The Net Stable Funding Ratio (NSFR) and repo market liquidity: A Basel accident or an effort at extreme risk mitigation?

On the 7th of April, Risk Magazine published a piece by Lukas Becker entitled “Repo Desks Up In Arms About NSFR.” The article explains that Basel Committee on Banking Supervision’s (BCBS) Consultative Document on Basel III Net Stable Funding Ratio contains a little noticed requirement that could potentially have a dramatic impact on repo trading. Apparently, the requirement affecting repo initially went unnoticed and the industry is now scrambling to make its case to the BCBS before the consultative period ends on April 11.

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