Liquidity & Treasury Risk — Frm Part 2 Practice Questions

73 free Frm Part 2 questions on Liquidity & Treasury Risk: 17 easy, 43 medium, and 13 hard, every one exam-realistic and fully explained once you sign in. This is the fastest way to turn Liquidity & Treasury Risk from a weakness into a scoring area — drill it in 10-question reps with immediate feedback.

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1. What is the bank's Liquidity Coverage Ratio (LCR), and does it meet the minimum Basel III requirement?
2. To immunize the economic value of equity against a parallel rate shift, what is the required Duration Gap (DGA
3. How would a new $10 billion long-term mortgage (RSF factor 85%) funded by $10 billion in new core deposits (AS
4. Which lens of Interest Rate Risk in the Banking Book (IRRBB) would show a significant loss if interest rates r
5. A bank has 100bn of securities classified as 'Held-to-Maturi… — If interest rates rise and the market value of
6. A bank's balance sheet shows total assets of 100bn with a modified duration ofDA = 5.0and total liabilities of
7. A bank's 'Survival Horizon' in a liquidity stress test is defined as:
8. For the NSFR, a residential mortgage with a maturity over one year typically receives which RSF factor?
9. Under the current regulatory framework, what is the specific time horizon defined for the Liquidity Coverage R
10. What does 'Pre-positioned' collateral mean in the context of a central bank facility in the CFP?
11. What role do Early Warning Indicators (EWIs) play within a robust Contingency Funding Plan framework?
12. What sub-cap is applied to Level 2B assets within the total stock of HQLA for the LCR?
13. Which of the following is true regarding 'Level 2B' assets in the LCR?
14. Which of these is a common 'Exam Trap' when comparing the LCR and NSFR?
15. A bank behaviorally models a 'core' segment of its demand de… — If rates rise by 200 basis points, how does th
16. If net 30-day outflows are $50 billion, which constraint most directly reduces its usable HQLA?
17. A bank has an LCR of 120% with HQLA of 60 million. If its HQLA market value drops by 10% due to a market shock
18. A CFO argues that since 'funding is cheap today,' the bank s… — What historical referent is this logic associa
19. Which of the following events is a direct manifestation of Funding Liquidity risk?
20. If a bank has $10 billion in Available Stable Funding (ASF) and $12 billion in Required Stable Funding (RSF)
21. In a well-designed FTP framework, what is the 'Franchise Value' of a deposit taking unit?
22. In the Net Stable Funding Ratio (NSFR), how is the funding requirement for Level 1 HQLA treated compared to it
23. What is the RSF factor for performing loans to non-financial corporates with a remaining maturity of more than
24. Which liability has an ASF factor of 0% under the NSFR rules?
25. Which of the following describes the 'Usability Paradox' of the Liquidity Coverage Ratio (LCR)?
26. A bank's 'Available Stable Funding' (ASF) includes 100m in retail deposits. If80m are classified as 'stable' a
27. A bank's deposit unit gathers $1 billion in deposits. Matche… — What is the institutional consequence of this
28. If the spread has a mean of 60 bps and a volatility of 35 bps, what is the Liquidity-adjusted VaR (LVaR) using
29. If total net cash outflows over the next 30 days are $200m, what is the LCR?
30. In the context of Asset-Liability Management (ALM), 'surplus at risk' is most conceptually similar to which ma