Regulatory Alerts2024-09-18
Added · Updated
Responses to Banks' Inquiries and Comments on the NSFR Ratio Instructions Draft
The Central Bank clarifies specific regulatory requirements for the Net Stable Funding Ratio (NSFR) draft instructions, addressing banks' inquiries on asset classification, liability treatment, and calculation methodologies. The document defines the valuation of collateral, the treatment of HQLA relative to LCR caps, and the application of specific funding factors for various asset and liability types, including secured loans, unsecured exposures, and defaulted securities. It mandates that banks apply specific RSF and ASF percentages based on remaining maturity and credit risk weights, ensuring alignment with Basel III standards and existing liquidity frameworks.
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