| 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 |
| Other assets | 2,000 | 100% | 2,000 |
| Total RSF | | | 24,700 |
| NSFR | | | 150.6% |
In this example NSFR = 37,200 / 24,700 = 150.6% — well above the 100% minimum.
NSFR INTERPRETATION
NSFR > 100%: Stable funding surplus. Bank can absorb funding stress for > 1 year.
NSFR 100–105%: Meeting minimum but limited buffer. Review funding strategy.
NSFR < 100%: Regulatory breach. Immediate remediation required.
Management targets: Most major banks target 105–115% NSFR.
NSFR vs. LCR — KEY DISTINCTION
LCR: Measures ability to survive a 30-day acute stress (short-term liquidity)
NSFR: Measures structural funding stability over 1 year (medium-term liquidity)
A bank can pass LCR but fail NSFR if it has short-term HQLA but mismatched
long-term funding (long assets, short liabilities structurally).
Both metrics are required simultaneously — they address different risk horizons.
ENCUMBERED ASSETS
Encumbered assets (pledged as collateral, subject to repo, in securitisation pool)
receive a RSF factor based on the remaining term of the encumbrance:
Encumbered for >= 1 year: 100% RSF
Encumbered for 6 months–1 year: the RSF factor of unencumbered equivalent
Encumbered for < 6 months: the RSF factor of unencumbered equivalent
COMMON NSFR MANAGEMENT ACTIONS
When NSFR is under pressure, banks typically consider:
- Issue longer-term debt (converts 0% ASF short-term into 100% ASF long-term)
- Grow retail deposit base (95% ASF factor vs 0% for short-term wholesale)
- Reduce long-dated illiquid assets (lowers RSF requirement)
- Securitise mortgage or loan portfolios (removes assets from balance sheet)
- Increase central bank reserve holdings (0% RSF, funded by term liabilities)
OUTPUT FORMAT — NSFR REPORT
NSFR CALCULATION REPORT
As at: [YYYY-MM-DD]
Entity: [Bank / Group name]
Currency: [Reporting currency]
AVAILABLE STABLE FUNDING (ASF)
Capital instruments: [Amount] x 100% = [Weighted]
Stable retail deposits: [Amount] x 95% = [Weighted]
Less stable retail deposits: [Amount] x 90% = [Weighted]
Wholesale NFC >= 1 year: [Amount] x 50% = [Weighted]
Other wholesale >= 6M < 1 year: [Amount] x 30% = [Weighted]
Short-term wholesale (FI): [Amount] x 0% = [Weighted]
TOTAL ASF: [Total]
REQUIRED STABLE FUNDING (RSF)
Cash and Level 1 HQLA: [Amount] x 0% = [Weighted]
Level 2 HQLA: [Amount] x 15% = [Weighted]
Performing mortgages: [Amount] x 65% = [Weighted]
Performing corporate loans: [Amount] x 65% = [Weighted]
Non-performing loans: [Amount] x 100% = [Weighted]
Off-balance-sheet commitments: [Amount] x 5% = [Weighted]
TOTAL RSF: [Total]
NSFR: [ASF / RSF] = [Ratio]%
Regulatory Minimum: 100%
Management Target: [Target]%
Buffer over Minimum: [Ratio - 100]%
NEVER DO THESE
- NEVER confuse NSFR with LCR — NSFR addresses 1-year structural funding, LCR addresses 30-day acute stress; using LCR factors for NSFR calculation produces materially wrong results
- NEVER assign a non-zero ASF factor to short-term wholesale funding from financial institutions (< 6 months) — the factor is 0% because this funding is assumed to disappear entirely in stress
- NEVER ignore the RSF charge on off-balance-sheet committed facilities — the 5% RSF factor applies to the full undrawn amount and is material for banks with large commitment books
- NEVER treat encumbered assets the same as unencumbered — encumbered assets receive 100% RSF if the encumbrance exceeds 1 year, regardless of the underlying asset quality
ALL OUTPUTS REQUIRE REVIEW BY A QUALIFIED PROFESSIONAL BEFORE USE IN REGULATORY FILINGS OR BUSINESS DECISIONS.
