ABA Toolbox on Liquidity
Scenario Worksheet
Institution:XYZ
Scenario Name: Payment System Disruption
Date Completed:11/18/09
Completed By:Tom Farin
Describe the Scenario: A local disaster or a system outage causes a disruption in the payment system, preventing
XYZ from clearing incoming ACH deposit and loan payment transactions.
Cause and Effect Sequence
Cause:
Local Natural Disaster or
System Outage
Horizon:
Probability:
Impact:
Intraday
None
Low
Effect:
 Unable to clear incoming deposit
transactions and payments on
loans
Day-To-Day
Low
High
Weeks
High
Horizon:
Day-to-day
Medium Term
Long Term
Describe Potential Effect On:
Core Funding:

None
Near-Core and Non-Core Funding:

Potential draw down of non-core funding
Asset-Based Liquidity:

Reduction of incoming cash flows on loans
Describe Potential Offsetting Actions In Areas of:
Core Funding:

Pricing and segmentation strategies used to raise additional Core Funding
Near-Core and Non-Core Funding:

Tap into contingency lines if necessary
Asset-Based Liquidity:

None
Event Triggers: List any indicators that could be monitored that would provide a leading indicator that this scenario is
beginning to unfold.

Payment system flags
Attach Core Funding, Near-Core and Non-Core Funding, and Asset-Based Liquidity worksheets to this document.
© 2011 American Bankers Association, 1120 Connecticut Ave NW, Washington, DC 20036. All rights reserved.
ABA Toolbox on Liquidity
Scenario Worksheet
Institution:XYZ
Scenario Name:Market Dislocations Scenario
Date Completed:11/18/09
Completed By:Tom Farin
Describe the Scenario:This scenario is a short-term disruption caused by a market dislocation or widening credit
default spreads in the securitization markets. The effect is that XYZ is forced to hold mortgages originated for sale in
the secondary markets in its portfolio, causing unexpected asset growth. Either management action or return of
market stability should prevent this event from cascading into other events.
Cause and Effect Sequence
Cause:
Widening Credit Default spreads on
mortgages
Horizon:
Probability:
Impact:
Intraday
None
Low
Effect:
 Unexpected asset growth
Day-To-Day
Low
High
Weeks
High
Horizon:
Days to weeks
Medium Term
Long Term
Describe Potential Effect On:
Core Funding:

None
Near-Core and Non-Core Funding:

Could cause an increase in the use of Non-Core Funding to fund the unexpected growth
Asset-Based Liquidity:

Could cause a reduction in asset-based liquidity to fund the growth
Describe Potential Offsetting Actions In Areas of:
Core Funding:

Pricing and segmentation strategies used to raise additional Core Funding
Near-Core and Non-Core Funding:

Additional contingent funding sources drawn on as limits reached in primary funding sources
Asset-Based Liquidity:

Sale of loans and securities that would normally be held.

Lending curtailed

Shrink wrapping of customer credit lines around current outstandings
Event Triggers: List any indicators that could be monitored that would provide a leading indicator that this scenario is
beginning to unfold.



Widening credit default spreads
Increasing delinquency levels
News stories about financial health of counterparties
Attach Core Funding, Near-Core and Non-Core Funding, and Asset-Based Liquidity worksheets to this document.
© 2011 American Bankers Association, 1120 Connecticut Ave NW, Washington, DC 20036. All rights reserved.
ABA Toolbox on Liquidity
Scenario Worksheet
Institution:XYZ
Scenario Name:Catastrophic Capital Compliance Event
Date Completed:11/18/09
Completed By:Tom Farin
Describe the Scenario:This cascading event scenario focuses on an economic downturn leading to asset quality
problems resulting in XYZ falling below risk-based capital minimums. The liquidity crisis worsens throughout the
scenario.
Cause and Effect Sequence
Cause:
Economic Downturn & Lax Underwriting
Asset-Quality Problem
Loss of Well-Capitalized Status
Adverse Press
Effect:
 Asset Quality Problems
 Increased Line Utilization
 Market Dislocations
 Net Operating Losses
 Adverse Press
 PCA and CAMELS Downgrades
 Increased FHLB Haircuts
 Loss of Access to Brokered CDs
 Adverse Press
 PCA and CAMELS Downgrades
 Rating Agency Downgrades
 Limits on Deposit Offering Rates
 Loss of Large Depositors
 Loss of Core Funding
 Increased Line Utilization
 Inability to Raise New Deposit
Funding

Horizon:
6 Months
3 Months
3 Months
3 Months


Horizon:
Probability:
Impact:
Intraday
None
Low
Day-To-Day
Low
High
Weeks
High
Medium Term
Long Term
© 2011 American Bankers Association, 1120 Connecticut Ave NW, Washington, DC 20036. All rights reserved.
Describe Potential Effect On:
Core Funding:

Some erosion of Core Funding as press makes public aware of financial condition

Limits on deposit rates

Reduced success in raising new funding and renewing existing funding
Near-Core and Non-Core Funding:

Loss of access to brokered CD markets and possibly CDARS

Loss of or increased cost of FHLB advances and other potential forms of collateralized funding
Asset-Based Liquidity:

Market dislocations reduce value of securities and loans pledged as collateral

Prepayments on mortgages and securities slow as customers feel effects of financial stress

Customers increase line utilization to balance cash flow and as a result of concerns over "whether the
money will be available when we need it."
Describe Potential Offsetting Actions In Areas of:
Core Funding:

Pricing and segmentation strategies used to raise additional Core Funding
Near-Core and Non-Core Funding:

Reciprocal deposits used to deliver insurance protection for large CD customers
Asset-Based Liquidity:

Sale of loans and securities that wold normally be held

Lending curtailed

Shrink-wrapping of customer credit lines around current outstandings
Event Triggers: List any indicators that could be monitored that would provide a leading indicator that this scenario is
beginning to unfold.





Negative growth in GDP
Increasing credit default spreads
Increase in delinquencies
Declines in property values
Reduction of target Fed funds rate
Attach Core Funding, Near-Core and Non-Core Funding, and Asset-Based Liquidity worksheets to this document.
© 2011 American Bankers Association, 1120 Connecticut Ave NW, Washington, DC 20036. All rights reserved.
ABA Toolbox on Liquidity
Scenario Worksheet
Institution:XYZ
Scenario Name:Recovery Scenario
Date Completed:11/18/09
Completed By:Tom Farin
Describe the Scenario: This cascading event scenario focuses on an economic recovery, leading to unexpected
asset growth combined with an inability to grow core funding, which could lead to falling below well-capitalized
minimums. While this scenario displays a cause and event sequence, event triggers and management actions can
easily prevent this event from reaching later stages.
Cause and Effect Sequence
Cause:
Economic Recovery
Unexpected asset growth
Capital grows more slowly than loans
XYZ falls below well capitalized
minimums
Adverse Press
Horizon:
Probability:
Impact:
Intraday
None
Low
Effect:
 Unexpected asset growth
 Inability to raise additional core
funding
 Capital grows more slowly than
loans
 Loan growth exceeds Core
Funding growth
 XYZ falls below well-capitalized
minimums
 Increased FHLB haircuts
 Loss of access to brokered CDs
 Loss of CDARS
 Adverse Press
 PCA and CAMELS downgrades
 Rating agency downgrades
 Limits on deposit offering rates
 Loss of large depositors
 Loss of Core Funding
 Increased line utilization
Day-To-Day
Low
High
Weeks
High
Horizon:
6 Months
3 Months
3 Months
3 Months
3 Months
Medium Term
Long Term
Describe Potential Effect On:
Core Funding:

Some erosion of Core Funding as press makes public aware of financial condition

Limits on deposit rates

Reduced success in raising new funding and renewing existing funding
Near-Core and Non-Core Funding:

Loss of access to brokered CD markets and possibly CDARS

Loss of or increased cost of FHLB advances and other potential forms of collateralized funding
Asset-Based Liquidity:

Market dislocations reduce value of securities and loans pledged as collateral

Prepayments on mortgages and securities slow as customers feel effects of financial stress

Customers increase line utilization to balance cash flow and as a result of concerns over "whether the
money will be available when we need it."
© 2011 American Bankers Association, 1120 Connecticut Ave NW, Washington, DC 20036. All rights reserved.
Describe Potential Offsetting Actions In Areas of:
Core Funding:

Pricing and segmentation strategies used to raise additional Core Funding

CDARS used to deliver access to deposit insurance for large CD customers
Near-Core and Non-Core Funding:

Additional contingent funding sources drawn on as primary funding sources disappear or become restricted
Asset-Based Liquidity:

Sale of loans and securities that wold normally be held

Lending curtailed

Shrink-wrapping of customer credit lines around current outstandings
Event Triggers: List any indicators that could be monitored that would provide a leading indicator that this scenario is
beginning to unfold.





Rapid increase in GDP
Increase in loan applications
Increase in loan pipeline
Negative core deposit growth
Increases in target fed funds rate
Attach Core Funding, Near-Core and Non-Core Funding, and Asset-Based Liquidity worksheets to this document.
© 2011 American Bankers Association, 1120 Connecticut Ave NW, Washington, DC 20036. All rights reserved.