FRM Part II · FRM Exam Part II · Liquidity Stress Testing
A bank holds HQLA of USD 120 million. Under the LCR stress scenario, projected outflows over 30 days are USD 200 million and projected inflows are USD 90 million (below the inflow cap). What is the LCR?
The LCR is 109.1%. Net cash outflows are 200 minus 90, or USD 110 million, and HQLA of USD 120 million divided by 110 gives 1.091. This exceeds the 100% minimum, so the bank meets the requirement.
- A60.0%
- B109.1%Correct
- C133.3%
- D85.7%
Explanation
Net outflows = 200 - 90 = 110. LCR = 120/110 = 109.1%. Using gross outflows gives 60%; using inflows only as the denominator gives 133.3%.
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