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

A bank's intraday liquidity is monitored using a daily maximum intraday liquidity usage metric. On one day the cumulative net position through the day reaches its lowest at -USD 380 million at 2:00 pm, after starting at zero, and ends at -USD 120 million. Available intraday liquidity sources are USD 500 million. What is the daily maximum intraday liquidity usage, and the unused available buffer at the peak?

Daily maximum intraday liquidity usage is USD 380 million, the largest cumulative net negative position during the day. Against USD 500 million of available sources, the unused buffer at the peak is USD 120 million. The end-of-day figure of USD 120 million is not the maximum.

  1. AUSD 120 million usage; USD 380 million buffer
  2. BUSD 380 million usage; USD 120 million bufferCorrect
  3. CUSD 380 million usage; USD 500 million buffer
  4. DUSD 500 million usage; USD 120 million buffer

Explanation

Maximum usage is the largest net cumulative negative position during the day, USD 380 million, not the end-of-day figure. Buffer at the peak = 500 - 380 = USD 120 million. Using the closing -120 confuses end-of-day with the intraday peak.

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