Basel set to reopen NSFR derivatives debate
Contentious 20% add-on for derivatives liabilities to be reviewed this October
The Basel Committee on Banking Supervision is to launch a fresh consultation on how derivatives exposures should be treated under one of its key liquidity ratios, sources familiar with the matter say.
The net stable funding ratio (NSFR) – one of Basel’s two liquidity ratios – was finalised at the Basel level in October 2014. Since its release, market participants have railed against a provision that requires banks to maintain stable funding equivalent in value to 20% of their gross derivative
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