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

A bank's treasury team is building a liquidity monitoring framework based on the BCBS 144 (Basel III liquidity monitoring tools) approach. Which of the following is one of the five monitoring tools specified in that document?

Contractual maturity mismatch is one of the five BCBS 144 monitoring tools. The others are funding concentration, available unencumbered assets, LCR by significant currency and market-related tools. The NSFR and aggregate LCR are minimum standards, and the leverage ratio is a capital measure.

  1. AContractual maturity mismatchCorrect
  2. BNet stable funding ratio
  3. CLiquidity coverage ratio
  4. DLeverage ratio

Explanation

BCBS 144 sets out five monitoring tools: contractual maturity mismatch, concentration of funding, available unencumbered assets, LCR by significant currency, and market-related monitoring tools. The LCR and NSFR are the minimum standards, and the leverage ratio is a separate capital measure. The LCR by significant currency is a monitoring tool, but the aggregate LCR itself is not.

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