Explanation:
NSFR is defined as the ratio of the amount of available stable funding to the amount of required stable funding. Available stable funding represents the capital and liabilities that are expected to remain reliable over a 1-year horizon. On the other hand, required stable funding comprises the portion of assets and off-balance sheet exposures that need to be funded over the same 1-year horizon.
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Q.3950 The following statistics extracted from RTC bank’s balance sheet reflect some of the underlying transactions conducted by the bank. The balance sheet has distinguished short-term and long-term liabilities and assets, according to Basel III. Use the data with the weighted factors to calculate the net stable funding ratio (NSFR) for the bank.
| Assets | Short Term | Long Term | NSFR | LCR | Liabilities | Short Term | Long Term | NSFR | LCR |
|---|---|---|---|---|---|---|---|---|---|
| Cash | 950 | 90% | Owners Equity | 90 | 100% | ||||
| Loans Corporates | 4,200 | 3,000 | 100% | Deposits | 500 | 100% | |||
| Mortgages | 3,200 | 100% | 25% | Unsecured Debt Issuance | 250 | 2,500 | 75% | 45% | |
| Corporates | 950 | 1,400 | 85% | 15% | Deposits | 540 | 5,000 | 10% | 100% |
| Financial Institution Expenses | 230 | 6,600 | 100% | ||||||
| Notes Payable | 700 | 0 | 0 | 50% |
A
1.27
B
1.33
C
1.08
D
0.75
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