The European Banking Authority (EBA) published its report on the impact assessment and calibration of the Net Stable funding Ratio (NSFR), recommending the introduction of the NSFR in the EU to ensure stable funding structures in relation to the degree of asset illiquidity, as the way of properly mitigating funding risk in banks. The report also flagged that while the Basel NSFR standard is seen as fitting well within the EU banking framework, certain EU specificities should be taken into account. This is in particular the case of trade finance, pass-through models, CCPs, centralised regulating savings and residential guaranteed loans.
The analysis carried out did not reveal strong statistical evidence of any significant detrimental effects of the NSFR on bank lending, financial assets markets or trading book positions in banks, other than some possible adjustment in prices. However, the EBA stands ready to provide, where needed, further technical advice on the potential impact of the NSFR on derivatives in the context of possible developments at international level in particular.
The EBA report did not find arguments to exempt certain banks from being subject to compliance with the NSFR because of their size. However, it also stressed that the EBA will explore more in detail the costs of implementing the reporting requirements for smaller banks, and stands ready to conduct further work on possible metrics for an effective application of the principle of proportionality.
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