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

A bank's treasury team wants a Basel-style monitoring tool that measures the largest net amount it could be required to fund during a business day, based on the cumulative net of payments sent and received through its settlement accounts. Which Basel intraday liquidity monitoring tool does this describe?

This describes the daily maximum intraday liquidity usage tool. It measures the peak net cumulative funding need during the day, calculated from payments sent less payments received, so it shows the largest amount of intraday liquidity the bank actually had to draw on.

  1. ADaily maximum intraday liquidity usageCorrect
  2. BAvailable intraday liquidity at the start of the business day
  3. CTotal payments
  4. DTime-specific and critical obligations

Explanation

Daily maximum intraday liquidity usage captures the largest net cumulative negative position (payments sent minus received) during the day, i.e. the peak funding need. Available intraday liquidity measures resources, not usage. Total payments measures gross flows, and time-specific obligations measures obligations that must be settled at a given time.

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