Net Stable Funding Ratio

The Net Stable Funding Ratio ( NSFR, German and structural liquidity ratio ) is established under Basel III ratio that is used to optimize the structural liquidity of credit institutions, with a time horizon of one year is considered. The net stable funding ratio is defined as the ratio between the available stable refinanced amount and the amount for which a stable funding is required:

This is the amount of available required exceed, be the numerator of the above fracture thus larger than the denominator. The available stable funding is the portion of equity and debt, is to be expected from that that he is a reliable source of funds beyond the time horizon of one year under prolonged stress conditions. The amount required is determined by the value of the assets held and off-balance sheet contingent liabilities is aggregated under the weight of a liquidity characteristics reflecting factor.

For this standard, the so-called " observation phase " in 2011 has begun. During this phase, changes to the process are given where possible. On January 1, 2018, this standard will become mandatory.

The objective of this Standard is to promote medium-and long -term funding of assets and other business activities of banks. This standard is designed to complement the liquidity coverage ratio (LCR, also called " liquidity coverage ratio "), which refers to the short-term liquidity with a time horizon of 30 days. In this context, the net stable funding ratio will also counteract incentives to cover the stock required for the LCR standard liquid assets with short-term funds that lie just outside the 30-day time horizon.

Available stable funding

The available stable funding (English Available Stable Funding, ASF ) is calculated by dividing the total amount of various categories of liquid assets of the bank are aggregated. Here, the amount of some categories will be credited a pro rata basis, for this a so-called ASF factor is defined, which defines the maximum allowable share.

The following funds are counted as stable funding:

  • Equity
  • Preference shares with a maturity of one year or
  • Liabilities with effective maturities of at least one year
  • Non-maturity deposits or time deposits with a remaining maturity of less than one year, one of which can be expected to remain with the bank for a long time. ASF a factor of up to 90 % may in this case be scheduled for stable deposits, for less stable now 80 %
  • From major customers provided funds with a maturity of less than one year of which may be expected to remain with the bank for a long time. For this purpose an ASF factor of up to 50 % may be recognized

In this investigation an extended borrowing of credit facility with the central bank outside the normal open market operations is not to be considered in order to avoid a dependence on the central bank as a source of funding. A stable funding should also be provided under exceptional conditions, in that calls the standard consideration of a stress scenario in which a credit institution is faced with one or more of the following problems, which is known to customers:

  • Significant decline in profitability or solvency
  • Potential downgrade of the debtor, lending or deposit ratings
  • Significant event that the borrower's financial institution into question

Required stable funding

To calculate the amount of required stable funding (English required stable funding, RSF ) are valued all assets of a credit institution, also off-balance sheet items as well as other business activities. This rates are formed and assigned to these so-called RSF factors which express the proportion with which the amounts in this category are considered. The RSF factors assigned to the various categories of assets that correspond approximately to the proportion of a particular asset, which can not be made ​​liquid by the sale or use as collateral in a secured borrowing on an extended basis within one year. As well as off-balance sheet positions can trigger substantial outflows in times of crisis, RSF factors are determined for various off-balance sheet transactions.

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