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

A bank's cumulative net position on its settlement account through the day (negative means net payments sent exceed received) was: 09:00 -40m; 11:00 -95m; 13:00 -60m; 15:00 -130m; 17:00 -25m. Its available intraday liquidity at the start of the day was 200m. Under the Basel monitoring tools, what are the daily maximum intraday liquidity usage and the lowest remaining headroom?

Daily maximum usage is 130m, the deepest cumulative net negative position at 15:00. Subtracting this from the 200m of available intraday liquidity leaves minimum headroom of 70m. Other figures use a non-peak trough, the closing position, or wrongly add the amounts.

  1. AUsage 130m; headroom 70mCorrect
  2. BUsage 95m; headroom 105m
  3. CUsage 130m; headroom 330m
  4. DUsage 25m; headroom 175m

Explanation

Maximum usage is the largest negative cumulative net position, 130m at 15:00. Headroom is available liquidity minus peak usage: 200 - 130 = 70m. Adding them (330m) is a sign error; using 95m picks a mid-day trough, not the peak.

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