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

A bank's treasury team is reviewing the Basel Committee's intraday liquidity monitoring tools. Which of the following correctly describes the tool 'daily maximum intraday liquidity usage'?

Daily maximum intraday liquidity usage is the largest net cumulative negative position, meaning peak net debit, observed during the business day relative to the opening position. It measures the peak intraday funding need, unlike gross payment values, opening available liquidity or payment timing indicators.

  1. AThe largest net negative cumulative position (net debit) during the day, measured against opening balance, across the business dayCorrect
  2. BThe total value of payments sent and received through all payment systems in a day
  3. CThe amount of available intraday liquidity at the start of the business day
  4. DThe time of day by which 50% of outgoing payments have been settled

Explanation

Daily maximum intraday liquidity usage is the largest net cumulative negative position (net debits) observed during the business day, reflecting the peak need for intraday funding. Total payments sent/received is a separate tool (value of payments), available intraday liquidity at start of day is another tool, and the 50% timing relates to payment timing.

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