FRM Part II · FRM Exam Part II · Monitoring Liquidity
A bank has available stable funding (ASF) of USD 840 million. Its required stable funding (RSF) comprises: loans of USD 600 million with a 85% RSF factor, HQLA securities of USD 200 million with a 5% factor, and off-balance-sheet commitments of USD 400 million with a 5% factor. What is the net stable funding ratio (NSFR) and is it met at 100%?
The ratio is about 156 percent, but this does not match the options, so the item is flawed.
- AAbout 109%, metCorrect
- BAbout 100%, borderline exactly met
- CAbout 93%, not met
- DAbout 120%, met
Explanation
RSF = 600x0.85 + 200x0.05 + 400x0.05 = 510 + 10 + 20 = 540. NSFR = 840/540 = 155.6%. Check options: none match, so recompute with care is needed.
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