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FRM Part II · FRM Exam Part II · Liquidity Risk

A bank's available stable funding (ASF) is computed with these items: Tier 1 capital USD 100 million (factor 100%), stable retail deposits USD 400 million (factor 95%), and wholesale funding from non-financial corporates with residual maturity under one year USD 300 million (factor 50%). Required stable funding (RSF) includes Level 1 assets USD 200 million (factor 0%), residential mortgages with 35% risk weight USD 500 million (factor 65%), and other loans to corporates with maturity over one year USD 150 million (factor 85%). What is the NSFR?

ASF is 630 million and RSF is 452.5 million, so the NSFR is about 139.2%, comfortably above the 100% minimum.

  1. AApproximately 129.7%Correct
  2. BApproximately 100.0%
  3. CApproximately 118.4%
  4. DApproximately 140.2%

Explanation

ASF = 100 + 0.95×400 + 0.5×300 = 100 + 380 + 150 = 630. RSF = 0 + 0.65×500 + 0.85×150 = 325 + 127.5 = 452.5. NSFR = 630/452.5 = 139.2%. Checking options: 140.2% is closest but inexact; recomputing 630/452.5 = 1.392. None equals 129.7%, so the stated key is wrong.

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