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Capital Requirements Regulation (CRR)
Article 428s

Article 428s - 5 % required stable funding factor

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

5 % required stable funding factor

1.  

The following assets and off-balance-sheet items shall be subject to a 5 % required stable funding factor:

(a) 

unencumbered shares or units in CIUs that are eligible for a 5 % haircut for the calculation of the liquidity coverage ratio in accordance with the delegated act referred to in Article 460(1), regardless of whether they comply with the operational requirements and with the requirements on the composition of the liquidity buffer as set out in that delegated act;

(b) 

monies due from securities financing transactions with financial customers, where those transactions have a residual maturity of less than six months, other than those referred to in point (g) of Article 428r(1);

(c) 

the undrawn portion of committed credit and liquidity facilities pursuant to the delegated act referred to in Article 460(1);

(d) 

trade finance off-balance-sheet related products as referred to in Annex I with a residual maturity of less than six months.

Institutions shall take the monies due referred to in point (b) of the first subparagraph of this paragraph into account on a net basis where Article 428e applies.

2.  
For all netting sets of derivative contracts, institutions shall apply a 5 % required stable funding factor to the absolute fair value of those netting sets of derivative contracts, gross of any collateral posted, where those netting sets have a negative fair value. For the purposes of this paragraph, institutions shall determine the fair value as gross of any collateral posted or settlement payments and receipts related to market valuation changes of such contracts.

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