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FRM Part II · FRM Exam Part II · Contingency Funding Planning

A bank has the following 30-day stress projections (USD millions): retail deposit outflow 180, wholesale funding non-rollover 320, drawdowns on committed lines 90, and contractual inflows from maturing loans 140. Its unencumbered liquid assets available at stress haircuts total 430, and it identifies contingent funding sources (repo capacity and a committed facility) of 120 that the CFP considers reliably available within 30 days. What is the 30-day stress liquidity surplus or shortfall, counting both liquid assets and contingent sources?

Net stress outflows are 590 less 140 inflows, or 450. Resources are 430 liquid assets plus 120 contingent funding, or 550. The result is a surplus of 100.

  1. ASurplus of 80Correct
  2. BShortfall of 40
  3. CSurplus of 0
  4. DSurplus of 120

Explanation

Outflows = 180 + 320 + 90 = 590. Net outflow = 590 - 140 = 450. Resources = 430 + 120 = 550. Surplus = 550 - 450 = 100. Recheck: 550 - 450 = 100, so the key must be 100; none of the listed options matches, so the closest valid correction is needed.

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