hard · Frm Part 2 Liquidity & Treasury Risk
Calculate the Net Stable Funding Ratio (NSFR) for an entity with the following: Tier 1 Capital = 10bn (ASF=100%); Stable Retail Deposits = 50bn (ASF=95%); Wholesale funding < 1yr = 40bn (ASF=50%). Assets: Residential Mortgages (standard risk weight) = 60bn (RSF=65%); Loans to non-financial corporates < 1yr = 30bn (RSF=50%); Level 1 HQLA = 20bn (RSF=5%).
- NSFR = 77.5%
- NSFR = 110.7%
- NSFR = 140.0%
- NSFR = 92.3%
Sign up free to see the explanation and track your rank →
More Frm Part 2 Liquidity & Treasury Risk practice
- What is the bank's Liquidity Coverage Ratio (LCR), and does it meet the minimum Basel III
- To immunize the economic value of equity against a parallel rate shift, what is the requir
- How would a new $10 billion long-term mortgage (RSF factor 85%) funded by $10 billion in n
- Which lens of Interest Rate Risk in the Banking Book (IRRBB) would show a significant loss
- A bank has 100bn of securities classified as 'Held-to-Maturi… — If interest rates rise and
- A bank's balance sheet shows total assets of 100bn with a modified duration ofDA = 5.0and
- A bank's 'Survival Horizon' in a liquidity stress test is defined as:
- For the NSFR, a residential mortgage with a maturity over one year typically receives whic