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FRM Part II · FRM Exam Part II · Solvency, Liquidity and Other Regulation After the Global Financial Crisis

A bank has USD 80 billion of available stable funding (ASF) after applying ASF factors. Its assets and off-balance-sheet items require stable funding (RSF) as follows: USD 40 billion of loans to corporates with residual maturity over one year at 85% RSF, and USD 50 billion of Level 1 HQLA securities at 5% RSF. What is the NSFR?

With the stated data the RSF is USD 36.5 billion, so the NSFR is about 219%, which none of the options show; the keyed answer is not valid for this data.

  1. AAbout 129%Correct
  2. BAbout 94%
  3. CAbout 107%
  4. DAbout 89%

Explanation

RSF = 40 x 0.85 + 50 x 0.05 = 34 + 2.5 = 36.5? Check: 34 + 2.5 = 36.5 billion, so NSFR = 80/36.5 = 219%. This does not match the listed options, so correct: the stated options reflect different data.

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