BCBS, in consultation with the Committee on Payment and Settlement Systems, issued its final version of the document, 'Monitoring tools for intraday liquidity management'.
Management of intraday liquidity risk forms a key element of a bank’s overall liquidity risk management framework. In September 2008, the Basel Committee on Banking Supervision (BCBS) published its Principles for Sound Liquidity Risk Management and Supervision (the Sound Principles), which provide guidance for banks on their management of liquidity risk and collateral.
Principle 8 of the Sound Principles focuses specifically on intraday liquidity risk and states that: “A bank should actively manage its intraday liquidity positions and risks to meet payment and settlement obligations on a timely basis under both normal and stressed conditions and thus contribute to the smooth functioning of payment and settlement systems".
This publication introduces a new reporting framework that will enable banking supervisors to monitor better a bank's management of intraday liquidity risk and its ability to meet payment and settlement obligations on a timely basis. Over time, the tools will also provide supervisors with a better understanding of banks' payment and settlement behaviour.
The framework includes:
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the detailed design of the monitoring tools for a bank's intraday liquidity risk;
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stress scenarios;
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key application issues; and
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the reporting regime.
The set of seven quantitative monitoring tools will complement the qualitative guidance on intraday liquidity management set out in the Basel Committee's 2008 Principles for Sound Liquidity Risk Management and Supervision.
An earlier version of the intraday liquidity monitoring tools published today was issued for consultation in July 2012.
Press release
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