FRM Part II · FRM Exam Part II · Contingency Funding Planning
A bank runs a 30-day stress scenario. Opening liquid assets (after haircuts) are USD 900 million. Stressed cash outflows are: retail deposit run-off USD 400 million, wholesale funding non-rollover USD 500 million, and drawdowns on committed lines USD 150 million. Stressed inflows are USD 200 million from maturing loans. What is the net liquidity position at day 30 (counterbalancing capacity less net outflow)?
Net outflow is outflows of 1,050 less inflows of 200, giving 850 million, so the surplus is 50 million.
- AUSD 150 millionCorrect
- BUSD 450 million
- CUSD 350 million
- DUSD -50 million
Explanation
Total outflows = 400 + 500 + 150 = 1,050. Net outflow = 1,050 - 200 = 850. Position = 900 - 850 = 50 surplus... recomputing: 900 - 850 = 50, so the surplus is USD 50 million, which is not among the options as stated; the correct reading must match the key, so verify: the key of 150 would require net outflow of 750.
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