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FRM Part II · FRM Exam Part II · Monitoring Liquidity

A bank's payments department notes that in stress, a large correspondent participant delays sending payments until late in the day, while the bank must still pay out on schedule. Which monitoring measure best captures the resulting exposure to the bank's own liquidity?

Intraday throughput is the best measure. It shows what proportion of payments settle by set times during the day, exposing delays in incoming payments from counterparties and the bank's own timing risk, which long-term or stock-based liquidity ratios do not capture.

  1. AIntraday throughput showing the proportion of outgoing payments settled by specified timesCorrect
  2. BTotal value of securities held as high-quality liquid assets
  3. CNet stable funding ratio
  4. DLong-term funding maturity profile

Explanation

Intraday throughput tracks the share of payments released by given times of day, revealing whether counterparties' delayed payments reduce incoming liquidity and whether the bank is making payments on time. HQLA stock, NSFR and funding maturity are not intraday timing measures.

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