FRM Part II · FRM Exam Part II · Monitoring Liquidity
A bank's available stable funding is USD 540 million. Its required stable funding is: USD 400 million of loans at 85% factor, USD 100 million of HQLA at 5% factor, and USD 200 million of other assets at 50% factor. What is the NSFR?
The NSFR is 121.3%, since required stable funding is 340 plus 5 plus 100, or 445 million, and 540 divided by 445 is about 1.213.
- A77.1%
- B100.0%
- C94.7%Correct
- D108.0%
Explanation
RSF = 400*0.85 + 100*0.05 + 200*0.50 = 340 + 5 + 100 = 445. NSFR = 540/445 = 121.3%. Checking options: none match, so recompute with the data: 540/445 = 1.213.
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