1. Liquidity Risk Regulatory Calculations for Reserve Bank of India User Guide
  2. Net Stable Funding Ratio Calculation
  3. Process Flow
  4. Computation of Available Amount of Stable Funding

6.2.2 Computation of Available Amount of Stable Funding

The available stable funding factor is a pre-determined weight ranging from 0% to 100% which is applied through business assumptions for the accounts falling under the dimensional combinations defined. The weights are as guided by the NSFR standard. The available stable funding is then taken as a total of all the weighted amounts where an ASF factor is applied.

The formula for calculating Available Amount of Stable Funding is as follows:


This image displays the Available Amount of Stable Funding.

An example of the application of ASF factor is given below:

Consider an assumption defined with the following dimensional combination and ASF factors, based on measure being Total stable balance:

Table 5-1 Assumptions with the following combinations

Dimensional Combination ASF Factor
Product Retail/Wholesale Indicator Residual Maturity Band
Deposits R <= 6 months 95%
Deposits R 6 months - 1 year 95%
Deposits R >= 1 year 95%

If there are five accounts falling under the above combination, then after the assumption is applied the resulting amounts with application of ASF factors is as follows:

Table 5-2 Account details

Account Stable Balance ASF Weighted Amount
A1 3400 3230
A2 3873 3679.35
A3 9000 8550
A4 1000 950
A5 100 95

Note:

The application does not compute ASF items such as Tier 1 and Tier 2 capital, deferred tax liabilities, and minority interest. The items are taken as a download from the OFS Basel application. By updating the latest Basel Run Skey as a setup parameter, the LRM application picks up the respective standard accounting head balances and applies the respective ASF factors.

In case OFS Basel is not installed, then the items mentioned below must be provided as a download in FCT_STANDARD_ACCT_HEAD table.

  • Gross Tier 2 Capital
  • Deferred Tax Liability related to Other Intangible Asset
  • Deferred Tax Liability related to Goodwill
  • Deferred Tax Liability related to MSR
  • Deferred Tax Liability related to Deferred Tax Asset
  • Deferred Tax Liability related to Defined Pension Fund Asset
  • Net CET1 Capital post Minority Interest Adjustment
  • Net AT1 Capital post Minority Interest Adjustment
  • Total Minority Interest required for NSFR