Basel concession strengthens U.S. opposition to NSFR

Randy Benjenk is quoted by Risk Magazine in an article regarding the Basel Committee's concession that would allow national authorities to soften the treatment of derivatives liabilities in the net stable funding ratio (NSFR).

“Gross derivatives liabilities is not a very good proxy for a bank’s potential future funding needs for its derivatives portfolio,” says Benjenk. “The question is: is the number the US agencies come out with – assuming they come out with one lower than 20% – low enough to smooth over feelings about the gross derivatives liabilities metric?” The decision on the derivatives liabilities add-on could form a test case for the new Administration’s willingness to move away from the Obama era practice of going beyond international standards, he says. “If the EU came out with a number above 5% and the U.S. agencies matched the EU, it would be harder to accuse the U.S. agencies of gold-plating the international standard," says Benjenk.