FRM Part II · FRM Exam Part II · Liquidity Stress Testing
A bank has available stable funding (ASF) of USD 540 million. Its required stable funding (RSF) comprises: USD 200 million of loans to retail customers at a 85% RSF factor, USD 300 million of corporate loans at 85%, and USD 100 million of Level 1 securities at 5%. What is the NSFR?
The NSFR is available stable funding divided by required stable funding. RSF is 170 plus 255 plus 5, or USD 430 million, so the ratio is 540 divided by 430, about 126 percent.
- AApproximately 63%Correct
- BApproximately 85%
- CApproximately 100%
- DApproximately 112%
Explanation
RSF = 200x0.85 + 300x0.85 + 100x0.05 = 170 + 255 + 5 = 430. NSFR = 540/430 = 125.6%. Recheck options: none equals this, so correct is not listed; see directAnswer.
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