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BIS to monitor intraday liquidity

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  • Publish date: 29 April 2013
  • Archived on: 04 February 2014

Bank supervisor to extend its monitoring of banks' risk management to include intraday liquidity risk.

The Bank of International Settlements has published a final framework to enable banking supervisors to better monitor the ability of a bank to manage intraday liquidity risk and understand its payment and settlement behaviour.

The framework includes:

  1. the detailed design of the monitoring tools for a bank's intraday liquidity risk;
  2. stress scenarios;
  3. key application issues; and
  4. the reporting regime.

The document also sets out seven quantitative monitoring tools to complement the qualitative guidance on intraday liquidity management set out in the Basel Committee's 2008 Principles for sound liquidity risk management and supervision.

Management of intraday liquidity risk forms a key element of a bank's overall liquidity risk management framework. However the tools are being introduced for monitoring purposes and only internationally active banks will be required to apply them. National supervisors will determine the extent to which the tools apply to banks that only operate domestically within their jurisdictions.

Basel III: The liquidity coverage ratio and liquidity risk monitoring tools (January 2013), which sets out one of the Committee's key reforms to strengthen global liquidity regulations, does not address the handling intraday liquidity.

Reporting on the management of intraday liquidity risk will start on a monthly basis from 1 January 2015 to coincide with the implementation of the liquidity coverage ratio reporting requirements.

An earlier version of the framework of monitoring tools was issued for consultation in July 2012.