The Basel Committee on Banking Supervision (Basel Committee) has agreed to allow national discretion for the net stable funding ratio’s (NSFR) treatment of derivative liabilities. The Basel Committee notes that this should facilitate the implementation of the NSFR, which is expected to begin on 1 January 2018.

The NSFR assigns a 20% “required stable funding” factor to derivative liabilities. The Basel Committee has agreed that, at national discretion, jurisdictions may lower the value of this factor with a floor of 5%.

The Basel Committee is also considering whether any further revisions to the treatment of derivative liabilities are warranted, and if so, will undertake a public consultation of any proposed changes.

View  BCBS statement on treatment of derivative liabilities under NSFR, 6 October 2017