Proceedings of the 3rd Economics & Finance Conference, Rome

THE NET STABLE FUNDING RATIO OF US BANK HOLDING COMPANIES: A RETROSPECTIVE ANALYSIS

PETROS ARVANITIS, KONSTANTINOS DRAKOS

Abstract:

We calculate the Net Stable Funding Ratio for United States of America Bank Holding Companies for the 2001-2013 period in order to assess retrospectively whether banks satisfied the suggested regulatory threshold. Moreover we investigate potential differences between the pre and post crisis periods as well as across size trenches. We find, retrospectively, 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-crisis period. Finally, the NSFR exhibits significant heterogeneity across size segments, with its mean level dropping at a decreasing rate.

Keywords: Bank Holding Companies, Net Stable Funding Ratio, Basel III, US

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