FRM Part II · FRM Exam Part II · Intraday Liquidity Risk Management
A bank reports available intraday liquidity at the start of the day, as per Basel monitoring tools. Which composition is most consistent with the Basel definition of this tool?
Available intraday liquidity at the start of the day consists of resources the bank controls: central bank balances, secured intraday credit capacity, and unencumbered collateral that can be pledged. It excludes uncertain incoming payments and past flow measures such as payment totals or prior peak usage.
- ACentral bank balance, collateral available for intraday credit lines, and unencumbered liquid assets that can be pledged to obtain intraday fundsCorrect
- BOnly the bank's expected incoming payments from correspondents during the day
- CGross value of all payments sent during the previous business day
- DThe highest net debit position recorded in the prior month
Explanation
Available intraday liquidity at the start of the day comprises resources the bank can draw on: central bank reserves, intraday credit capacity and collateral that can be pledged. Expected incoming payments are uncertain and are not counted as start-of-day resources. Payment totals and past peak usage are other tools or flows, not resources.
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