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FRM Part II · FRM Exam Part II · Intraday Liquidity Risk Management

A bank settling in an RTGS system begins the day with a reserve balance of 200 million. During the morning it sends payments of 500 million and receives payments of 380 million. It also has access to 150 million of intraday credit from the central bank, secured by collateral. What is the bank's remaining available intraday liquidity (own balance plus unused credit), assuming the credit is undrawn and the balance may not go below zero without drawing it?

Available intraday liquidity is 230 million. The reserve balance falls to 80 million after 500 million of payments out and 380 million received on a 200 million opening balance, and adding the undrawn 150 million collateralised intraday credit gives 230 million.

  1. A230 millionCorrect
  2. B80 million
  3. C380 million
  4. D350 million

Explanation

Balance after flows = 200 - 500 + 380 = 80 million. Adding the 150 million of available intraday credit gives 230 million. The 80 million option omits the credit line; 350 million ignores the receipts' net effect incorrectly (200+150); 380 million simply equals receipts.

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