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FRM Part I · FRM Exam Part I · Banks

A bank has available stable funding (ASF) of $240 billion. Its assets and off-balance-sheet exposures require required stable funding (RSF) of $200 billion. Which statement about the bank's Net Stable Funding Ratio (NSFR) under Basel III is correct?

NSFR is 120% because available stable funding of $240 billion divided by required stable funding of $200 billion equals 1.2. This exceeds the Basel III minimum of 100%, so the bank satisfies the requirement.

  1. ANSFR is 83.3%, so the bank fails the minimum requirement
  2. BNSFR is 120%, so the bank meets the minimum requirementCorrect
  3. CNSFR is 120%, so the bank fails because the minimum is 150%
  4. DNSFR is 16.7%, since it is measured as surplus over ASF

Explanation

NSFR = ASF/RSF = 240/200 = 120%, above the 100% minimum. The 83.3% figure inverts the ratio (200/240). The minimum is 100%, not 150%.

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