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

Which Basel intraday monitoring tool would best show whether a bank is exposed to payments it cannot defer without causing disruption, such as CLS pay-ins and securities settlement obligations?

Time-specific obligations is the tool. It captures payments that must settle by a particular time, such as CLS pay-ins, securities settlement or margin calls, so it reveals liquidity demands the bank cannot defer without causing disruption to itself or the counterparties.

  1. ATime-specific obligationsCorrect
  2. BDaily maximum intraday liquidity usage
  3. CAvailable intraday liquidity
  4. DIntraday throughput

Explanation

Time-specific obligations measure payments that must be made at a specific time, such as CLS pay-ins or margin calls, and which cannot be delayed. Peak usage and available liquidity measure net need and resources. Throughput measures timing of payment flows generally.

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