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.
1---2name: liquidity-nsfr3description: 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.4---56## NSFR FORMULA78NSFR = Available Stable Funding (ASF) / Required Stable Funding (RSF) >= 100%910Purpose: Ensure banks maintain a stable funding profile over a 1-year time horizon,11reducing dependence on short-term wholesale funding that evaporated in 2008.1213## AVAILABLE STABLE FUNDING (ASF) — FACTOR TABLE1415| Funding Category | ASF Factor |16| ---------------------------------------------------------------------------------- | ---------- |17| Tier 1 and Tier 2 capital instruments | 100% |18| Other capital instruments with residual maturity >= 1 year | 100% |19| Stable retail deposits (insured) with maturity < 1 year | 95% |20| Less stable retail deposits with maturity < 1 year | 90% |21| Wholesale funding from non-financial corporates >= 1 year | 50% |22| Wholesale funding from non-financial corporates < 1 year | 50% |23| Operational deposits (wholesale) | 50% |24| Debt securities with residual maturity >= 1 year issued to retail | 100% |25| Debt securities with residual maturity >= 1 year (non-retail) | 100% |26| Other wholesale funding with residual maturity >= 6 months but < 1 year | 30% |27| Other wholesale funding with residual maturity < 6 months (financial institutions) | 0% |28| Other wholesale funding with residual maturity < 6 months (non-financial) | 50% |29| All other liabilities (derivatives, deferred tax, etc.) | 0% |3031ASF = Sum (Funding amount x ASF factor)3233## REQUIRED STABLE FUNDING (RSF) — FACTOR TABLE3435| Asset Category | RSF Factor |36| -------------------------------------------------------------------- | ------------------------ |37| Cash and unencumbered Level 1 HQLA | 0% |38| Unencumbered Level 2A HQLA | 15% |39| Unencumbered Level 2B HQLA (RMBS) | 25% |40| Unencumbered Level 2B HQLA (other) | 50% |41| Unencumbered loans to financial institutions < 6 months | 10% |42| Unencumbered loans to financial institutions >= 6 months, < 1 year | 15% |43| Unencumbered performing loans to non-financial corporates < 1 year | 50% |44| Unencumbered performing loans to retail/SME < 1 year | 50% |45| Unencumbered performing residential mortgages >= 1 year, RW <= 35% | 65% |46| Unencumbered performing loans to non-financial corporates >= 1 year | 65% |47| Unencumbered performing loans to retail/SME >= 1 year, not RW <= 35% | 85% |48| Non-HQLA securities | 50% |49| Non-performing loans (any maturity) | 100% (net of provisions) |50| Fixed assets (PP&E, goodwill, intangibles) | 100% |51| Off-balance-sheet: undrawn committed facilities | 5% |52| Derivatives: net positive fair value | 100% |53| All other assets | 100% |5455RSF = Sum (Asset / off-balance-sheet amount x RSF factor)5657## NSFR WORKED EXAMPLE5859| Item | Amount (M) | Factor | Weighted (M) |60| ---------------------------------------- | ---------- | ------ | ------------ |61| **ASF Side** | | | |62| CET1 + AT1 + T2 capital | 5,000 | 100% | 5,000 |63| Stable retail deposits | 20,000 | 95% | 19,000 |64| Less stable retail deposits | 8,000 | 90% | 7,200 |65| Wholesale NFC < 1 year | 6,000 | 50% | 3,000 |66| Wholesale FI < 6 months | 4,000 | 0% | 0 |67| Senior debt >= 1 year | 3,000 | 100% | 3,000 |68| **Total ASF** | | | **37,200** |69| **RSF Side** | | | |70| Cash + central bank reserves | 6,000 | 0% | 0 |71| Level 2A sovereign bonds | 2,000 | 15% | 300 |72| Performing mortgages >= 1 yr (RW <= 35%) | 15,000 | 65% | 9,750 |73| Performing corporate loans >= 1 yr | 10,000 | 65% | 6,500 |74| Performing retail/SME >= 1 yr | 5,000 | 85% | 4,250 |75| Non-performing loans (net) | 1,000 | 100% | 1,000 |76| Fixed assets | 500 | 100% | 500 |77| Off-BS undrawn commitments | 8,000 | 5% | 400 |78| Other assets | 2,000 | 100% | 2,000 |79| **Total RSF** | | | **24,700** |80| **NSFR** | | | **150.6%** |8182In this example NSFR = 37,200 / 24,700 = 150.6% — well above the 100% minimum.8384## NSFR INTERPRETATION8586NSFR > 100%: Stable funding surplus. Bank can absorb funding stress for > 1 year.87NSFR 100–105%: Meeting minimum but limited buffer. Review funding strategy.88NSFR < 100%: Regulatory breach. Immediate remediation required.8990Management targets: Most major banks target 105–115% NSFR.9192## NSFR vs. LCR — KEY DISTINCTION9394LCR: Measures ability to survive a 30-day acute stress (short-term liquidity)95NSFR: Measures structural funding stability over 1 year (medium-term liquidity)96A bank can pass LCR but fail NSFR if it has short-term HQLA but mismatched97long-term funding (long assets, short liabilities structurally).98Both metrics are required simultaneously — they address different risk horizons.99100## ENCUMBERED ASSETS101102Encumbered assets (pledged as collateral, subject to repo, in securitisation pool)103receive a RSF factor based on the remaining term of the encumbrance:104Encumbered for >= 1 year: 100% RSF105Encumbered for 6 months–1 year: the RSF factor of unencumbered equivalent106Encumbered for < 6 months: the RSF factor of unencumbered equivalent107108## COMMON NSFR MANAGEMENT ACTIONS109110When NSFR is under pressure, banks typically consider:111112- Issue longer-term debt (converts 0% ASF short-term into 100% ASF long-term)113- Grow retail deposit base (95% ASF factor vs 0% for short-term wholesale)114- Reduce long-dated illiquid assets (lowers RSF requirement)115- Securitise mortgage or loan portfolios (removes assets from balance sheet)116- Increase central bank reserve holdings (0% RSF, funded by term liabilities)117118## OUTPUT FORMAT — NSFR REPORT119120```121NSFR CALCULATION REPORT122As at: [YYYY-MM-DD]123Entity: [Bank / Group name]124Currency: [Reporting currency]125126AVAILABLE STABLE FUNDING (ASF)127 Capital instruments: [Amount] x 100% = [Weighted]128 Stable retail deposits: [Amount] x 95% = [Weighted]129 Less stable retail deposits: [Amount] x 90% = [Weighted]130 Wholesale NFC >= 1 year: [Amount] x 50% = [Weighted]131 Other wholesale >= 6M < 1 year: [Amount] x 30% = [Weighted]132 Short-term wholesale (FI): [Amount] x 0% = [Weighted]133 TOTAL ASF: [Total]134135REQUIRED STABLE FUNDING (RSF)136 Cash and Level 1 HQLA: [Amount] x 0% = [Weighted]137 Level 2 HQLA: [Amount] x 15% = [Weighted]138 Performing mortgages: [Amount] x 65% = [Weighted]139 Performing corporate loans: [Amount] x 65% = [Weighted]140 Non-performing loans: [Amount] x 100% = [Weighted]141 Off-balance-sheet commitments: [Amount] x 5% = [Weighted]142 TOTAL RSF: [Total]143144NSFR: [ASF / RSF] = [Ratio]%145Regulatory Minimum: 100%146Management Target: [Target]%147Buffer over Minimum: [Ratio - 100]%148```149150## NEVER DO THESE151152- 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 results153- 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 stress154- 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 books155- NEVER treat encumbered assets the same as unencumbered — encumbered assets receive 100% RSF if the encumbrance exceeds 1 year, regardless of the underlying asset quality156157ALL OUTPUTS REQUIRE REVIEW BY A QUALIFIED PROFESSIONAL BEFORE USE IN REGULATORY FILINGS OR BUSINESS DECISIONS.
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