medium · Frm Part 2 Liquidity & Treasury Risk
A bank's 'Maximum Net Cumulative Debit' during the day was $12bn. Its opening balance was $4bn and its daylight credit line was $6bn. During the peak, it missed a $3bn payment.
What should the supervisor conclude about the bank's intraday management?
- The bank should be penalized for having an LCR below 100% during the 11:00 AM window.
- The bank is in compliance because its $3bn missed payment is less than its $4bn opening balance.
- The bank's NSFR is likely too high, causing it to hold too much 'Stable Funding' that is illiquid intraday.
- The bank failed to maintain sufficient intraday capacity (Shortfall = $12bn - [$4bn + $6bn] = $2bn), leading to the missed obligation.
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