Investment Function, Reserves, Intraday Liquidity, Stress Testing, and Dealer-Bank Failure
Free GARP FRM Part II lesson in Liquidity and Treasury Risk Measurement and Management. 24 min read, ~3,539 words.
Investment function trades liquidity reserve (short Treasuries, agencies, HQLA) against earnings supplement (longer corporates, MBS, munis); HTM classification freezes the earnings book and selling one HTM bond reclassifies the entire pool to AFS at mark-to-market. Reserve management balances liquidity supply (deposits, maturing securities, repo) against demand (loan demand, deposit run-off...
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What this lesson covers
- Content
- Example 1
- Example 2
- Common Mistakes
- Check Your Understanding
- Exam Shortcuts
Learning objectives
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