LM-12.4.13

The amount of RSF funding is measured based on the broad characteristics of the liquidity risk profile of an institution's assets and OBS exposures. The amount of required stable funding is calculated by first assigning the carrying value of an institution's assets to the categories listed in Table 2 below. The amount assigned to each category is then multiplied by its associated RSF factor, and the total RSF is the sum of the weighted amounts added to the amount of OBS activity (or potential liquidity exposure) multiplied by its associated RSF factor.

LM-12.4.14

Definitions mirror those outlined in the LCR, unless otherwise specified¹².

¹² For the purposes of calculating the NSFR, HQLA are defined as all HQLA without regard to LCR operational requirements and LCR caps on Level 2 and Level 2B assets that may otherwise limit the ability of some HQLA to be included as eligible HQLA in calculation of the LCR.

LM-12.4.15

The RSF factors assigned to various types of assets are intended to approximate the amount of a particular asset that would have to be funded, either because it will be rolled-over, or because it could not be monetised through sale or used as collateral in a secured borrowing transaction over the course of 1 year without significant expense. Such amounts are expected to be supported by stable funding.

LM-12.4.16

Assets must be allocated to the appropriate RSF factor based on their residual maturity or liquidity value. When determining the maturity of an instrument, investors must be assumed to exercise any option to extend maturity. In particular, where the market expects certain assets to be extended in their maturity, banks must assume such behaviour for the purpose of the NSFR and include these assets in the corresponding RSF category. For amortizing loans, the portion that comes due within the 1-year horizon can be treated in the less-than-1-year residual maturity category.

LM-12.4.17

For the purposes of determining its required stable funding, a bank must; (i) include financial instruments, foreign currencies and commodities for which a purchase order has been executed, and (ii) exclude financial instruments, foreign currencies and commodities for which a sales order has been executed, even if such transactions have not been reflected in the balance sheet under a settlement-date accounting model, provided that; (i) such transactions are not reflected as derivatives or secured financing transactions in the bank's balance sheet, and (ii) the effects of such transactions will be reflected in the institution's balance sheet when settled.