Structural Funding Ratio calculation using Regulatory Returns
To help firms to replicate exactly the calculation of the ratios the PRA will be monitoring, we
set out below those calculations based on FSA048 data.
BCBS Net Stable Funding Ratio1
“The net stable funding (NSF) ratio measures the amount of longer-term, stable sources of
funding employed by an institution relative to the liquidity profiles of the assets funded and
the potential for contingent calls on funding liquidity arising from off-balance sheet
commitments and obligations. The standard requires a minimum amount of funding that is
expected to be stable over a one year time horizon based on liquidity risk factors assigned
to assets and off-balance sheet liquidity exposures. The NSF ratio is intended to promote
longer-term structural funding of banks’ balance sheets, off-balance sheet exposures and
capital markets activities.”2
The metric is covered in more detail in the BCBS Consultative paper in section II.2
Calculation method:
Available amount of stable funding
Required amount of stable funding
> 100%
Details of how to determine the value of the numerator and denominator using the FSA 047
and FSA 048 are given below.
1
Basel Committee on Banking Supervision. “International Framework for liquidity risk measurement,
standards and monitoring”. December 2009.
2
Ibid, para 13.
1
1. Available amount of stable funding
Where column X is referred to, this indicates that the value is to be taken from FSA047, and includes all populated columns.
Component
FSA047/048 Reference
Non-dated capital
Type A wholesale fixed residual maturity > 1 year
Exclude buffer repo, covered bond repo, corporate bond repo and equity
repo > 1 year as netted in the requirement
Note line 36 includes covered bond repo which should be moved onto line 35
LE Type B wholesale fixed residual maturity > 1 year
SME Type B wholesale fixed residual maturity > 1 year
Retail deposits fixed residual maturity > 1 year
LE Type B wholesale open and fixed residual maturity <= 1 year
-A1
36H + 36I + 36J + 39H + 39I + 39J
+ (40 to 51)H + (40 to 51)I + (40
to 51)J
SME Type B wholesale open and residual maturity <= 1 year
Retail Type A open and fixed residual maturity <= 1 year
Retail Type B open and fixed residual maturity <= 1 year
Client free cash
Type A wholesale funding residual maturity < 1 year
Any net derivatives cash margin received
Weighting
100%
100%
52H + 52I + 52J
53H + 53I + 53J
54H + 54I +54J +55H + 55I + 55J
52A + 52C + 52D + 52E + 52F +
52G
53A + 53C + 53D + 53E + 53F +
53G
54A + 54C + 54D + 54E + 54F +
54G
55A + 55C + 55D + 55E + 55F +
55G
56A
FSA047(34 to 51)X + (34 to 51)A +
(34 to 51)B + (34 to 51)F + (34 to
51)G
Sum(74C + 75C + 76C + 77C)
where total < 0
Total Liabilities / Stable Funding
Repo > 1 year netted in security holding position columns H, I and J
Amount
100%
100%
100%
50%
85%
70%
85%
0%
0%
100%
0
Lines 34, 35, 37 and 38
Total Liabilities (L)
0
2
Stable Funding
0
2. Required amount of stable funding
Where column X is referred to, this indicates that the value is to be taken from FSA047, and includes all populated columns
Component
Cash
All security holdings maturing <= 1 year
-Outright and reverse inflows
Unsecured wholesale loans residual maturity <= 1 year
Liquidity Buffer Assets, other government bonds and agencies holdings with
residual maturity > 1 year minus collateral upgrades and client collateral
High quality corporate bond and covered bond holdings with residual
maturity > 1 year less client assets
Listed Equities holdings > 1 year
Retail Loans with residual maturity < 1 year
Loans to all enterprises with residual maturity < 1 year
Securitised Loans with residual maturity < 1 year
Net derivatives margin collateral given
FSA047/048 Reference
18A + 19A
23X + 23F + 23G + (25 to 30)X +
(25 to 30)B + (25 to 30)F + (25 to
30)G
20X + 20A + 20F + 20G + 21X +
21A + 21F + 21G + 22X + 22A +
22F + 22G
6X + 6A + 6B + 6F + 6G + 7X + 7A
+ 7B + 7F + 7G + 8X + 8A + 8B + 8F
+ 8G - 78A – 79A – 80A
11X + 11A + 11B + 11F + 11G +
13X + 13A + 13B + 13F + 13G +
14X + 14A +14B + 14F + 14G +
15X + 15A + 15B + 15F + 15G –
83A – 85A – 86A – 87A
16X + 16A + 16B + 16F + 16G -88A
32A + 32C + 32D + 32E + 32F +
32G
31A + 31C + 31D + 31E + 31F +
31G
33A + 33C + 33D + 33E + 33F +
33G
Sum(74D + 75D + 76D + 77D)
where total > 0
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Amount
Weighting
0%
0%
0%
5%
20%
50%
85%
50%
85%
100%
Requirement
All other assets loans
All other assets securities
Asset imbalance arising from sundry items and derivatives
Off-balance sheet commitments
(20 to 22)H + (20 to 22)I +
(20 to 22)J + (31 to 33)H + (31 to
33)I + (31 to 33)J
23H + 23I + 23J + (25 to 30)H +
(25 to 30)I + (25 to 30)J – (6X + 6A
+ 6B + 6F + 6G + 7X + 7A + 7B + 7F
+ 7G + 8X + 8A + 8B + 8F + 8G –
78A – 79A – 80A) – (11X + 11A +
11B + 11F + 11G +13X + 13A +
13B + 13F + 13G + 14X + 14A +
14B + 14F + 14G + 15X + 15A +
15B + 15F + 15G – 83A -85A –
86A – 87A) – (16X + 16A + 16B +
16F + 16G -88A) + 34H + 34I +34J
+35H +34I + 34J + 35H + 35I + 35J
+ 37H +37I + 37J +38H + 38I + 38J
LRP Imbalance (Details below)
-60A – 61A – 63A – 64A – 65A –
66A – 67A – 68A – 69A
Total Assets / Requirement
Netting of long term repo H, I and J
100%
100%
0
0
- (Lines 34, 35, 37 and 38)
Total Assets before imbalance (A)
0
LRP Imbalance (- L – A)
0
Total Assets
0
4
100%
10%
0
LRP Imbalance Calculation:
The LRP (FSA 047, FSA 048) will normally be imbalanced due to the non-inclusion of sundry items
and derivatives. To correct for this the net imbalance is used to adjust the Funding Requirement.
This calculation is detailed above, but for clarity is reproduced here.
Total Liabilities (L): Total un-haircut liabilities plus Repo > 1 year as detailed above
Less
Total Assets (A):
Total un-haircut assets less Repo > 1 year as detailed above
-(L) – (A ) = Imbalance.
Include this value in “Asset imbalance arising from sundry items and derivatives”
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Turner Core Funding Ratio3
Calculation Method:
Retail deposits + long-term wholesale funding as a % of total liabilities.
1. Numerator
Numerator
Component
FSA047/048 Reference
(52 to 55)A + (52 to 55) C
+ (52 to 55)D + (52 to
55)E + (52 to 55)F + (52 to
55)G + (52 to 55)H + (52
to 55)I + (52 to 55)J
(40 to 51)H + (40 to 51)I +
(40 to 51)J + (34 to 39)H +
(34 to 39)I + (34 to 39)J +
1A
Retail Deposits
Long Term Wholesale Funding (Unsecured and
Secured)
Amount
0
0
Retail Deposits plus long term wholesale funding
0
2. Denominator
Denominator
Component
FSA047/048 Reference
Lines 34 to 39: B to J +
Lines 40 to 43: C to J +
Lines 44 to 51: A to J +
Lines 52 to 55: A to J +
Line 56 A +
Line 57 C to J (if negative)
– 1A
Total Liabilities
Total Liabilities
3
Amount
0
0
The Turner Review. “A Regulatory response to the global banking crisis” March 2009
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