/liquidity-nsfr

name: liquidity-nsfr
description: >
  Activate for: NSFR, net stable funding ratio, available stable funding,
  required stable funding, ASF, RSF, structural liquidity, funding mismatch,
  term funding, long-term funding, stable funding, 1-year funding.
  NOT for: short-term liquidity stress (use liquidity-lcr), intraday liquidity
  monitoring, interest rate risk in the banking book (IRRBB), market risk capital.
metadata:
  version: "1.0"
  author: "Panaversity — The AI Agent Factory"
  standard: "Basel III Net Stable Funding Ratio (BCBS 2014)"

NSFR FORMULA

NSFR = Available Stable Funding (ASF) / Required Stable Funding (RSF) >= 100%

Purpose: Ensure banks maintain a stable funding profile over a 1-year time horizon, reducing dependence on short-term wholesale funding that evaporated in 2008.

AVAILABLE STABLE FUNDING (ASF) — FACTOR TABLE

| Funding Category | ASF Factor | | ---------------------------------------------------------------------------------- | ---------- | | Tier 1 and Tier 2 capital instruments | 100% | | Other capital instruments with residual maturity >= 1 year | 100% | | Stable retail deposits (insured) with maturity < 1 year | 95% | | Less stable retail deposits with maturity < 1 year | 90% | | Wholesale funding from non-financial corporates >= 1 year | 50% | | Wholesale funding from non-financial corporates < 1 year | 50% | | Operational deposits (wholesale) | 50% | | Debt securities with residual maturity >= 1 year issued to retail | 100% | | Debt securities with residual maturity >= 1 year (non-retail) | 100% | | Other wholesale funding with residual maturity >= 6 months but < 1 year | 30% | | Other wholesale funding with residual maturity < 6 months (financial institutions) | 0% | | Other wholesale funding with residual maturity < 6 months (non-financial) | 50% | | All other liabilities (derivatives, deferred tax, etc.) | 0% |

ASF = Sum (Funding amount x ASF factor)

REQUIRED STABLE FUNDING (RSF) — FACTOR TABLE

| Asset Category | RSF Factor | | -------------------------------------------------------------------- | ------------------------ | | Cash and unencumbered Level 1 HQLA | 0% | | Unencumbered Level 2A HQLA | 15% | | Unencumbered Level 2B HQLA (RMBS) | 25% | | Unencumbered Level 2B HQLA (other) | 50% | | Unencumbered loans to financial institutions < 6 months | 10% | | Unencumbered loans to financial institutions >= 6 months, < 1 year | 15% | | Unencumbered performing loans to non-financial corporates < 1 year | 50% | | Unencumbered performing loans to retail/SME < 1 year | 50% | | Unencumbered performing residential mortgages >= 1 year, RW <= 35% | 65% | | Unencumbered performing loans to non-financial corporates >= 1 year | 65% | | Unencumbered performing loans to retail/SME >= 1 year, not RW <= 35% | 85% | | Non-HQLA securities | 50% | | Non-performing loans (any maturity) | 100% (net of provisions) | | Fixed assets (PP&E, goodwill, intangibles) | 100% | | Off-balance-sheet: undrawn committed facilities | 5% | | Derivatives: net positive fair value | 100% | | All other assets | 100% |

RSF = Sum (Asset / off-balance-sheet amount x RSF factor)

NSFR WORKED EXAMPLE

| Item | Amount (M) | Factor | Weighted (M) | | ---------------------------------------- | ---------- | ------ | ------------ | | **ASF Side** | | | | | CET1 + AT1 + T2 capital | 5,000 | 100% | 5,000 | | Stable retail deposits | 20,000 | 95% | 19,000 | | Less stable retail deposits | 8,000 | 90% | 7,200 | | Wholesale NFC < 1 year | 6,000 | 50% | 3,000 | | Wholesale FI < 6 months | 4,000 | 0% | 0 | | Senior debt >= 1 year | 3,000 | 100% | 3,000 | | **Total ASF** | | | **37,200** | | **RSF Side** | | | | | Cash + central bank reserves | 6,000 | 0% | 0 | | Level 2A sovereign bonds | 2,000 | 15% | 300 | | Performing mortgages >= 1 yr (RW <= 35%) | 15,000 | 65% | 9,750 | | Performing corporate loans >= 1 yr | 10,000 | 65% | 6,500 | | Performing retail/SME >= 1 yr | 5,000 | 85% | 4,250 | | Non-performing loans (net) | 1,000 | 100% | 1,000 | | Fixed assets | 500 | 100% | 500 | | Off-BS undrawn commitments | 8,000 | 5% | 400 |