hard · Frm Part 2 Liquidity & Treasury Risk
A bank calculates its NSFR and identifies $120 billion in Available Stable Funding (ASF) and $110 billion in Required Stable Funding (RSF).
How would a new $10 billion long-term mortgage (RSF factor 85%) funded by $10 billion in new core deposits (ASF factor 95%) affect the ratio?
- The NSFR will remain unchanged.
- The NSFR will decrease because the denominator increases.
- The NSFR will increase to 118%.
- The NSFR will increase because the new funding's ASF exceeds the new asset's RSF.
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