The Net Stable Funding Ratio: Impact and Issues for Consideration

By Jeanne Gobat, Mamoru Yanase, Joseph Maloney

June 12, 2014

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Jeanne Gobat, Mamoru Yanase, and Joseph Maloney. The Net Stable Funding Ratio: Impact and Issues for Consideration, (USA: International Monetary Fund, 2014) accessed September 20, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

As part of Basel III reforms, the NSFR is a new prudential liquidity rule aimed at limiting excess maturity transformation risk in the banking sector and promoting funding stability. The revised package has been issued for public consultation with a plan of making the rule binding in 2018. This paper complements earlier quantitative impact studies by discussing the potential impact of introducing the NSFR based on empirical analysis of end-2012 financial data for over 2000 banks covering 128 countries. The calculations show that a sizeable percentage of the banks in most countries would meet the minimum NSFR prudential requirement at end-2012, and, further, that larger banks tend to be more vulnerable to the introduction of the NSFR. Additionally, by comparing the NSFR to other structural funding mismatch indicators, we find that the NSFR is a relatively consistent regulatory measure for capturing banks’ funding risk. Finally, the paper discusses key policy issues for consideration in implementing the NSFR.

Subject: Banking, Capital markets, Financial institutions, Financial markets, Financial regulation and supervision, Financial statements, Liquidity requirements, Liquidity risk, Loans, Public financial management (PFM)

Keywords: A number of bank, Available stable funding, Balance sheet adjustment, Bank data, Bank Regulation, Banking, Capital markets, Customer relationship, Financial statements, Financing, Firm Size, Funding risk, Global, III NSFR rule, Liquidity requirements, Liquidity risk, Loans, NSFR calculation, NSFR calibration, NSFR framework, NSFR gap, NSFR parameter, NSFR shortfall, NSFR threshold, Policy, WP

Publication Details

Pages:

43
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2014/106
Stock No:

WPIEA2014106
ISBN:

9781498346498
ISSN:

1018-5941

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