Skip to content

FRM Part II · FRM Exam Part II · Liquidity Risk Reporting and Stress Testing

A bank has required stable funding (RSF) of USD 400 million. Its available stable funding (ASF) comes from: capital USD 60 million at 100% factor, stable retail deposits USD 200 million at 95%, and wholesale funding under one year USD 150 million at 50%. By how much does the net stable funding ratio (NSFR) exceed or fall short of the 100% minimum, as a percentage of RSF?

The NSFR is 81.25%, a shortfall of 18.75 percentage points. Weighted ASF is 60 plus 190 plus 75, or USD 325 million, divided by RSF of USD 400 million. The bank falls below the 100% minimum.

  1. AFalls short by 18.75 percentage points
  2. BExceeds by 6.25 percentage points
  3. CFalls short by 6.25 percentage pointsCorrect
  4. DExceeds by 18.75 percentage points

Explanation

ASF = 60 + 190 + 75 = 325. NSFR = 325/400 = 81.25%, which is 18.75 points below 100%. Hence the shortfall is 18.75 points, not 6.25. Recheck: 100 - 81.25 = 18.75, so the first option is correct.

Did you get it right without looking?

One question tells you little. A timed set on Liquidity Risk Reporting and Stress Testing shows your real accuracy, how long you take and where you lose marks.

Practise Liquidity Risk Reporting and Stress TestingFree diagnostic mock

More Liquidity Risk Reporting and Stress Testing questions