Net Stable Funding Ratio. Ordered Text. Consolidated Supervision. Adjustments.

“2017 - YEAR OF RENEWABLE ENERGIES
COMMUNICATION “A” 6306 25/08/2017
TO FINANCIAL ENTITIES:
Ref.: Circular
LISOL 1 - 756
Net Stable Funding Ratio. Ordered Text. Consolidated Supervision. Adjustments.
____________________________________________________________ We address you to inform you that this Institution has adopted the following resolution:

“1. Approve the regulations on “Net Stable Funding Ratio” attached to the Annex of this communication, which shall be effective from 1.1.18.
2. Replace, effective from 1.1.18, point 5.1. of the regulations on “Consolidated Supervision” with the following:
“5.1. Individual Base.
Unless otherwise provided, financial entities (including their branches in the country and abroad) shall individually observe the regulations applicable to them.
In the case of the minimum cash, as well as the liquidity coverage ratio and net stable funding ratio, in the latter cases when dealing with entities covered by the regulations on “Liquidity Coverage Ratio” and “Net Stable Funding Ratio”, the individual base shall not include branches abroad.”
3. Incorporate, effective from 1.1.18, into point 5.2.2. of the regulations on “Consolidated Supervision” the following:
“Net stable funding ratio –when dealing with financial entities included– as established in point 6.2. of the regulations on “Net Stable Funding Ratio”.”
Finally, we inform you that we will subsequently send you the sheets that, in replacement of those previously provided, should be incorporated into the “Consolidated Supervision” regulations.
We greet you attentively.

-2-
BANK OF THE ARGENTINE REPUBLIC
Darío C. Stefanelli Agustín Torcassi
Principal Manager of Issuance and Regulatory Applications General Manager of Regulations

ANEXO

Index
Section 1. General Considerations.
1.1. Scope.
1.2. Objective.
1.3. Determination of the NSFR.
1.4. Minimum NSFR Value.
1.5. Calculation Frequency and Information.
Section 2. Available Stable Funding Amount (ASF)
2.1. Determination of the ASF.
2.2. Criteria.
2.3. Categories.
Section 3. Required Stable Funding Amount (RSF) for off-balance sheet assets and exposures.
3.1. Determination of the RSF.
3.2. Criteria.
3.3. Categories.
3.4. Off-balance sheet exposures.
Section 4. Interdependent assets and liabilities.
Section 5. Factors.
5.1. Available Stable Funding Factors (ASF Factors).
5.2. Required Stable Funding Factors (RSF Factors).
Section 6. Bases of compliance.
6.1. Individual Base.
6.2. Consolidated Base.
Correlation Table.
Version: 1st. COMMUNICATION “A” 6306
Validity:
01/01/2018
B.C.R.A. ORDERED TEXT OF THE REGULATIONS ON “NET STABLE FUNDING RATIO”

1.1. Scope.
Financial entities that, as of September 30 of the year prior to that in which the net stable funding ratio is calculated, belong to Group “A” as provided in point 4.1. of the regulations on “Authorities of financial entities” –considered internationally active banks–, must comply with these provisions. For the purposes of these regulations, the term “financial sector” includes financial entities, exchange entities, insurance companies, agents regulated by the National Securities Commission (CNV) –or equivalent authority abroad– and trustees of non-financial trusts.

1.2. Objective.
The net stable funding ratio (NSFR) aims to ensure that financial entities can finance their activities with sufficiently stable sources to mitigate the risk of future stress situations arising from their funding.
By requiring financial entities to maintain a stable funding profile in relation to the composition of their assets and off-balance sheet operations, the NSFR limits excessive dependence on short-term wholesale funding, promotes better assessment of funding risk for on-balance and off-balance sheet items, and favors the stability of funding sources. The definitions of the concepts contained in the NSFR are analogous to those provided in the regulations on “Liquidity Coverage Ratio”, except where these provisions explicitly establish another definition.

1.3. Determination of the NSFR.
The NSFR is defined as the ratio between the available stable funding amount and the required stable funding amount:
where:
ASF (Available Stable Funding Amount): is the part of the financial entity’s capital and liabilities –calculated as provided in Section 2.– that is expected to be available during a one-year period.
RSF (Required Stable Funding Amount): is the amount of funding needed during that period –calculated as provided in Section 3.–, which depends on the liquidity and residual maturity of the entity’s assets and its off-balance sheet commitments. NET STABLE FUNDING RATIO B.C.R.A.
Section 1. General Considerations.
Version: 1st. COMMUNICATION “A” 6306
Validity:
01/01/2018

The available and required stable funding amounts determined in accordance with these provisions are calibrated to reflect the expected stability of the entity’s liabilities and the expected liquidity of the entity’s assets during the one-year period. The six-month and one-year periods referred to in these provisions shall be calculated as 180 and 360 calendar days from the calculation date inclusive, respectively.

1.4. Minimum NSFR Value.
The NSFR must –at all times– be greater than or equal to 1: NSFR ≥ 1.
It will be complemented by the evaluation carried out by the Superintendence of Financial and Exchange Entities (SEFyC). The SEFyC may require the entity to adopt stricter standards in order to reflect its funding risk profile, taking into account for this purpose also the evaluation it has carried out of the entity’s compliance with the regulations on “Guidelines for risk management in financial entities” regarding liquidity.

1.5. Calculation Frequency and Information.
Entities must observe the NSFR at all times and report it to the SEFyC quarterly through the information regime established for this purpose.
NET STABLE FUNDING RATIO
B.C.R.A.
Section 1. General Considerations.
Version: 1st. COMMUNICATION “A” 6306
Validity:
01/01/2018

2.1. Determination of the ASF.
The available stable funding amount is calculated based on the general characteristics of the funding sources available to financial entities that affect their stability, such as the contractual maturity of their liabilities and the different propensities for fund withdrawal by different funding providers. For the purpose of determining the available stable funding amount, first the book value –prior to the application of any regulatory adjustment or deduction– of the financial entity’s capital and liabilities must be assigned to one of the categories provided in point 2.3. The amount assigned to each category is then multiplied by the corresponding ASF Factor –Available Stable Funding– for that category. The sum of the weighted amounts will be the ASF.

2.2. Criteria.
2.2.1. When determining the maturity of a capital instrument or a liability with an early redemption option, it is assumed that investors exercise the option on the first possible date.
In the case where the financial entity can exercise the option to prepay the obligation, it must be assumed that it will exercise it when not doing so would have reputational implications. When it is an option that allows the financial entity to extend the maturity of its obligations, it must be assumed that it cannot exercise it if doing so would have reputational implications. For the purposes of these provisions, when there are expectations that certain obligations will be amortized early, the SEFyC will assume that this will be the conduct adopted by the entity, so these liabilities must be included in the corresponding category among those provided in point 2.3. In the case of long-term liabilities, only the portion of cash flows with a term equal to or greater than six months or one year shall be treated as if their effective residual maturity were equal to or greater than six months or one year, respectively.

2.2.2. Liabilities arising from derivative transactions.
2.2.2.1. Liabilities arising from derivative transactions shall be calculated based on the replacement cost of the derivative contract –obtained from its valuation at market prices– when the contract has a negative value for the financial entity.
When there is an admissible bilateral netting contract in accordance with the regulations on “Minimum capital of financial entities”, the replacement cost for the set of derivative exposures included in the contract shall be the net replacement cost. NET STABLE FUNDING RATIO B.C.R.A.
Section 2. Available Stable Funding Amount (ASF).
Version: 1st. COMMUNICATION “A” 6306
Validity:
01/01/2018

2.2.2.2. When calculating liabilities arising from derivative transactions, guarantees provided as variation margin must be deducted from the negative replacement cost regardless of the type of asset given as collateral.
Such variation margin shall not be included in the calculation of the entity’s RSF.

2.3. Categories.
Liabilities and capital instruments will receive the ASF Factors indicated below.

2.3.1. Factor of 100%.
2.3.1.1. Concepts that integrate the entity’s computable equity (RPC) as follows:
i) Common equity tier 1 (CET1) –point 8.2.1. of the regulations on “Minimum capital of financial entities”– without deducting the concepts provided in point 8.4.1. and, if applicable, in point 8.4.2. ii) Additional tier 1 capital (AT1) –point 8.2.2. of the cited regulations– without deducting the concepts provided in point 8.4.2. of those regulations. iii) Supplementary equity (SE) –tier 2 capital, point 8.2.3. of the cited regulations– without deducting, if applicable, the concepts provided in point 8.4.2. of those regulations, excluding the portion of instruments with residual maturity less than one year.

2.3.1.2. Capital instruments not included in point 2.3.1.1. with effective residual maturity equal to or greater than one year, excluding any instrument with explicit or implicit options that, if exercised, would reduce the expected maturity to less than one year.

2.3.1.3. Loans and other liabilities –including time deposits– taken by the financial entity, secured and unsecured, with effective residual maturity equal to or greater than one year. Time deposits with residual maturity exceeding one year in which the entity does not allow prepayment within that period without penalty are included. Cash flows that are callable within the one-year time horizon and originate from liabilities with final maturity exceeding one year are excluded.

2.3.1.4. Deferred tax liabilities whose next possible settlement date is equal to or greater than one year.

2.3.1.5. Minority interests, in the case of measurement on a consolidated basis.
NET STABLE FUNDING RATIO
B.C.R.A.
Section 2. Available Stable Funding Amount (ASF).
Version: 1st. COMMUNICATION “A” 6306
Validity:
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2.3.2. Factor of 95%.
This applies to retail and SME current and time deposits considered “stable” with residual maturity less than one year.
For this purpose, deposits considered “stable” as provided in points 4.1. and 4.2.1., respectively, of the regulations on “Liquidity Coverage Ratio” shall be computed, using a one-year time horizon for this purpose.

2.3.3. Factor of 90%.
This applies to retail and SME current and/or time deposits with residual maturity less than one year not included in point 2.3.2. –i.e., “Other retail deposits” and “Other funding provided by SMEs”, respectively, provided in the regulations on “Liquidity Coverage Ratio”–.

2.3.4. Factor of 50%.
2.3.4.1. Secured and unsecured funding obtained from non-financial private sector clients –except SMEs–, with residual maturity less than one year.
2.3.4.2. Operational deposits provided in point 4.2.2. of the regulations on “Liquidity Coverage Ratio”.
2.3.4.3. Funding obtained from the National Government and the rest of the non-financial public sector according to the definition in point 1.1. of the regulations on “Financing of the non-financial public sector”, from other sovereign states and entities of the non-financial public sector of those states, and from multilateral development banks, with residual maturity less than one year.
2.3.4.4. Other funding (secured and unsecured) not included in points 2.3.4.1. to 2.3.4.3. with residual maturity from six months to less than one year, including funding from the Bank of the Argentine Republic (BCRA) and central banks of other sovereign states, as well as that from financial sector institutions.
2.3.4.5. Deferred tax liabilities whose next possible settlement date is between six months and less than one year.

2.3.5. Factor of 0%.
2.3.5.1. Capital instruments not included in points 2.3.1.1. and 2.3.1.2. and liabilities not included in points 2.3.1. to 2.3.4.
Other funding with residual maturity less than six months from the BCRA, central banks of other sovereign states, and financial sector institutions is also included.
2.3.5.2. Other liabilities with indeterminate maturity term. Includes sold positions and positions with indeterminate maturity term.
NET STABLE FUNDING RATIO
B.C.R.A.
Section 2. Available Stable Funding Amount (ASF).
Version: 1st. COMMUNICATION “A” 6306
Validity:
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Deferred tax liabilities and minority interests are excluded, to which the factors provided in points 2.3.1.4. and 2.3.4.5. and in point 2.3.1.5. will apply, respectively.

2.3.5.3. Liabilities arising from derivative transactions calculated in accordance with point 2.2.2., net of assets arising from derivative transactions calculated in accordance with point 3.2.5., if those liabilities exceed the mentioned assets.

2.3.5.4. Pending payment amounts for purchases of financial instruments, currencies, or basic products –“commodities”– that:
i) are expected to be settled within the standard settlement cycle or the period usual for the relevant exchange or type of transaction; or ii) have not been settled, but are expected to be settled.
NET STABLE FUNDING RATIO
B.C.R.A.
Section 2. Available Stable Funding Amount (ASF).
Version: 1st. COMMUNICATION “A” 6306
Validity:
01/01/2018

3.1. Determination of the RSF.
The required stable funding amount (RSF) is calculated taking into account the general characteristics of the liquidity risk profile of the financial entity’s assets and off-balance sheet exposures.
For its determination, first the book value of the entity’s assets –net of specific provisions for uncollectibility risks and depreciation, and accumulated depreciation and amortization attributable to them and other regularizing accounts– must be assigned to one of the categories provided in point 3.3. The amount assigned to each category is multiplied by the corresponding RSF Factor –Required Stable Funding– for that category. The total required stable funding amount results from the sum of these weighted amounts plus the exposures resulting from off-balance sheet activity –or potential liquidity risk exposure– of the financial entity multiplied by their associated RSF factor. The RSF factors assigned to various types of assets are an estimate of the part of the asset that must be financed with stable funding, either because it will be renewed or because it cannot be monetized (converted into cash) through its sale or by using it as collateral in a securities financing transaction (“secured financing transaction”, SFT) within the course of one year without incurring significant expenses.

3.2. Criteria.
3.2.1. Restricted availability assets: includes assets recorded in accounting that are affected as collateral –for example, pledged or allocated to an SFT– or subject to any other legal, regulatory, or contractual restriction, regardless of its nature, that limits the financial entity’s capacity to liquidate, sell, transfer, or affect them as collateral.

3.2.2. Assets will be assigned the corresponding RSF factor based on their liquidity or residual maturity.
For the purpose of determining the maturity of an instrument, it is assumed that any option allowing the extension of the maturity term of those assets will be exercised. In the case where the financial entity can exercise the option, it must be assumed that it will exercise it when not doing so would have reputational implications. In particular, when there are expectations that the maturity of certain assets will be extended, the financial entity and the SEFyC will assume that this will be the conduct adopted, and these assets will be included in the corresponding category among those provided in point 3.3. Reverse REPO operations without determined maturity will receive the treatment applicable to the category provided in point 3.3.9. –100%– unless the entity can demonstrate that such operation will have a more immediate effective maturity. NET STABLE FUNDING RATIO B.C.R.A.
Section 3. Required Stable Funding Amount (RSF) for assets and off-balance sheet exposures.
Version: 1st. COMMUNICATION “A” 6306
Validity:
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In the case of amortizable credits, the portion maturing within the one-year horizon may receive the treatment applicable to the category of residual maturity less than one year. Loans without determined maturity and in which the entity allows prepayment without penalty must receive the treatment applicable to the category corresponding to a residual maturity greater than one year –factors provided in points 3.3.7. and 3.3.8.2., as applicable–.

3.2.3. For the purpose of calculating the required stable funding amount, the financial entity must:
i) include financial instruments, currencies, and basic products on which a purchase order has been executed; and ii) exclude financial instruments, currencies, and basic products on which a sales order has been executed, provided that:
− the entity does not record these transactions in accounting as derivatives or SFT –securities financing transactions–; − and the effects of these transactions are recorded in accounting when they have been settled.

3.2.4. Securities financing transactions (SFT).
Financial entities must exclude from the assets to be computed those securities they have received in SFT –such as reverse repos– when they do not retain the risks and rewards inherent to their ownership. Likewise, they must exclude securities they have received through “swaps” of collateral assets if such values are not recorded in their financial statements. Similarly, they must include those securities they have delivered in SFT –such as repos– when they retain the risks and rewards inherent to their ownership, with the RSF factors provided in point 3.3.1. applicable. SFT with a single counterparty may be accounted for in net terms for the NSFR calculation, provided they meet the conditions for netting established in subsection i) of point 3.1.c. of Section 12. “Leverage ratio” of the Information Regime for Supervision, regarding the measurement of exposure in the cited SFT.

3.2.5. Assets arising from derivative transactions.
3.2.5.1. Assets arising from derivative transactions shall be calculated based on the replacement cost of the contract –valued at market prices– to the extent that it is positive for the financial entity.
When there is an admissible bilateral netting contract in accordance with the regulations on “Minimum capital of financial entities”, the replacement cost for the set of exposures arising from derivative transactions included in the contract shall be the net replacement cost. NET STABLE FUNDING RATIO B.C.R.A.
Section 3. Required Stable Funding Amount (RSF) for assets and off-balance sheet exposures.
Version: 1st. COMMUNICATION “A” 6306
Validity:
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3.2.5.2. Collateral assets received under derivative contracts may not be deducted from the positive replacement cost, except when received in cash as variation margin and the conditions established in point 3.1.b. “Cash Variation Margin” of Section 12. “Leverage Ratio” of the Information Regime for Supervision are verified. Any other accounting liability arising from received variation margin –that does not meet the conditions of the preceding paragraph– or from received initial margin may not be offset with the corresponding assets originated in derivative operations and must receive a FED factor of 0%.

In the case of over-the-counter (OTC) derivative operations, for the purpose of calculating the NSFR –for initial and variation margins that are not separated–, any fixed and independent amount that the financial entity had to deposit in favor of the counterparty at the start of the operation will be considered initial margin, regardless of whether the total amount of margin deposited is less by an amount that the entity had received from that counterparty as variation margin.

For centrally cleared operations, the initial margin amount must reflect the total amount of margin deposited –in concept of initial and variation margin– minus the losses in the market value of the portfolio of such operations.

3.2.6. For the purpose of assigning each asset to the corresponding category, the contractual residual maturity must be considered, without prejudice that in the case where there are options that may affect the real maturity, the provisions of point 3.2.2. shall apply.

If there is a contractual clause stating that the financial entity may not renew a facility or loan on a specific date, the entity may use the next review date as the maturity date, informing the SEFyC of the decisions adopted, the criteria applied, and their rationale, aspects whose reasonableness will be evaluated by the SEFyC. In general, when the financial entity has the option not to renew a facility or loan, it should be assumed that it will not exercise it if doing so would have reputational implications.

3.2.7. Non-operational deposits held in financial sector institutions will receive the same treatment as loans granted to those counterparties, taking into account the term of the operation, as follows:

3.2.7.1. Demand deposits, and time deposits with a residual maturity of less than six months: the FER factor provided in point 3.3.5. will be assigned.

3.2.7.2. Time deposits with a residual maturity between six months and less than one year: the FER factor provided for operations in point 3.3.6.2. will apply.

3.2.7.3. Time deposits with a residual maturity equal to or greater than one year: the FER factor provided for operations in point 3.3.9.3. will apply.

NET STABLE FUNDING RATIO
B.C.R.A. Section 3. Required Amount of Stable Funding (RSF) for off-balance sheet assets and exposures.
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3.2.8. For the purpose of computing Level 1 assets (An1) –defined in point 2.2. of the rules on “Liquidity Coverage Ratio”–, the operational requirements shall not be considered, nor shall the computation limits and caps provided in points 2.1. and 2.2. of those rules, respectively, be applied.

3.3. Categories.
Assets will receive the FER factors indicated below.

3.3.1. Assets with restricted availability.
The following FER factors will be applied to them based on the period during which they will be subject to restrictions –which will depend on the term of the operation to which they are subject, regardless of what the residual maturity of the affected assets is (which may be less than said term)–:

3.3.1.1. Equal to or greater than one year: 100%, in accordance with what is provided in point 3.3.9.1.

3.3.1.2. Between six months and less than one year:
i) If such assets, if free of restrictions, would receive a factor less than or equal to 50%: 50%. ii) If such assets, if free of restrictions, would receive a factor greater than 50%: that higher factor will be applied.

3.3.1.3. Less than six months: the factor corresponding to that asset as if it were free of restrictions will be applied.

If they are assets affected as collateral with the BCRA for financial assistance for illiquidity that it grants within the framework of its competencies, the BCRA may dispose of the application of FER factors lower than those that correspond according to these rules. This, to the extent that those factors are not lower than those that would apply to those assets if they were free of restrictions.

3.3.2. Factor of 0%.

3.3.2.1. Cash in hand, in transit, in securities transporters, and in ATMs.

3.3.2.2. Deposits in the BCRA –including those computable as integration of minimum cash–, without considering the amounts in special guarantee accounts.

3.3.2.3. Exposures to the BCRA and to central banks of other sovereigns, with a residual maturity of less than six months.

NET STABLE FUNDING RATIO
B.C.R.A. Section 3. Required Amount of Stable Funding (RSF) for off-balance sheet assets and exposures.
Version: 1st. COMMUNICATION “A” 6306
Validity:
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3.3.2.4. Amounts pending settlement for sales of financial instruments, currencies, or commodities that:
i) are expected to be settled within the standard settlement cycle or the period that is usual for the relevant exchange or type of transaction; or ii) have not been settled, but are expected to be settled.

3.3.3. Factor of 5%.
The following Level 1 assets (An1) whose availability is not restricted –in accordance with what is defined in point 3.2.1.– will receive a FER factor of 5%, except those whose residual maturity falls under point 3.3.2.:

3.3.3.1. National public bonds in pesos whose trading is authorized in the secondary repo market of the Electronic Open Market (MAE) –such as in the REPO Wheel– or in other secondary repo markets that are broad, deep, active, and not concentrated, and monetary regulation instruments of the BCRA in pesos.

3.3.3.2. National public bonds in foreign currency whose trading is authorized in the secondary repo market of the Electronic Open Market (MAE) –such as in the REPD and READ Wheels– or in other secondary repo markets that are broad, deep, active, and not concentrated, and monetary regulation instruments of the Central Bank of the Argentine Republic in foreign currency.

3.3.3.3. Securities issued or guaranteed by the Bank for International Settlements, the International Monetary Fund, the European Central Bank, the European Union, or Multilateral Development Banks (MDBs), that meet all of the following conditions:
i) receive a risk weighting of 0% with the Basel II Standardized Approach for computing the capital requirement for credit risk; ii) are traded in repo or cash markets that are broad, deep, active, and not concentrated; iii) have a proven history as a reliable source of liquidity in the markets (repo or cash), even during situations of stress in the markets; and iv) do not represent a liability of a financial entity –nor of any branch or subsidiary of a financial entity–.

NET STABLE FUNDING RATIO
B.C.R.A. Section 3. Required Amount of Stable Funding (RSF) for off-balance sheet assets and exposures.
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3.3.3.4. Debt securities issued by other sovereigns (or their central banks) in their respective currencies when the entity, through its subsidiaries or branches, assumes liquidity risk in those jurisdictions and in those currencies, and the securities meet the conditions provided in items ii) to iv) of point 3.3.3.3.

3.3.3.5. Debt securities issued by other sovereigns (or their central banks) in a foreign currency –that is, different from the respective currency of those sovereigns–, when the entity, through its subsidiaries or branches, assumes liquidity risk in those jurisdictions and foreign currencies, and the securities meet the conditions provided in items ii) to iv) of point 3.3.3.3.

3.3.4. Factor of 10%.
It will apply to loans granted to financial sector institutions that are free of the restrictions referred to in point 3.2.1. and have a residual maturity of less than six months, to the extent that they are secured with one of the Level 1 assets (An1) and the financial entity has the capacity to freely re-pledge the asset received as collateral during the life of the loan.

When the aforementioned loans have partial coverage, the secured and unsecured portions will receive the FER factor corresponding to them according to their characteristics. When it is not possible to determine said portions, the highest FER factor will be applied to the entire loan.

3.3.5. Factor of 15%.
It will apply to loans granted to financial sector institutions that are free of restrictions and have a residual maturity of less than six months but are not included in point 3.3.4.

3.3.6. Factor of 50%.

3.3.6.1. Level 1 assets (An1) with restricted availability for a period between six months and less than one year.

3.3.6.2. Loans granted to financial sector institutions, to the BCRA, and to central banks of other sovereigns, with a residual maturity equal to or greater than six months and less than one year.

3.3.6.3. Operational deposits –in accordance with point 4.2.2. of the rules on “Liquidity Coverage Ratio”– that the financial entity holds in other financial sector institutions, which for the depositing financial entity will be subject to the FED factor of 50% established in point 2.3.4.2.

NET STABLE FUNDING RATIO
B.C.R.A. Section 3. Required Amount of Stable Funding (RSF) for off-balance sheet assets and exposures.
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3.3.6.4. Assets that are not considered Level 1 (An1) and are not included in points 3.3.1. to 3.3.6.3. with a residual maturity of less than one year, including loans to retail customers, SMEs, and non-financial private sector companies, to the National Government, to the rest of the non-financial public sector, and to other sovereigns and non-financial public sector entities of those states.

3.3.7. Factor of 65%.

3.3.7.1. Mortgage financing secured by residential housing –sole, family, and permanent occupation– subject to a risk weight equal to or less than 35% according to the rules on “Minimum Capital of Financial Entities”– that are free of restrictions and have a residual maturity equal to or greater than one year.

3.3.7.2. Other free-of-restriction loans not included in points 3.3.1. to 3.3.7.1. –excluding those granted to financial sector institutions–, with a residual maturity equal to or greater than one year, subject to a risk weight of 35% or less in accordance with what is established in the rules on “Minimum Capital of Financial Entities”.

3.3.8. Factor of 85%.

3.3.8.1. Assets constituted as collateral –such as cash and securities, even those off-balance sheet– in concept of initial margin for derivative contracts –unless, by application of another point of these rules, if not affected as initial margin, they would correspond to a higher FER factor– and the cash or other assets contributed as a contribution to the guarantee fund constituted to cover defaults (“default fund”) of a central counterparty entity (CCP).

The initial margin constituted by the financial entity on behalf of a client is exempt from this requirement when the financial entity does not guarantee its compliance.

3.3.8.2. Other free-of-restriction loans with up to 90 days of delinquency, subject to a risk weight greater than 35% in accordance with what is established in the rules on “Minimum Capital of Financial Entities” and with a residual maturity equal to or greater than one year, excluding loans to financial sector institutions.

3.3.8.3. Debt securities with a residual maturity equal to or greater than one year and shares traded on stock markets, which are not considered Level 1 assets (An1), free of restrictions, and corresponding to issuers that are not in a state of default.

3.3.8.4. Commodities traded physically, including gold.

NET STABLE FUNDING RATIO
B.C.R.A. Section 3. Required Amount of Stable Funding (RSF) for off-balance sheet assets and exposures.
Version: 1st. COMMUNICATION “A” 6306
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3.3.9. Factor of 100%.

3.3.9.1. All assets with restricted availability for a period equal to or greater than one year.

3.3.9.2. Assets originated in derivative operations calculated in accordance with what is established in point 3.2.5., net of liabilities originated in derivative operations calculated in accordance with point 2.2.2., provided that the assets are greater than the liabilities.

3.3.9.3. Other assets not included in points 3.3.1. to 3.3.9.2., including loans with more than 90 days of delinquency, loans to financial sector institutions with a residual maturity equal to or greater than one year, shares not traded on stock markets, fixed assets, items deductible from computable equity, and any other asset weighted at 1250% in accordance with what is provided in the rules on “Minimum Capital of Financial Entities”.

3.3.9.4. 20% of the liabilities originated in derivative operations calculated according to point 2.2.2. from the negative value for the financial entity of its replacement cost –without deducting the variation margin that may have been constituted–, regardless of the net position that the financial entity has for these operations.

3.4. Off-balance sheet exposures.
The FER factors assigned to the off-balance sheet exposures provided for in this point have the objective that financial entities maintain stable funding for the part of those operations that are expected to demand funds within a time horizon of one year.

Off-balance sheet exposures will receive the FER factors indicated below.

3.4.1. Committed credit and liquidity facilities –according to the definition of point 4.4.4. of the rules on “Liquidity Coverage Ratio”–, granted to any counterparty: 5% of the unused amount.

3.4.2. Other contingent funding obligations:

3.4.2.1. Uncommitted credit and liquidity facilities –in accordance with the definition of point 4.4.6.3. of the rules on “Liquidity Coverage Ratio”– granted to any counterparty: 0% of the unused amount.

3.4.2.2. Foreign trade financing operations –such as guarantees and letters of credit–: 5%.

NET STABLE FUNDING RATIO
B.C.R.A. Section 3. Required Amount of Stable Funding (RSF) for off-balance sheet assets and exposures.
Version: 1st. COMMUNICATION “A” 6306
Validity:
01/01/2018

3.4.2.3. Guarantees and letters of credit not related to foreign trade financing operations: 5%.

3.4.2.4. Non-contractual obligations:
i) debt repurchase requests issued by the financial entity itself or by linked investment vehicles or other financial facilities of that type: 5%. ii) structured products, to maintain their negotiability, such as variable interest bonds and variable interest demand bonds (VRDN): 5%. iii) administered funds that are marketed with the objective of maintaining a stable value: 5%. iv) others: 5%.

3.4.2.5. Others, not included in points 3.4.2.1. to 3.4.2.4.: 5%.

Version: 1st. COMMUNICATION “A” 6306
Validity:
01/01/2018
NET STABLE FUNDING RATIO
B.C.R.A. Section 3. Required Amount of Stable Funding (RSF) for off-balance sheet assets and exposures.

When, in accordance with contractual provisions, it can be concluded that certain assets and liabilities are interdependent –in such a way that the liability cannot mature while the asset remains registered in accounting, the principal payment flows of the asset can only be destined to cancel the liability, and the liability cannot be used to finance other assets– the FER and FED factors may be 0% to the extent that the following is also verified:

i) The interdependent assets and liabilities are clearly identified individually. ii) The maturities and principal amounts of the asset and its interdependent liability coincide. iii) The financial entity acts solely as a conduit through which the received financing –the interdependent liability– is channeled to the corresponding interdependent asset. iv) The counterparties of each pair of interdependent assets and liabilities do not coincide. v) The financial entity has informed the SEFyC, for each operation, the details of the assets and liabilities involved, the maturities, the amounts involved, and the counterparties. The SEFyC will evaluate the reasonableness of the application of the treatment provided for in this section.

NET STABLE FUNDING RATIO
B.C.R.A.
Section 4. Interdependent assets and liabilities.
Version: 1st. COMMUNICATION “A” 6306
Validity:
01/01/2018

5.1. Available Stable Funding Factors (ASF). Factor

5.1.1. Common Level 1 capital (CO n1), additional Level 1 capital (CA n1), and Level 2 capital (PNc) in accordance with Section 8. of the rules on “Minimum Capital of Financial Entities” –without deducting the items admitted therein–, excluding Level 2 instruments with a residual maturity of less than one year (point 2.3.1.1.).
100%

5.1.2. Capital instruments –not included in point 2.3.1.1.– with an effective residual maturity equal to or greater than one year (point 2.3.1.2.).
100%

5.1.3. Loans and other liabilities –including time deposits– with an effective residual maturity equal to or greater than one year (point 2.3.1.3.).
100%

5.1.4. Deferred tax liabilities whose earliest possible settlement date is equal to or greater than one year and minority interests (points 2.3.1.4. and 2.3.1.5.).
100%

5.1.5. “Stable” demand and time deposits with a residual maturity of less than one year, made by retail customers and SMEs (point 2.3.2.).
95%

5.1.6. Demand deposits and time deposits not included in point 2.3.2. with a residual maturity of less than one year, made by retail customers and SMEs (point 2.3.3.).
90%

5.1.7. Secured or unsecured funding from the non-financial private sector –except SMEs– with a residual maturity of less than one year (point 2.3.4.1.).
50%

5.1.8. Operational deposits in accordance with point 4.2.2. of the rules on “Liquidity Coverage Ratio” (point 2.3.4.2.).
50%

5.1.9. Funding obtained from the National Government and the rest of the non-financial public sector, from other sovereign states and non-financial public sector entities of those states, and from multilateral development banks, with a residual maturity of less than one year (point 2.3.4.3.).
50%

5.1.10. Other funding (secured or unsecured) not included in points 2.3.4.1. to 2.3.4.3. with a residual maturity from six months to less than one year –includes funding from the Central Bank of the Argentine Republic and central banks of other sovereign states and financial sector institutions (point 2.3.4.4.).
50%

NET STABLE FUNDING RATIO
B.C.R.A.
Section 5. Factors.
Version: 1st. COMMUNICATION “A” 6306
Validity:
01/01/2018

5.1.11. Deferred tax liabilities whose earliest possible settlement date is between six months and less than one year (point 2.3.4.5.).
50%

5.1.12. Capital instruments not included in points 2.3.1.1. and 2.3.1.2., and liabilities not included in points 2.3.1. to 2.3.4. –including funding with a residual maturity of less than six months from the BCRA, central banks of other sovereign states, and financial sector institutions (point 2.3.5.1.).
0%

5.1.13. Other liabilities with an indeterminate maturity term; includes short positions and liabilities with an indeterminate maturity term –excluding deferred tax liabilities and minority interests provided for in points 2.3.1.4. and 2.3.4.5. and in point 2.3.1.5., respectively– (point 2.3.5.2.).
0%

5.1.14. Liabilities originated in derivative operations net of assets originated by derivatives –calculated in accordance with points 2.2.2. and 3.2.5., respectively–, if the liabilities turn out to be greater than the assets (point 2.3.5.3.).
0%

5.1.15. Amounts pending payment for purchases of financial instruments, currencies, or commodities (point 2.3.5.4.).
0%

5.2. Required Stable Funding Factors (RSF).

5.2.1. Cash in hand, in transit, in securities transporters, and in ATMs (point 3.3.2.1.).
0%

5.2.2. Deposits in the BCRA –including those computable as integration of minimum cash–, without considering the amounts in special guarantee accounts (point 3.3.2.2.).
0%

5.2.3. Exposures to the BCRA and to central banks of other sovereigns with a residual maturity of less than six months (point 3.3.2.3.).
0%

5.2.4. Amounts pending settlement for sales of financial instruments, currencies, or commodities (point 3.3.2.4.).
0%

5.2.5. Level 1 assets (An1) free of restrictions, excluding assets whose residual maturity is provided for in point 3.3.2. (point 3.3.3.):
5%

5.2.5.1. National public bonds and monetary regulation instruments of the BCRA in pesos as provided for in point 3.3.3.1.
5.2.5.2. National public bonds and monetary regulation instruments of the BCRA in foreign currency as provided for in point 3.3.3.2.
5.2.5.3. Securities issued and guaranteed by the Bank for International Settlements, International Monetary Fund, European Central Bank, European Union or Multilateral Development Banks, which meet the conditions provided for in point 3.3.3.3.
5.2.5.4. Debt securities issued by other sovereigns (or their central banks) in their respective currencies as provided for in point 3.3.3.4.
5.2.5.5. Debt securities issued by other sovereigns (or their central banks) in a foreign currency – other than the respective currency of those sovereigns – as provided for in point 3.3.3.5.
5.2.6. Unrestricted loans with a residual maturity of less than six months granted to financial sector institutions, to the extent that they are secured with some of the Level 1 assets (A n1) and the financial entity has the capacity to freely reallocate the asset received as collateral during the life of the loan (point 3.3.4.).
10 %
5.2.7. Unrestricted loans with a residual maturity of less than six months granted to financial sector institutions, not included in point 3.3.4. Includes non-operational deposits held in financial sector institutions in accordance with point 3.2.7.1. (point 3.3.5.).
15 %
5.2.8. Level 1 assets (A n1) with restricted availability for a period between six months and less than one year (point 3.3.6.1.).
50 %
5.2.9. Loans granted to financial sector institutions – including non-operational deposits held in that sector in accordance with point 3.2.7.2.–, to the BCRA and to central banks of other sovereigns, with a residual maturity equal to or greater than six months and less than one year (point 3.3.6.2.).
50 %

NET STABLE FUNDING RATIO
B.C.R.A.
Section 5. Factors.
Version: 1st. COMMUNICATION “A” 6306
Validity:
01/01/2018

5.2.10. Operational deposits held in financial sector institutions (point 3.3.6.3.).
50 %
5.2.11. Assets that are not considered Level 1 (A n1) and are not included in points 3.3.1. to 3.3.6.3. with a residual maturity of less than one year, including loans to retail customers, to SMEs, to non-financial private sector companies, to the National Government, to the rest of the non-financial public sector and to other sovereigns and entities of the non-financial public sector of those states (point 3.3.6.4.).
50 %
5.2.12. Mortgage financing secured by residential housing – sole, family and permanent occupation – unrestricted, subject to a risk weight equal to or less than 35% in accordance with the rules on “Minimum Capital of Financial Entities” with a residual maturity equal to or greater than one year (point 3.3.7.1.).
65 %
5.2.13. Other unrestricted loans not included in points 3.3.1. to 3.3.7.1. – excluding those granted to financial sector institutions – with a residual maturity equal to or greater than one year, subject to a risk weight of 35% or less as established in the rules on “Minimum Capital of Financial Entities” (point 3.3.7.2.).
65 %
5.2.14. Assets constituted as collateral – such as cash and securities, even those off-balance sheet – as initial margin for derivative contracts – unless, by application of another point, a higher NSFR factor applies – and cash or other assets contributed as contribution to the guarantee fund constituted to cover defaults of a CCP (point 3.3.8.1.).
85 %
5.2.15. Other unrestricted loans with up to 90 days overdue and subject to a risk weight greater than 35% as established in the rules on “Minimum Capital of Financial Entities” and with a residual maturity equal to or greater than one year, excluding loans to financial sector institutions (point 3.3.8.2.).
85 %
5.2.16. Debt securities with a residual maturity equal to or greater than one year and shares traded on securities markets, which are not considered Level 1 assets (A n1), unrestricted and corresponding to issuers that are not in default (point 3.3.8.3.).
85 %

NET STABLE FUNDING RATIO
B.C.R.A.
Section 5. Factors.
Version: 1st. COMMUNICATION “A” 6306
Validity:
01/01/2018

5.2.17. Physically traded commodities, including gold (point 3.3.8.4.).
85 %
5.2.18. Assets with restricted availability for a period equal to or greater than one year (point 3.3.9.1.).
100 %
5.2.19. Assets originated in derivative transactions calculated in accordance with point 3.2.5., net of liabilities originated in derivative transactions calculated in accordance with point 2.2.2., provided that assets are greater than liabilities (point 3.3.9.2.).
100 %
5.2.20. Other assets not included in points 3.3.1. to 3.3.9.2. Includes loans with more than 90 days overdue; loans to financial sector institutions, with a residual maturity equal to or greater than one year; shares not traded on securities markets; fixed assets; items deductible from the RPC and any other asset weighted at 1250%, as provided in the rules on “Minimum Capital of Financial Entities”. Includes non-operational deposits held in financial sector institutions according to point 3.2.7.3. (point 3.3.9.3.).
100 %
5.2.21. 20% of liabilities originated in derivative transactions – negative replacement cost – calculated according to point 2.2.2. (without deducting any variation margin that may have been constituted), regardless of their net position (point 3.3.9.4.).
100 %
5.2.22. Off-balance sheet exposures.
5.2.22.1. Committed credit and liquidity facilities (unused amount) – in accordance with the definition of point 4.4.4. of the rules on “Liquidity Coverage Ratio” – granted to any counterparty (point 3.4.1.).
5 %
5.2.22.2. Uncommitted credit and liquidity facilities (unused amount) – in accordance with the definition of point 4.4.6.3. of the rules on “Liquidity Coverage Ratio” – granted to any counterparty (point 3.4.2.1.).
0 %
5.2.22.3. Foreign trade financing transactions – such as guarantees and letters of credit – (point 3.4.2.2.).
5 %

NET STABLE FUNDING RATIO
B.C.R.A.
Section 5. Factors.
Version: 1st. COMMUNICATION “A” 6306
Validity:
01/01/2018

5.2.22.4. Guarantees and letters of credit not related to foreign trade financing transactions (point 3.4.2.3.).
5 %
5.2.22.5. Non-contractual obligations (point 3.4.2.4.):
i) debt buyback requests issued by the financial entity itself or by investment vehicles linked to it or other financial facilities of that type.
5 % ii) structured products, to maintain their marketability, such as variable interest bonds and variable interest demand bonds (VRDN).
5 % iii) administered funds that are marketed with the objective of maintaining a stable value.
5 % iv) Other non-contractual obligations. 5 %
5.2.22.6. Other off-balance sheet exposures (point 3.4.2.5.). 5 %

NET STABLE FUNDING RATIO
B.C.R.A.
Section 5. Factors.
Version: 1st. COMMUNICATION “A” 6306
Validity:
01/01/2018

6.1. Individual basis.
Financial entities (including their branches in the country) shall observe the rules relating to the NSFR on an individual basis.
6.2. Consolidated basis.
Without prejudice to compliance on an individual basis, controlling financial entities subject to consolidated supervision shall observe these provisions on a consolidated basis.
Financial entities must actively follow and monitor the liquidity risk exposures and funding needs of each of their branches and subsidiaries – including those located abroad – as well as of the group to which they belong as a whole, paying special attention to legal, regulatory and operational restrictions on the transfer of liquidity.

NET STABLE FUNDING RATIO
B.C.R.A.
Section 6. Compliance bases.
Version: 1st. COMMUNICATION “A” 6306
Validity:
01/01/2018

B.C.R.A.
ORIGIN OF THE PROVISIONS CONTAINED IN THE RULES ON “NET STABLE FUNDING RATIO” ORDERED TEXT ORIGIN STANDARD
Section Point Paragraph Comm. Chapter Point Paragraph
OBSERVATIONS
1.1. “A” 6306
1.2. “A” 6306
1.3. “A” 6306
1.4. “A” 6306
1.
1.5. ”A” 6306
2.1. “A” 6306
2. 2.2. “A” 6306
2.3. “A” 6306
3.1. “A” 6306
3.2. “A” 6306
3.3. “A” 6306
3.
3.4. “A” 6306
4.
“A” 6306
5.1. “A” 6306
5.
5.2. “A” 6306
6.1. “A” 6306
6.
6.2. “A” 6306