You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
If I apply this in the exact same way to the 2022 data, I get a ratio of 89.90% which is too far from 137% published in 2022. Which means that something is missed in the methodology. On the other hand the LCR you calculated in the other video is perfect.
@ 03:11 Hi @NEDL, Excessive maturity transformation means borrowing money on shorter timeframes than they lend money out, right? In video you say, " banks *assets* would be very short term and unstable which is wrong, do you agree? You wanted to say bank' liability there right?
I'm confused, whats the difference between stable funding & less stable funding vs household deposits & commercial deposits in available stable funding? The deposits and stable funding seem to be coming from commercial and or household already
Hello Ridhi, and thanks for the question! Long story short, the concept of carrying value is that assets and liabilities should go into the NSFR calculations before any deductions or regulatory adjustments. Hope it helps!
@@NEDLeducation It really does. It would also be great if you could give some examples of such adjustments especially from a cash and cash equivalents perspective.
Hello...kindly if I may ask why don't you consider the commitments? lest say Barclays has a committed to a corporate line of $100 of which 50% was disbursed already...therefore $50 drown and $50 is committed...how do you account for this? many thanks
Hi Alexei, and thanks for the question! As per the Basel LCR and NSFR methodology, you only consider potential future calls on liquidity arising from commitments, so you need to account for the remaining 50%.
Hi Under 0% RSF, will cash balances with the bank fall under "all claims with the central bank?? Also Under 85% RSF, i see cash next to initial margin for derivatives on CCP..... How different is this cash from cash under 0% RSF bracket ??? Pls help
Hi Sulley, and thanks for the questions! The cash next to initial margin would be cash collateral stored in the financial institution's margin account within the exchange it trades derivatives with. It has a much higher RSF weight as the institution can redeem this cash only if it closes the derivative positions. I have got a video that explains margining for futures trading to some detail, check it out if you are interested: th-cam.com/video/5Onp6I0gVQ4/w-d-xo.html Hope it helps!
@@sulleymashoud3583 Hi again Sulley, not at the moment, but will definitely consider it at some point in the future when I return to risk management videos.
You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
good morning, I wanted to download the templates but I can't find them on your drive, can you tell me where they are? thanks and congratulations
Finished building this (EBA/PRA taxonomy 3.0) for a major UK bank.🤓
Amazing video !
Very informative. Thanks
Really good explanation thank you!
Fantastic. Thank you
If I apply this in the exact same way to the 2022 data, I get a ratio of 89.90% which is too far from 137% published in 2022. Which means that something is missed in the methodology. On the other hand the LCR you calculated in the other video is perfect.
This is brilliant! Thanks
It is a great video. Where I can see the spreadsheet you used in this video. I can't see in the drive link you shared. Thanks
Very helpful thank you.
@ 03:11 Hi @NEDL, Excessive maturity transformation means borrowing money on shorter timeframes than they lend money out, right? In video you say, " banks *assets* would be very short term and unstable which is wrong, do you agree? You wanted to say bank' liability there right?
Hi Rohit, and thanks for the question! Yes, this has been a slip of the tongue.
I'm confused, whats the difference between stable funding & less stable funding vs household deposits & commercial deposits in available stable funding? The deposits and stable funding seem to be coming from commercial and or household already
Sir , my question is that on what basis you are distrbuting deposit amount on different maturity period?
Hello. Could you tell me a little about carry value adjustments table which has been newly introduced and how would that affect nsfr?
Hello Ridhi, and thanks for the question! Long story short, the concept of carrying value is that assets and liabilities should go into the NSFR calculations before any deductions or regulatory adjustments. Hope it helps!
@@NEDLeducation It really does. It would also be great if you could give some examples of such adjustments especially from a cash and cash equivalents perspective.
Hello...kindly if I may ask why don't you consider the commitments? lest say Barclays has a committed to a corporate line of $100 of which 50% was disbursed already...therefore $50 drown and $50 is committed...how do you account for this? many thanks
Hi Alexei, and thanks for the question! As per the Basel LCR and NSFR methodology, you only consider potential future calls on liquidity arising from commitments, so you need to account for the remaining 50%.
@@NEDLeducation indeed, but BIS does not suggest a factor? Except the 5%?
Awesome
Спасибки!
Hi
Under 0% RSF, will cash balances with the bank fall under "all claims with the central bank??
Also
Under 85% RSF, i see cash next to initial margin for derivatives on CCP..... How different is this cash from cash under 0% RSF bracket ??? Pls help
Hi Sulley, and thanks for the questions! The cash next to initial margin would be cash collateral stored in the financial institution's margin account within the exchange it trades derivatives with. It has a much higher RSF weight as the institution can redeem this cash only if it closes the derivative positions. I have got a video that explains margining for futures trading to some detail, check it out if you are interested: th-cam.com/video/5Onp6I0gVQ4/w-d-xo.html Hope it helps!
Thank you so much i really appreciate it. It was very helpful.
Do you have any videos on contructual maturity mismatch , concentration funding
@@sulleymashoud3583 Hi again Sulley, not at the moment, but will definitely consider it at some point in the future when I return to risk management videos.