medium · Frm Part 2 Liquidity & Treasury Risk
A systemically important treasurer is reviewing the bank's Contingency Funding Plan (CFP).
Which scenario would most likely reveal a 'monitoring gap' between regulatory ratios (LCR) and intraday operational reality?
- A major correspondent bank withdraws intraday credit lines and delays all incoming payments until the end of the business day.
- A transition from a 99% Value-at-Risk (VaR) model to a 97.5% Expected Shortfall (ES) model for market risk capital.
- A rise in the bank's Net Stable Funding Ratio (NSFR) above 110% due to the issuance of 5-year senior unsecured debt.
- A 200 basis point parallel shift upward in the yield curve that reduces the market value of the HQLA portfolio.
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