FRM Part II · FRM Exam Part II · Monitoring Liquidity
Under the NSFR, which funding source generally receives the highest ASF factor?
Regulatory capital and liabilities with residual maturity of one year or more receive the highest ASF factor of 100%. Stable retail deposits get 95%, while short-term funding from financial institutions gets 0%.
- AStable retail deposits from households
- BWholesale deposits from non-financial corporates with under six months maturity
- CFunding from financial institutions with residual maturity under six months
- DRegulatory capital and liabilities with residual maturity of one year or moreCorrect
Explanation
Regulatory capital and liabilities with effective residual maturity of one year or more receive a 100% ASF factor. Stable retail deposits get 95% (90% for less stable), operational and corporate short-term wholesale funding gets 50% at most, and short-term financial-institution funding gets 0%.
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