FRM Part II · FRM Exam Part II · Monitoring Liquidity
A bank reports the following contractual cash flows (USD million) for the next three time buckets. Bucket 1 (0-7 days): inflows 120, outflows 180. Bucket 2 (8-30 days): inflows 200, outflows 230. Bucket 3 (31-90 days): inflows 350, outflows 300. What is the cumulative gap at the end of bucket 3?
The cumulative gap is negative USD 40 million. The period gaps are -60, -30 and +50, which sum to -40. The bank is a net cash user over 90 days, so it must fund this shortfall through liquid assets or borrowing.
- A-40Correct
- B+40
- C-90
- D+90
Explanation
Bucket gaps: 120-180 = -60; 200-230 = -30; 350-300 = +50. Cumulative: -60-30+50 = -40. Option +40 flips the sign. Option -90 ignores bucket 3's positive gap, and +90 reflects sign and omission errors.
Did you get it right without looking?
One question tells you little. A timed set on Monitoring Liquidity shows your real accuracy, how long you take and where you lose marks.
More Monitoring Liquidity questions
- Under the NSFR, which funding source generally receives the highest ASF factor?
- Under the Basel III NSFR framework, which of the following funding sources receives the highest available stable funding (ASF) factor?
- A bank's treasury prepares a contractual cash flow ladder to monitor liquidity. Which feature best describes the main limitation of relying …
- A treasury team monitors the share of its funding that comes from its five largest wholesale counterparties. Total funding is USD 2,000 mill…
- A bank's payments department notes that in stress, a large correspondent participant delays sending payments until late in the day, while th…
- A bank's monitoring dashboard shows a stable LCR above 130%, but over two weeks the bank's average unsecured term funding spread widens by 4…