Prudential Regulation Authority Rulebook

1.

Unencumbered loans secured by mortgages on residential property with a residual maturity of one year or more, provided that those loans are assigned a risk weight of 35% or less in accordance with Chapter 2 of Title II of Part Three of the CRR, shall be subject to a 65% required stable funding factor.

2.

Institutions shall apply a 65% required stable funding factor to the most senior tranche or, if the institution has retained all tranches, all tranches of unencumbered securitisations:

1. (a) with a residual maturity of one year or more;
2. (b) where the underlying exposures were originated by:
1. (i) the institution;
2. (ii) a subsidiary of the institution; or
3. (iii) a third party provided the exposures were purchased by any of the entities in paragraph (2)(b)(i) to (ii) of this Article prior to the securitisation; and
3. (c) whose underlying exposures would be subject to paragraph 1 of this Article had the underlying exposures not been securitised.