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Capital Requirements Regulation (CRR)
Article 428az

Article 428az - 100 % required stable funding factor

Status
In force
Selected consolidated version from
30/09/2021
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Article 428az

100 % required stable funding factor

1.  

The following assets shall be subject to a 100 % required stable funding factor:

(a) 

any assets encumbered for a residual maturity of one year or more;

(b) 

any assets other than those referred to in Articles 428as to 428ay, including loans to financial customers having a residual contractual maturity of one year or more, non-performing exposures, items deducted from own funds, fixed assets, non-exchange traded equities, retained interest, insurance assets, defaulted securities.

2.  
Institutions shall apply a 100 % required stable funding factor to the difference, if positive, between the sum of fair values across all netting sets with positive fair value and the sum of fair values across all netting sets with negative fair value calculated in accordance with Article 428d.

The following rules shall apply to the calculation referred to in the first subparagraph:

(a) 

variation margin received by institutions from their counterparties shall be deducted from the fair value of a netting set with positive fair value where the collateral received as variation margin qualifies as a level 1 asset pursuant to the delegated act referred to in Article 460(1), excluding extremely high quality covered bonds specified in that delegated act, and where institutions are legally entitled and operationally able to reuse that collateral;

(b) 

all variation margin posted by institutions with their counterparties shall be deducted from the fair value of a netting set with negative fair value.



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