NSFR

Question 1

NSFR Reporting in COREP — Summary

Answer 1

What is NSFR?

NSFR = Net Stable Funding Ratio

It is a Basel III structural liquidity ratio implemented in the EU under CRR to ensure banks maintain sufficient stable funding over a 1-year horizon.

Objective:
Ensure long-term assets are funded with stable liabilities.

Minimum requirement:

NSFR ≥ 100%

NSFR=
Required Stable Funding (RSF)/
Available Stable Funding (ASF)
​

Question 2

Scope of NSFR COREP reporting

Answer 2

Applies to:

All CRR credit institutions

Individual level

Consolidated level

Sub-consolidated level (where applicable)

Frequency:

Quarterly

Monthly (for large/significant institutions under supervisory requirements)

Question 3

COREP NSFR Templates

Answer 3

Template Description
C 80.00 NSFR summary
C 81.00 Available Stable Funding (ASF)
C 82.00 Required Stable Funding (RSF)
C 83.00 Off-balance sheet items
C 84.00 Derivatives
C 85.00 Encumbered assets impact
C 86.00 Additional liquidity metrics

Question 4

What is reported in NSFR COREP

Answer 4

A. Available Stable Funding (ASF)

Represents liability stability.

Examples and ASF weights:

Funding source ASF factor
CET1 capital 100%
Retail deposits (stable) 95%
Retail deposits (less stable) 90%
Corporate deposits 50%
Short-term wholesale funding 0%
B. Required Stable Funding (RSF)

Represents funding required by assets.

Examples and RSF weights:

Asset RSF factor
Cash 0%
Government bonds 5–15%
Loans to customers 65–85%
Fixed assets 100%

Less liquid assets require more stable funding.

C. Off-balance sheet exposures

Examples:

Loan commitments

Guarantees

These require stable funding allocation.

D. Derivatives and collateral impact

Includes:

Net derivative liabilities

Variation margin impact

Collateral posted and received