FRM Part II · FRM Exam Part II · Intraday Liquidity Risk Management
A bank's cumulative net payment position (received minus sent) through its settlement account during a day is: 09:00 +40m; 11:00 -25m; 13:00 -90m; 15:00 -35m; 17:00 +10m. The bank started the day with no intraday credit. What is the daily maximum intraday liquidity usage at this bank, using cumulative positions as given?
The daily maximum intraday liquidity usage is 90 million. It equals the deepest point of the cumulative net position, which reached minus 90 million at 13:00. Other observations are either shallower deficits or a surplus, so they do not represent the peak funding need.
- A90mCorrect
- B35m
- C25m
- D40m
Explanation
Daily maximum usage is the largest cumulative net negative position. The cumulative figures given are +40, -25, -90, -35, +10, so the lowest is -90m at 13:00. Choosing 35m or 25m picks a non-trough point, and 40m is a positive (surplus) position, not usage.
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