Skip to content

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

A G-SIB has risk-weighted assets of USD 400 billion and a leverage ratio exposure measure of USD 1,200 billion. Its TLAC minimum is 18% of RWA or 6.75% of leverage exposure, whichever is greater. Its CET1 buffers (conservation, G-SIB surcharge) used to meet buffer requirements sit on top of TLAC. What is the minimum TLAC amount, ignoring buffers?

The minimum TLAC is USD 81 billion. The RWA test gives 18% of 400, or 72 billion, while the leverage test gives 6.75% of 1,200, or 81 billion. Because the requirement is the greater of the two, the leverage-based figure binds.

  1. AUSD 81 billionCorrect
  2. BUSD 72 billion
  3. CUSD 54 billion
  4. DUSD 90 billion

Explanation

RWA-based: 18% x 400 = USD 72 billion. Leverage-based: 6.75% x 1,200 = USD 81 billion. The greater is USD 81 billion, so the leverage measure binds. USD 72 billion arises from using only the RWA test.

Did you get it right without looking?

One question tells you little. A timed set on Solvency, Liquidity and Other Regulation After the Global Financial Crisis shows your real accuracy, how long you take and where you lose marks.

Practise Solvency, Liquidity and Other Regulation After the Global Financial CrisisFree diagnostic mock

More Solvency, Liquidity and Other Regulation After the Global Financial Crisis questions