14.3.2.2 Available Amount of Stable Funding Computation

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 the Available Amount of Stable Funding is as follows: An example of the application of the ASF factor is given below:

Figure 14-41 Formula to calculate the Available Amount of Stable Funding


This illustration shows the formula to calculate the Available Amount of Stable Funding.

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

Table 14-13 Illustration – Application of ASF Factor

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 this combination, then after the assumption is applied the resulting amounts with application of ASF factors is as follows:

Table 14-14 Application of ASF factors

Assumption Category <Time Bucket 1> Selection
Cash Flow Movement From Bucket Selection
Incremental Cash Flows Primary Bucket Selection
Encumbrance From Bucket Selection
Value Change Not Applicable

Table 14-15 Application of ASF factors

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

Note:

OFS LRMM application does not compute ASF items such as Tier 1 and Tier 2 capital, deferred tax liabilities, and minorityinterest. The items are taken as a download from the OFS Basel application. By updating the latest Basel Run Skey as a setup parameter, the LRMM application picks up the respective standard accounting head balances and applies the respective ASF factors.
If OFS Basel is not installed, then the following items must be provided as a download in the 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