From banking
Activate for: NSFR, net stable funding ratio, available stable funding, required stable funding, ASF, RSF, structural liquidity, funding mismatch, term funding, long-term funding, stable funding, 1-year funding. NOT for: short-term liquidity stress (use liquidity-lcr), intraday liquidity monitoring, interest rate risk in the banking book (IRRBB), market risk capital.
npx claudepluginhub panaversity/agentfactory-business-plugins --plugin bankingThis skill uses the workspace's default tool permissions.
NSFR = Available Stable Funding (ASF) / Required Stable Funding (RSF) >= 100%
Activate for: LCR, liquidity coverage ratio, HQLA, high quality liquid assets, net cash outflow, run-off rate, Level 1 assets, Level 2A, Level 2B, 30-day stress scenario, liquidity buffer, liquidity coverage, cash outflow, inflow cap. NOT for: structural funding / NSFR calculations (use liquidity-nsfr), capital adequacy ratios (use basel-capital), interest rate risk in the banking book (IRRBB).
Sizes CMBS and balance sheet CRE loans from raw property financials: normalizes T-12 to lender NCF, sizes vs DSCR/LTV/debt yield constraints, IDs binding constraint, stress-tests rates, flags B-piece risk.
Calculates portfolio risk metrics including VaR, CVaR, Sharpe, Sortino ratios, and drawdown analysis. Use for measuring risk, setting limits, dashboards, and regulatory reporting.
Share bugs, ideas, or general feedback.
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.
| 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 | 95% |
| Less stable retail deposits with maturity < 1 year | 90% |
| Wholesale funding from non-financial corporates >= 1 year | 50% |
| Wholesale funding from non-financial corporates < 1 year | 50% |
| Operational deposits (wholesale) | 50% |
| Debt securities with residual maturity >= 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 < 1 year | 30% |
| Other wholesale funding with residual maturity < 6 months (financial institutions) | 0% |
| Other wholesale funding with residual maturity < 6 months (non-financial) | 50% |
| All other liabilities (derivatives, deferred tax, etc.) | 0% |
ASF = Sum (Funding amount x ASF factor)
| Asset Category | RSF Factor |
|---|---|
| Cash and unencumbered Level 1 HQLA | 0% |
| Unencumbered Level 2A HQLA | 15% |
| Unencumbered Level 2B HQLA (RMBS) | 25% |
| Unencumbered Level 2B HQLA (other) | 50% |
| Unencumbered loans to financial institutions < 6 months | 10% |
| Unencumbered loans to financial institutions >= 6 months, < 1 year | 15% |
| Unencumbered performing loans to non-financial corporates < 1 year | 50% |
| Unencumbered performing loans to retail/SME < 1 year | 50% |
| Unencumbered performing residential mortgages >= 1 year, RW <= 35% | 65% |
| Unencumbered performing loans to non-financial corporates >= 1 year | 65% |
| Unencumbered performing loans to retail/SME >= 1 year, not RW <= 35% | 85% |
| Non-HQLA securities | 50% |
| Non-performing loans (any maturity) | 100% (net of provisions) |
| Fixed assets (PP&E, goodwill, intangibles) | 100% |
| Off-balance-sheet: undrawn committed facilities | 5% |
| Derivatives: net positive fair value | 100% |
| All other assets | 100% |
RSF = Sum (Asset / off-balance-sheet amount x RSF factor)
| Item | Amount (M) | Factor | Weighted (M) |
|---|---|---|---|
| ASF Side | |||
| CET1 + AT1 + T2 capital | 5,000 | 100% | 5,000 |
| Stable retail deposits | 20,000 | 95% | 19,000 |
| Less stable retail deposits | 8,000 | 90% | 7,200 |
| Wholesale NFC < 1 year | 6,000 | 50% | 3,000 |
| Wholesale FI < 6 months | 4,000 | 0% | 0 |
| Senior debt >= 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 <= 35%) | 15,000 | 65% | 9,750 |
| Performing corporate loans >= 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 > 100%: Stable funding surplus. Bank can absorb funding stress for > 1 year. NSFR 100–105%: Meeting minimum but limited buffer. Review funding strategy. NSFR < 100%: Regulatory breach. Immediate remediation required.
Management targets: Most major banks target 105–115% NSFR.
LCR: Measures ability to survive a 30-day acute stress (short-term liquidity) NSFR: Measures structural funding stability over 1 year (medium-term liquidity) A bank can pass LCR but fail NSFR if it has short-term HQLA but mismatched long-term funding (long assets, short liabilities structurally). Both metrics are required simultaneously — they address different risk horizons.
Encumbered assets (pledged as collateral, subject to repo, in securitisation pool) receive a RSF factor based on the remaining term of the encumbrance: Encumbered for >= 1 year: 100% RSF Encumbered for 6 months–1 year: the RSF factor of unencumbered equivalent Encumbered for < 6 months: the RSF factor of unencumbered equivalent
When NSFR is under pressure, banks typically consider:
NSFR CALCULATION REPORT
As at: [YYYY-MM-DD]
Entity: [Bank / Group name]
Currency: [Reporting currency]
AVAILABLE STABLE FUNDING (ASF)
Capital instruments: [Amount] x 100% = [Weighted]
Stable retail deposits: [Amount] x 95% = [Weighted]
Less stable retail deposits: [Amount] x 90% = [Weighted]
Wholesale NFC >= 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]%
ALL OUTPUTS REQUIRE REVIEW BY A QUALIFIED PROFESSIONAL BEFORE USE IN REGULATORY FILINGS OR BUSINESS DECISIONS.