Calculate Net Stable Funding Ratio
Calculates the Basel III Net Stable Funding Ratio (NSFR), which measures the stability of a bank’s funding structure over a one-year horizon. Formula: NSFR = Available Stable Funding (ASF) / Required Stable Funding (RSF). ASF comes from stable funding sources (capital 100%, stable retail deposits 95%, less stable retail 90%, wholesale 50%). RSF represents the stability required for assets (cash 0%, Level 1 securities 5%, retail loans 85%, corporate loans 65%, other assets 100%). Minimum regulatory requirement is 100%. Use this for annual funding planning, structural liquidity management, and regulatory reporting. [Tier: ENTERPRISE, Credits: 10]
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Body
Regulatory capital (Tier 1 + Tier 2) - 100% ASF weight
100000000
Stable retail deposits (insured, transactional) - 95% ASF weight
400000000
Less stable retail deposits - 90% ASF weight
200000000
Wholesale funding with maturity >= 1 year - 50% ASF weight
150000000
Cash and central bank reserves - 0% RSF weight
50000000
Level 1 HQLA securities (sovereigns, central bank) - 5% RSF weight
100000000
Retail loans and mortgages - 85% RSF weight
300000000
Corporate loans and other performing loans - 65% RSF weight
250000000
Other assets (NPLs, fixed assets, deferred tax) - 100% RSF weight
50000000