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).