Basel Committee Addresses Implementation of NSFR and Treatment of Derivative Liabilities

Last Thursday, October 5th, the Basel Committee on Banking Supervision (BCBS) agreed to allow national discretion for the net stable funding ratio's (NSFR) treatment of derivative liabilities. This should facilitate the implementation of the NSFR, which is expected to begin on January 1, 2018. U.S. regulators have not, to date, finalized the NSFR for U.S. bank implementation.

The NSFR assigns a 20 percent "required stable funding" factor to derivative liabilities. According to its press release, the BCBS has agreed that, at national discretion, jurisdictions may lower the value of this factor, with a floor of 5 percent.

As SFIG highlighted last week, the BCBS is also considering whether any further revisions to the treatment of derivative liabilities are warranted, and if so, will undertake a public consultation on any proposed changes.

If you would like to join SFIG's Regulatory Capital & Liquidity Committee, please contact Alyssa.Acevedo@sfindustry.org.

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