other contingent funding obligations, including products and instruments such as: |
| 3% | o unconditionally revocable credit and liquidity facilities | |
| 10% | o trade finance-related obligations (including guarantees and letters of credit) | |
| 100% |
o non-contractual obligations such as: • potential requests for debt repurchases of the bank’s own debt or that of related conduits, securities investment vehicles and other such financing facilities • structured products where customers anticipate ready marketability, such as adjustable rate notes and variable rate demand notes (VRDNs) • managed funds that are marketed with the objective of maintaining a stable value |
|