THE NET STABLE FUNDING RATIO OF US BANK HOLDING COMPANIES: A RETROSPECTIVE ANALYSIS

Abstract

We calculate the Net Stable Funding Ratio (NSFR) for US Bank Holding Companies between 2001-2013. We find, that for the vast majority of cases the NSFR was compatible with the Basel III threshold. In addition, we document a significant deterioration of about 10% of the NSFR during the post-financial crisis period. Moreover, the NSFR exhibits significant heterogeneity across size segments, with its mean level dropping at a decreasing rate.The Net Stable Funding Ratio (NSFR hereafter) is a structural micro-prudential metric of maturity transformation risk, introduced by the Basel Committee of Bank Supervision (BCBS hereafter) in its Basel III accord (BIS, 2010; Gobat et al., 2014).

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Received: 23 Mar 2015
Revised: 9 May 2015
Accepted: 6 Jun 2015
Published: 20 Jun 2015