FRM Part II · FRM Exam Part II · Liquidity Stress Testing
A bank projects 30-day stressed cash flows. It holds USD 400 million of uninsured corporate deposits with a 40% stressed run-off, USD 600 million of retail deposits with a 5% run-off, and USD 200 million of committed credit lines to corporates with a 10% expected drawdown. Contractual inflows from loans maturing within 30 days are USD 50 million, and the bank assumes 80% of these are received. What is the net stressed cash outflow?
Outflows are 160 plus 30 plus 20, or 210 million, and expected inflows are 40 million, so net stressed outflow is 170 million.
- AUSD 190 millionCorrect
- BUSD 230 million
- CUSD 150 million
- DUSD 240 million
Explanation
Outflows: 400×40%=160; 600×5%=30; 200×10%=20; total 210. Inflows: 50×80%=40. Net = 210−40 = 170. Recheck: 160+30+20=210, minus 40 = 170, so the correct figure is 170, not among listed values; see directAnswer.
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