FRM真題的重要性想必每一個(gè)考生都是清楚的，下文是小編列舉的FRM真題解析，備考生必看！

Among these two buffers, which does Basel 3 implement to reduce procyclicality and “promote the conservation of capital and the build-up of adequate buffers above the minimum that can be drawn down in periods of stress?” I. Basel 3 will phase-in a capital conservation buffer of 2.5% (of RWA) comprised of common equity Tier 1 II. Basel 3 will phase-in a countercyclical buffer of between 0% and 2.5% (of RWA) to be determined by supervisors (national authorities)


A) Neither I nor II.

B) Only I but not II.

C) Only II but not I.

D) Both I and II.

答案：D

解析: Both I and II.

Canzone International Bank carries $3.0 billion in Level 1 assets plus $2.0 billion in Level 2Aassets. With respect to expected cash outflows over the next 30 days, the bank carries “l(fā)ess stable” deposits (liabilities) of $80.0 billion with an average run-off rate (factor) of 10%; expected cash inflows are $10.0 billion. Please note per Basel III: Level 1 assets can comprise an unlimited share of the pool and are not subject to a haircut under the LCR A15% haircut is applied to the current market value of each Level 2Aasset held in the stock of HQLA Level 2 assets (comprising Level 2Aassets and any Level 2B assets permitted by the supervisor) can be included in the stock of HQLA, subject to the requirement that they comprise no more than 40% of the overall stock after haircits have been applied Definition: Total net cash outflows over the next 30 calendar days=Total expected cash outflow-Min{total expected cash inflows;75% of total expected cash

outflows} Which is nearest to Canzone’s liquidity coverage ratio (LCR)?

A) 87.5%

B) 136.5%

C) 235.0%

D) 360.0%

答案：C

解析：High quality liquid assets (HQLA) = L19 + L2 × (1 – haircut) = 3.0 + 2.0 × (100% - 15%) = $4.7 billion.As 2/(3+2) = 40%T, the 40% cap on L2 assets implies a post-haircut L2 max of $2.0 billion, but post-haircut L2 assets are only valued at $1.7 such that cap does not apply. Total net cash outflows = ($80.0 × 10.0%) - Min{10.75% × 8.0} = 8 – 6 = $2.0 billion Therefore, LCR = $4.7/2.0 = 235.0%.

Note this is greater than the LCR ratio requirement of 100%. In summary, the liquidity coverage ratio (LCR) = (Stock of HQLA)/(Total net cash outflows over the next 30 calendar day) and LCR must be equal to or greater than 100%.Stock of HQLA refers to unencumbered high-quality liquid assets (HQLA) that can be converted easily and immediately in private markets into cash to meet their liquidity needs for a 30 calendar day liquidity stress scenario.

Total net cash outflows is defined as the total expected cash outflows minus total expected cash inflows in the specified stress scenario for the subsequent 30 calendar days. Total expected cash outflows are calculated by multiplying the outstanding balances of various categories or types of liabilities and off-balance sheet commitments by the rates at which they are expected to run off or be drawn down.

Total expected cash inflows are calculated by multiplying the outstanding balances of various categories of contractual receivables by the rates at which they are expected to flow in under the scenario up to an aggregate cap of 75% of total expected cash outflows.