我以前说过：《巴塞尔》、《时事》是FRM二级最容易拿分的两个部分。现在我郑重撤回这句话。最近几年FRM二级考试难度全面升级：试卷越来越厚、题型越来越刁钻、难度也越来越深邃。巴塞尔、时事以前确实属于“送分观音”，但此一时彼一时也！几年前考二级，人人都能提前交卷，而现在连准时完成都很困难。所以请各位考生严加防范，做好最坏打算，决不能用老经验来应对。
2018年GARP官方模考题（二级）72~74题，分别考了巴塞尔协议NSFR、市场风险Delta对冲、信用风险wrong-way risk。其中，72题考的是巴塞尔协议NSFR的一个技术细节。这个技术细节上课都讲过，但此题着实出得波诡云谲、阴险毒辣。我初看此题时，完全无从下手，待略有所悟时已是10分钟之后了。题目不仅如泥鳅般狡猾，还完全契合考纲，令我心悦诚服。
这几道题体现了当下FRM二级的标准难度与出题风格，想必协会以此作为模考题免费公布，其意也是告诫诸位切莫松懈迎考。
第一次考FRM二级的考生，对其难度认识不足，很多都曾问过我诸如：我不看书能不能通过？我没做题能不能通过？我只看视频能不能通过？
我想说：耳听为虚，眼见为实。我将这三道模考题附在文后。所有疑问，一看便知。
Henry Liang’s FRM Guide 不能帮助你做对每道题，但可以帮助你高效省时地背记公式、观点、知识，希望能够祝大家一臂之力！
QUESTIONS 72 THROUGH 74 REFER TO THE FOLLOWING INFORMATION
In a surprise monetary policy action on August 10, 2015, the People’s Bank of China cut its daily currency reference rate against the USD, resulting in a large devaluation of the CNY versus the USD. Immediately after the announcement, the CRO of CMM Bank (CMM), an international bank with headquarters in Shanghai, began evaluating the impact of this and other events on the bank’s position.
CMM had outstanding long-term debt denominated in USD and deposits denominated in CNY. A significant portion of CMM’s lending portfolio was also denominated in CNY and consisted largely of loans and lines of credit to Chinese manufacturers who were heavily dependent on imported raw materials. Other loans to non-Chinese firms with exposure to China were denominated in USD. The bank’s portfolio investments included CNYdenominated Chinese Treasury securities and other sovereign debt.
A portion of CMM’s retail customer base had invested on margin in the Chinese equity markets. Over the next few weeks, local stock markets experienced declines in share prices. Many of CMM’s larger retail depositors experienced margin calls and had begun to draw down demand deposits to meet them. Offsetting these outflows, however, were increases in the 3-month, 6-month and 9-month term deposit balances at CMM of several large corporate customers. The result was that CMM’s overall net deposit flow had been approximately zero.
As a result of credit developments elsewhere in the world, several of CMM’s sovereign debt holdings were downgraded, some from AA to A and some from A to BBB. One of the noticeable outcomes was that the bid-ask spreads on many of the sovereign bonds held and traded by CMM widened. Despite these developments, CMM’s sovereign debt portfolio remained exclusively investment grade with a weighted average rating of A+.
72. CMM’s CRO was concerned about the bank’s liquidity position and decided to review the impact of the devaluation and other capital market events on its net stable funding ratio (NSFR). Ignoring any changes in the market value of CMM’s sovereign debt holdings, which of the following is correct?
A. The NSFR will not be impacted by the sovereign credit rating changes because the overall sovereign debt portfolio remains investment grade.
B. The NSFR will be reduced by the sovereign credit rating changes but this effect can be offset by selling A-rated sovereign debt and investing the proceeds in gold.
C. The NSFR will not be impacted by the change in demand deposits because the bank’s overall deposit level is unchanged.
D. The NSFR will be reduced by the change in demand deposits but this effect can be offset by issuing common stock.
73. Before the devaluation of CNY, CMM’s trading desk had established a short call options position on the USD-CNY (CNY per USD) exchange rate that was made delta-neutral through a spot USD transaction. The position was no longer delta-neutral after the devaluation came into effect and the desk wanted to take steps to make it delta-neutral again. The bank was concerned about whether this would involve buying or selling USD and what impact this might have on liquidity. The trader who initiated the position suggested that, once it was made delta-neutral, the short call options position would be an effective way to hedge the bank’s long CNY exposure against further devaluations and that the bank should consider increasing the size of the position accordingly. In considering this situation, what should the CRO conclude?
A. The bank will have to buy USD to make the position delta neutral, but the delta-neutral short call options position is not an effective way to hedge an underlying long CNY exposure against further devaluations.
B. The bank will have to sell USD to make the position delta neutral, but the delta-neutral short call options position is not an effective way to hedge an underlying long CNY exposure against further devaluations.
C. The bank will have to buy USD to make the position delta neutral, and the delta-neutral short call options position is an effective way to hedge an underlying long CNY exposure against further devaluations.
D. The bank will have to sell USD to make the position delta neutral, and the delta-neutral short call options position is an effective way to hedge an underlying long CNY exposure against further devaluations.
74. CMM had CNY-denominated loans outstanding to TVR, a manufacturing firm that generated its revenue in CNY. To hedge some of its risk, CMM had bought CDS protection on TVR from a bank from the same country as TVR, Bank EP. If the default probability of TVR increases unexpectedly and the default correlation between TVR and Bank EP increases to 1, which of the following is correct?
A. The value of the CDS will increase and CMM has a wrong-way risk with Bank EP.
B. The value of the CDS will decrease and CMM has a wrong-way risk with Bank EP.
C. The value of the CDS will increase and CMM has a right-way risk with Bank EP.
D. The value of the CDS will decrease and CMM has a right-way risk with Bank EP.
