Liquidity Risk and Margin Calls

1.A desk has $8m of free cash. Cash variation margin of $11m is due at noon, and a $5m receipt is due at 3 p.m. What is the noon funding gap?

2.A cleared hedge loses $6m today while the cash asset it protects gains $7m. The asset is not being sold. How much cash must the desk find for the stated variation margin, before other flows?

3.A $15m collateral call accepts bills with a 4% haircut. A desk posts $10m market value of eligible bills. What amount still needs to be covered in cash?

4.A desk starts with $12m cash. It pays $8m at 10 a.m., receives $4m at 11 a.m., and pays $10m at noon. What peak additional funding is needed through noon, assuming no minimum reserve?

5.A desk has $9m cash and a $3m minimum reserve. A $7m margin call and $2m settlement payment are due together. What extra funding preserves the reserve?

6.A clearing broker raises initial margin from $22m to $29m. The same day the position incurs $4m of cash variation margin. Both increments are payable in cash. What is the total incremental demand?

7.A desk is owed $10m by clearinghouse A and owes $9m to clearinghouse B earlier that morning. What should the cash model show?

8.A fund's $18m cash balance includes $7m segregated for clients and unavailable to the fund. Its own call is $14m. What is the funding gap?

9.A broker raises the haircut on $50m of unchanged collateral from 5% to 12%. What reduction in collateral credit results?

10.A desk plans to meet a euro margin call using dollar cash. Which detail determines whether the cash counts by the deadline?

11.A stress case produces $7m in outflows on day one and $5m on day two, with no inflows. Starting cash is $10m. Which day first needs external funding?

12.A stress forecast assumes future cash inflows from unwinding hedges at model values. What should the analyst test first?

13.A broker requires a $24m margin buffer. Already posted collateral receives $21m of credit. How much must be added if the desk uses cash at face value?

14.A desk has three outflows of $4m, $9m, and $2m and an $8m receipt. The receipt arrives only after all three payments. What starting cash avoids borrowing, assuming no reserve?

15.A model uses the largest daily variation margin loss as its sole liquidity stress. Which additional test addresses a gap?

16.A desk pays $5m of variation margin every morning for three days and receives $4m each afternoon. Starting cash is $7m. What is the lowest balance reached?

17.A margin calculation depends on volatility and price. What stress captures an important joint effect?

18.A fund expects a collateral return tomorrow if a position is closed. The broker confirms release only after a two-day review. Which timing belongs in the cash plan?

19.A desk needs $10m in usable collateral credit. Eligible assets are subject to a 20% haircut. What market value is needed?

20.A fund has an undrawn $20m committed line but can draw only $8m today under its borrowing base. How much should the same-day stress include, assuming all other conditions are met?

21.A $40m portfolio shows a $1m expected mark-to-market loss. Its collateral model projects a $7m cash demand. Why can those numbers differ?

22.A fund receives a $5m call in an entity holding $2m of free cash. Another entity has $10m but transfers require overnight approval. What is the first entity's same-day gap?

23.A $30m collateral pool falls 10% in value. At the same time, its haircut rises from 5% to 10%. How much does credited value drop?

24.The cash model counts proceeds from a bill sale and collateral credit from the same bills. What adjustment is needed?

25.A desk expects $4m of cash margin receipts, but its stress assumes a one-day delay for half of them. How much counts today?

26.A position has a $3m variation margin payment and a $2m premium settlement tomorrow. The two relate to different trades and are both due in cash. What total should be reserved?

27.A risk team wants to know how severe a move exhausts available cash by noon. What test fits?

28.A margin notice is disputed, but the agreement requires payment by cutoff unless the broker grants relief. What should the forecast assume?

29.A liquidity report counts a received security as free collateral. Its agreement prohibits repledging. What should the analyst do?

30.A risk analyst sees a small projected shortfall at 4 p.m. but a much larger one at noon. Which number should guide minimum backup funding if the backup is available all day?

31.A desk holds $25m in free assets that are ineligible for a cash-only call due in one hour. What distinction matters?

32.A liquidity test includes a planned $6m repo roll as a sure inflow. What stress is most directly missing?

33.A call of $8m was expected at 2 p.m. The broker moves it to 10 a.m. with the amount unchanged. What should be updated?

34.A model forecasts a $5m deficit with a $2m uncertainty range in either direction. What is the upper end of the modeled funding need?

35.A desk posts $6m cash and $5m eligible bonds to a broker. The bonds receive 80% credit. What total collateral credit does the broker recognize?

36.A bond position is $40m. Stressed daily volume is $10m and the desk caps sales at 20% of that volume. What is the earliest full liquidation at constant volume, before settlement?

37.A risk analyst can sell $4m per day for two days. Trades settle one day after execution, and cash is needed by the end of day two. How much sale cash arrives by then?

38.A dealer bids 98 for $2m face and 96 for the next $3m face. How much cash does an immediate $5m face sale raise before fees?

39.A desk owns $20m of government bonds, with $14m already pledged and unavailable. What amount can enter the immediate unencumbered inventory?

40.A liquidation plan assumes five dealers can each take $2m. All five quotes come through a single dealer and reflect the same bid. What should the model count?

41.A fund may post eligible bonds or sell them. Posting $12m yields $10.8m of credit now. Selling yields $11.7m cash tomorrow. A $10m call today accepts the bonds. Which meets today's call on its own?

42.A desk needs $6m by noon. A liquid security can be sold with same-day settlement only if the instruction reaches the custodian by 10 a.m. It is now 10:15. What should the analyst do?

43.A desk needs $6m by noon. Same-day sale settlement for a liquid security requires a custodian instruction by 10 a.m. It is now 10:15, and the custodian confirms that the cutoff is closed. What should the analyst do?

44.A broker accepts no more than $5m in credit from any one issuer. A desk has $8m market value in that issuer's bonds at a 10% haircut. How much credit is usable?

45.A fund holds a large stake in a small stock. Its last sale price is firm only for a tiny lot. What estimate belongs in a stress cash plan?

46.A desk can raise $4.99m today by selling $5m in bills or $4.80m today by selling $5m in credit. It needs $4.75m. The proposed bill sale would breach a minimum collateral reserve, but the credit sale would not. Which sale is feasible?

47.A fund holds an asset in a closed market that will reopen after the call deadline. The broker accepts it only after reopening and price verification. How should the immediate funding plan treat it?

48.A desk needs $10m net cash. It can sell an asset at 98% of carrying value with no other costs. Roughly how much carrying value must it sell?

49.A desk can sell its long hedge today or its illiquid risk position over several days. What should it measure if it sells the hedge first?

50.A security can be pledged for 90% of value, but collateral must be transferred from a custodian that takes two days. The call is tomorrow. What is its usable credit for that call?

51.A desk expects $12m from a block sale. The buyer might fail to settle. What is the appropriate contingency?

52.A loan backed by a portfolio is the proposed source for a margin call. The lender excludes a material share of the same portfolio under stress. What should be recalculated?

53.A dealer can pay today for $10m of assets at a 2% discount or pay tomorrow at an expected 0.5% discount. The call is today and there is no bridge. What matters most?

54.A fund holds $15m in eligible collateral. It can pledge $9m of it to a broker or repo that same $9m to raise cash. Why must these uses be compared jointly?

55.A repo has a 15% haircut. What cash does $20m of accepted collateral raise, ignoring fees?

56.A portfolio needs $9m today. Asset A can supply $5m net today, asset B $3m net today, and asset C $4m tomorrow. How much still needs a same-day source?

57.A desk plans to sell bonds whose futures hedge is still open. Which sequencing measure reduces new risk?

58.A fund can sell a concentrated name at a wide bid or reduce several liquid proxies. Which comparison is most useful?

59.A fund can sell 25% of a holding today and another 25% tomorrow at stressed capacity. The holding is worth $24m and the percentages refer to original size. How much carrying value can be sold by tomorrow?

60.A daily volume input includes a one-off block that peers are unlikely to repeat. How should the analyst use it?

61.A portfolio's liquidity report ranks securities by average daily volume. A smaller issue has a firm bid for the required size while a larger issue has none. Which evidence should guide today's sale estimate?

62.A desk needs to raise dollars and has two assets that settle at the same time. One pays in dollars, one in another currency. What extra constraint applies to the second?

63.A treasury team considers a haircut of 10% today and 25% under stress on $16m of eligible collateral. What stressed advance should it use?

64.A security is in an account subject to a transfer freeze. Its displayed market remains deep. What should today's sale inventory assume?

65.A fund has $10m of assets it can sell by a deadline, but market impact costs are estimated at 3% of that amount. What net amount should the cash ladder use?

66.A dealer's bid is firm for five minutes and the desk must obtain internal approval that normally takes 15. What is appropriate in the funding forecast?

67.A fund must raise cash without breaching a duration band. The quickest sale would take duration below its floor. Which plan should be evaluated?

68.A cash forecast counts a money-market holding as spendable immediately. Its redemption cutoff has already passed. What is the correct treatment?

69.A fund is offered $8m in same-day repo against its best collateral. Tomorrow's projected call can only be met with that same collateral, and release timing is uncertain. What should it test?

70.A desk asks for a liquidation schedule. Which fields make it usable for funding decisions?

71.A leveraged fund sells into a thin market to meet a margin call. Which sequence describes a feedback loop?

72.A desk must raise $10m. At its first executable price it gets 95 cents per dollar of carrying value. After other funds sell, it gets 90 cents. How much more carrying value must it sell, approximately?

73.A repo lender keeps the same haircut while the pledged asset falls in price. Why can the desk still face a top-up?

74.Two funds sell the same bonds to meet unrelated calls. Which assumption can understate the cash shortfall for each?

75.A desk sells $8m of a position and its realized execution loss is $240,000 relative to the pre-sale mark. What is the realized discount in basis points on the stated notional?

76.A fund sells assets with an estimated 2% discount. The resulting price move cuts the value of collateral still pledged on another facility. What should the stress model update next?

77.A desk has a $4m cash deficit. A forced sale covers it but triggers another $1.5m call. The desk then receives $1m from a separate funding source. What gap remains?

78.A fund reduces leverage by selling its easiest-to-trade holdings first. Its remaining assets are mostly illiquid. Why can the fund still be more fragile?

79.A portfolio's asset prices and financing haircuts both worsen under stress. What model choice best captures amplification?

80.A dealer cuts limits across several clients while they are all trying to sell. What does this change in a liquidation scenario?

81.A forced sale would raise enough cash today but widen spreads on similar unsold assets. Which cost should the analyst distinguish from direct execution loss?

82.A stress scenario predicts a $6m margin call and assumes unlimited sales at the starting mark. What is the main limitation?

83.A desk can draw a committed line to avoid a stressed block sale. What downside belongs in that comparison?

84.A portfolio has a $5m liquidation loss estimate from its own sales. A joint-sale scenario adds $3m of loss from shared market pressure. What combined loss should it report if the estimates are incremental?

85.A margin call is met by closing the desk's strongest hedge. A second shock arrives before the remaining position can be sold. What can amplify the loss?

86.A fund is expected to face redemptions as well as margin calls on the same stress day. How should the analyst model the combination?

87.A volatility spike raises margin across many counterparties at once. Which feature makes that event different from a single-firm loss?

88.A fund can pay today's call by selling a safe asset. The sale leaves it exposed to a second-day shock with no eligible collateral. What is the main message to the risk committee?

89.A $20m collateral position loses 5% of value. The haircut remains 10%. What is the direct decline in collateral credit?

90.A desk expects price impact to grow with order size. Why can splitting a forced sale over several days still be infeasible?

91.A portfolio held only cash and unlevered securities before a shock. Another holds the same securities through short-term borrowing. What mechanism gives the second an extra reason to sell?

92.A desk says a large margin call proves the underlying position lost that same amount permanently. What should the analyst explain?

93.A fund has spare collateral before stress. The same assets lose value when its derivatives incur losses. What risk does that relationship create?

94.A fund projects a $2m loss from market moves, a $1m loss from executing sales below the post-shock marks, and a $3m initial margin top-up. What is the modeled economic loss from the stated price and execution effects?

95.A trader proposes assuming all assets can be sold pro rata under stress to preserve portfolio weights. What should the analyst challenge?

96.A desk models a liquidation cascade but assumes every margin recipient reinvests incoming cash in the assets being sold immediately. What assumption should be tested?

97.A risk committee wants an early warning for the forced-sale loop. Which combination is most informative?

98.A desk estimates a $7m funding shortfall under baseline stress and $12m after incorporating liquidation feedback. How much extra contingency funding does feedback imply?

99.A fund has a choice between a small early sale and a larger potential emergency sale later. What should drive the comparison?

100.A stressed fund sells into bids at 97 while its collateral model used a price of 100. What should the analyst communicate?

101.A fund's stress results show liquidation adds a cost even if the asset eventually recovers to its original price. Why?

102.A manager can reduce a position today at modest cost, lowering the margin required tomorrow. What should the analysis include besides today's trade proceeds?

103.A desk says a fire sale caused every correlated asset to decline. What evidence makes the explanation more defensible?

104.A risk analyst must brief the desk on a projected forced-sale scenario. What should the briefing lead with?

105.A team is comparing two liquidity buffers. One contains cash in the needed currency. The other contains assets whose prices and haircuts worsen in the same scenario that creates calls. What should the comparison emphasize?