Liquidity Nsfr

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 | 50% | | Wholesale funding from non-financial corporates = 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 = 6 months, = 1 year, RW = 1 year | 65% | | Unencumbered performing loans to retail/SME >= 1 year, not RW = 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 = 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 = 1 year: 100% RSF Encumbered for 6 months–1 year: the RSF factor of unencumbered equivalent Encumbered for = 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.

## Source & license

This open-source skill is cataloged on AgentStack and links to its original source — we do not rehost the code.

- **Author:** [panaversity](https://github.com/panaversity)
- **Source:** [panaversity/agentfactory-business-plugins](https://github.com/panaversity/agentfactory-business-plugins)
- **License:** Apache-2.0
- **Homepage:** https://agentfactory.panaversity.org/docs/Business-Domain-Agent-Workflows

Install and usage instructions live in the source repository linked above.