hard · FRM Part 2 Liquidity & Treasury Risk
Calculate the Net Stable Funding Ratio (NSFR) for an entity with the following: Tier 1 Capital = 10 bn (ASF= 100%); Stable Retail Deposits = 50 bn (ASF= 95%); Wholesale funding < 1yr = 40 bn (ASF= 50%). Assets: Residential Mortgages (standard risk weight) = 60 bn (RSF= 65%); Loans to non-financial corporates < 1yr = 30 bn (RSF= 50%); Level 1 HQLA = 20 bn (RSF= 5%).
- NSFR = 77.5%
- NSFR = 110.7%
- NSFR = 140.0%
- NSFR = 92.3%
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