Modules/Insight Core

NSFR Insight Core

Available and required stable funding, weighted by their regulatory characteristics including maturity: ratio calculation, analysis and reporting.

KernelIRRBBCSRBBGAPLCRNSFRALMMFlowQuant ALMSolvency
Role, inputs, outputs

Produce, stress and project the NSFR.

Inputs
On- & off-balance sheet positionsOwn funds, derivatives, securities financingBalance sheet projectionRegulatory attributesSecurities & counterparty references
NSFR Insight Coredeterministic engine
Outputs
NSFR ratio & historyASF / RSF by categoryDrill-down to the finest granularity (security)Reverse stressSimulationILAAP and CFPMulti-currency, by entity and for the groupBridge and multi-bridge between reporting datesAnalysisRegulatory, management and custom reporting
Role

Produce, stress and project the NSFR (net stable funding ratio): ratio calculation and analysis of available stable funding (ASF) and required stable funding (RSF), weighted by their regulatory characteristics, including maturity.

Inputs

On- and off-balance sheet positions; own funds, derivatives, securities financing transactions; balance sheet projection; regulatory attributes (maturity, counterparty, product type); securities and counterparty references.

Outputs

NSFR (net stable funding ratio) ratio and its historical evolution, reporting date by reporting date, ASF / RSF breakdown by category, bridges between reporting dates, industrialised regulatory reporting and management views.

Agentic analysis

Explanation of ratio changes, breakdown of ASF and RSF contributors, simulation of a change in the funding structure in conversation.

ILAAP · PFU

Contribution to the ILAAP and CFP

Projection and stress of the ratios for the ILAAP (internal liquidity adequacy assessment process) and CFP.

Functional scope

What the module covers.

Ratio calculationRegulatory weightingsASF by categoryRSF by categoryQuick stress in conversationStress configurationReverse stressNSFR projectionBridge and multi-bridge between reporting datesDrill-down to the finest granularity (security)Industrialised regulatory reportingConfigurable analysis routines
In conversation

Ratio trend, reporting date by reporting date.

Ratio across all calculated reporting dates of an entity, with the corresponding ASF and RSF.

rialto-kernel · NSFR · ratio trend
ASFRSFNSFR ratio (%)020,00040,00060,00080,000126129132135137€m%31/03/202330/06/202330/09/202331/12/202331/03/202430/06/202430/09/202431/12/2024
Illustrative example · fictitious data

Explain a change in the ratio, period by period.

The ASF / RSF bridge breaks down the change across several consecutive reporting dates and names the contributors for each period. The answer stays linked to the outstandings and weightings applied.

rialto-kernel · NSFR · breakdown trend
ΔNSFR breakdown trend3 reporting dates · 2 periods · %03570105135.9131.631/03/2024+2.4ASF-1.5RSF132.530/06/2024+0.9ASF-0.9RSF132.530/09/2024
Illustrative example · fictitious data

Configure an NSFR stress

Choose the base (the book at the reporting date or a projection), the nature of the shock (idiosyncratic, systemic or combined) and its granularity (a single item or a full scenario). The scenario is saved, then queried in conversation, which recalculates the ratio before and after the shock.

rialto-kernel · NSFR · stress configuration
Configure an NSFR stress
Save the scenario here, then ask in conversation: “the NSFR under the stress …”.
01Base
A scenario applies to the base it was configured against.
Spot (reporting date)
The whole reported book, at report levels: the shock is chosen by section, then family, then item.
Projected (PROJECTION workbook)
Only the items you entered, flat, and the only base where a progressive profile exists.
02Nature
Idiosyncratic
Institution-specific shock: deposit withdrawal, loss of a counterparty.
Systemic
Market shock: wholesale funding closes, financial deposit-taking dries up.
Combined
Both at once: a scenario with legs on both ASF and RSF.
03Granularity
Sensitivity
A single item shocked, to measure its contribution to the ratio.
Scenario
Several items together: what a real crisis moves at the same time.
Illustrative example · fictitious data

Projected NSFR trajectory.

Ratio projected over a grid of reporting dates from historical weights, by scenario.

rialto-kernel · NSFR · projected NSFR
ASFNSFR (%)RSF020,00040,00060,00080,00003570105140Weighted amount%Projection horizon67,071.451,832.5Reporting 30/09/202364,241.249,645.31Y62,956.352,127.62Y61,671.554,609.83Y129.4129.4120.8112.9
Illustrative example · fictitious data

See RIALTO reason over your numbers.

We simulate a full analysis with your data types and the scenario of your choice.

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