المدربThe net stable funding ratio (NSFR) is available stable funding over required stable funding on a one-year horizon, weighted by how stable each liability is and how illiquid each asset is; it must be at least 100%.
أمثلة
Example 24.3 (A stylised bank)
An illustrative bank (USD billion) holds 15 of cash, 25 of five-year Treasuries, 90 of agency mortgage securities (a level-pay schedule over twelve years, duration 6.3 at purchase) and 70 of floating-rate loans, funded by 173 of deposits, 11 of term debt and 16 of equity. A year after rates rise from 1.0% to 4.5%, its HQLA at market value are 61.0: 36.6 of Level 1 (cash and Treasuries) and 24.4 of Level 2A, the MBS after the haircut and the cap. With 6% of its deposits insured and stable (run-off 5%) and 94% uninsured (40%), 30-day outflows are 65.6 and the LCR is 93%, below the minimum.