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FRM Part II · FRM Exam Part II · Monitoring Liquidity

A bank's treasury team wants to monitor how much intraday liquidity it needs on a typical day at the peak of its payment activity. Under the Basel intraday liquidity monitoring framework, which tool most directly measures the largest net cumulative payments position (the maximum net debit) reached during the business day?

Daily maximum intraday liquidity usage is the tool that measures the largest net cumulative payments position reached during the day. It shows the peak intraday funding need, unlike measures of available resources, gross payment volumes, or time-critical obligations.

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

Explanation

Daily maximum intraday liquidity usage captures the largest net cumulative position (net debit) during the day, i.e. the peak need. Available intraday liquidity measures resources, total payments measures gross flows, and time-specific obligations measures obligations that must settle by a given time.

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