FRM Part II · FRM Exam Part II · Intraday Liquidity Risk Management
A bank's payment system settlement account shows the following cumulative net positions during a day (opening balance zero): 09:00 +40m, 10:30 -25m, 12:00 -90m, 14:00 -60m, 15:30 +15m, 17:00 +30m. What is the bank's daily maximum intraday liquidity usage?
The daily maximum intraday liquidity usage is 90 million. It equals the largest cumulative net negative position during the day, reached at 12:00. Later positions of -60 million and then positive balances are smaller needs and do not represent the peak usage.
- A60m
- B90mCorrect
- C25m
- D30m
Explanation
Daily maximum usage is the largest cumulative net debit position relative to opening. The most negative cumulative position is -90m at 12:00. The -60m is a later, smaller debit and +30m is the end-of-day surplus, so neither is the peak.
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