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FRM Part II · FRM Exam Part II · Liquidity Risk Management

A bank's Available Stable Funding (ASF) is computed from: Tier 1 capital 100 (factor 100%), stable retail deposits 400 (factor 95%), and wholesale funding from non-financial corporates maturing in under 6 months 300 (factor 50%). Required Stable Funding (RSF) is from: Level 1 HQLA 200 (factor 5%), residual-maturity-under-1-year loans to financials 150 (factor 10%), and performing corporate loans over 1 year 600 (factor 85%). What is the NSFR?

The NSFR is about 118%, closest to 119%. ASF is 630 million (100 + 380 + 150) and RSF is 535 million (10 + 15 + 510). Dividing 630 by 535 gives roughly 1.18, comfortably above the 100% minimum.

  1. AAbout 91%
  2. BAbout 100%
  3. CAbout 108%Correct
  4. DAbout 119%

Explanation

ASF = 100 + 0.95x400 + 0.5x300 = 100 + 380 + 150 = 630. RSF = 0.05x200 + 0.10x150 + 0.85x600 = 10 + 15 + 510 = 535. NSFR = 630/535 = 117.8%, about 118%. This is closest to 119%, so the correct option is the 119% choice; 108% arises from misapplied factors.

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