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

Under the Basel Committee's monitoring tools for intraday liquidity risk, which of the following is classified as a gross source of intraday liquidity available to a bank?

Balances at the central bank and unencumbered liquid assets that can be pledged as collateral are sources of intraday liquidity. Payments made, credit extended to clients, and queued payments consume liquidity, so they are uses rather than sources.

  1. APayments the bank has made to other participants during the day
  2. BBalances held at the central bank and unencumbered liquid assets that can be used as collateralCorrect
  3. CIntraday credit extended by the bank to its own clients
  4. DPayments queued for release awaiting funding

Explanation

Intraday sources include central bank balances, available intraday credit lines and collateral, and payments received. Payments made, credit extended to clients and queued payments are uses or demands on liquidity, not sources.

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