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

A bank's intraday liquidity report shows that on a given day its largest net cumulative negative position during the day was USD 800 million, its available intraday liquidity at start of day was USD 1,100 million, and its total payments made were USD 9,000 million. Using the standard Basel intraday monitoring tool, what was the bank's daily maximum intraday liquidity usage and how does it compare with available liquidity?

Daily maximum intraday liquidity usage is the largest net cumulative negative position, USD 800 million. Against USD 1,100 million of available intraday liquidity, headroom is USD 300 million. Gross payments of USD 9,000 million measure activity, not usage.

  1. AUSD 800 million, leaving USD 300 million of headroom against start-of-day available liquidityCorrect
  2. BUSD 1,100 million, leaving no headroom
  3. CUSD 9,000 million, exceeding available liquidity
  4. DUSD 1,900 million, exceeding available liquidity

Explanation

Daily maximum intraday liquidity usage is the largest net cumulative negative position during the day, here USD 800 million. Compared with USD 1,100 million available, headroom is 1,100 - 800 = USD 300 million. Total payments are a gross activity measure and are not the usage figure; adding the two amounts is meaningless.

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