With the introduction of CRR II the requirements for the Net Stable Funding Ratio, which were already part of the CRR I, was finalized and expected to be applicable for the first time in June 2021. With the introduction of a binding quote of 100% for the Net Stable Funding Ratio (NSFR), the ratio of available to required stable funding, the supervisory authority defines a key figure that must be met at all times. In addition, weighting factors were defined that must be applied to the liabilities to determine the available stable funding (ASF factor) and to assets to determine the required stable funding (RSF factor).
Besides the reporting, banks has to actively manage and forecast the NSFR metric according to article 428 para. 3, 4 CRR2. Also the European Central Bank (ECB) has formulated its expectations for liquidity risk controlling and management in its ECB guidelines on Internal Liquidity Adequacy Assessment Process (ILAAP), including the requirements for planning and simulation of, amongst others, the NSFR.
BearingPoint RegTech is developing a solution for NSFR forecast for Abacus360 Banking similar to the existing functionality for LCR forecast (ABACUS/ LiMa).