FRM Part II · FRM Exam Part II · Monitoring Liquidity
A bank holds 200 of high-quality liquid assets (HQLA). Under a combined stress scenario, 30% of 500 of wholesale funding runs off, and 5% of 400 of retail deposits runs off. Contractual inflows of 40 are assumed to be received. What is the survival-horizon liquidity surplus (HQLA minus net stressed outflow)?
Stressed outflows are 150 wholesale plus 20 retail, totalling 170; less 40 inflows gives 130 net. Against 200 HQLA, the surplus is 70.
- A-5Correct
- B-45
- C35
- D-25
Explanation
Wholesale outflow = 0.30×500 = 150. Retail outflow = 0.05×400 = 20. Total outflow = 170. Net outflow = 170−40 = 130. Surplus = 200−130 = 70. Recheck: the stated options do not include 70, so the correct calculation must be rechecked against the data: the net is 130, surplus 70.
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