Research Article

[Retracted] Basel III Liquidity Risk Measures and Bank Failure

Table 12

Summary table of the nett stable funding ratio.

Available stable funding (sources) Required stable funding (uses)
ItemASF factor ItemRSF factor

(i) T1K and T2K instruments
(ii) Other preferred shares and capital instruments in excess of T2K allowable amount having an effective maturity of 1 yr or >1 yr
(iii) Other liabilities with an effective maturity of 1 yr or >1 yr
100% (i) Cash
(ii) Short-term unsecured actively-traded instruments (<1 yr)
(iii) Securities with exactly offsetting reverse repo
(iv) Securities with remaining maturity <1 yr
(v) Nonrenewable loans to financials with remaining maturity <1 yr
0%

Stable deposits of retail and small business customers (nonmaturity or residual maturity <1 yr) 90% Debt issued or guaranteed by sovereigns, central banks, BIS, IMF, EC, noncentral government, multilateral development banks with a 0% risk weight under Basel II standardized approach 5%

Less stable deposits of retail and small business customers (nonmaturity or residual maturity <1 yr) 80% Unencumbered non-financial senior unsecured corporate bonds and covered bonds rated at least AA−, and debt that is issued by sovereigns, central banks, and PSEs with a risk-weighting of 20%; maturity ≥1 yr 20%

Wholesale funding provided by non-financial corporate customers, sovereign central banks, multilateral development banks, and PSEs (non-maturity or residual maturity <1 yr) 50% (i) Unencumbered listed equity securities or non-financial senior unsecured corporate bonds (or covered bonds) rated from A+ to A−, maturity ≥1 yr
(ii) Gold
(iii) Loans to non-financial corporate clients, sovereigns, central banks, and PSEs with a maturity <1 yr
50%

All other liabilities and equity not included above 0% Unencumbered residential mortgages of any maturity and other unencumbered loans, excluding loans to financial institutions with a remaining maturity of 1 yr or >1 yr that would qualify for the 35% or lower risk weight under Basel II standardized approach for credit risk 65%

Other loans to retail clients and small businesses having a maturity <1 yr 85%

All other assets 100%

Off balance sheet exposures

Undrawn amount of committed credit and liquidity facilities 5%

Other contingent funding obligations National supervisory discretion