Banks should report their three largest daily negative net cumulative positions on their settlement or correspondent account(s) in the reporting period and the daily
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In April 2013, the Basel Committee on Banking Supervision (BCBS) published a set of monitoring tools which focus on intraday liquidity monitoring and reporting
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Banks should report their three largest daily negative net cumulative positions on their settlement or correspondent account(s) in the reporting period and the daily
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Monitoring tools for
intraday liquidity managementZZZELVRUJ
© Bank for International Settlements 2013. All rights reserved. Brief excerpts may be reproduced or
translated provided the source is stated. &RQWHQWV3UDFWLFDOH[DPSOHRIWKHPRQLWRULQJWRROV
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&RPELQLQJWKHWRROV ,,QWURGXFWLRQ PDQDJHPHQWIUDPHZRUN ,Q6HSWHPEHUWKH %DVH O&RPPLWWHHRQ%DQNLQ J6XSHUYLVLRQ% &%6 SXEOLVKHGLWVPrinciples for Sound Liquidity Risk Management and Supervision L have the capacity to measure expected daily gross liquidity inflows and outflows, anticipate the intraday timing of these flows where possible, and forecast the range of potential net funding shortfalls that might arise at different points during the day; have the capacity to monitor intraday liquidity positions against expected activities and available resources (balances, remaining intraday credit capacity, available collateral); arrange to acquire sufficient intraday funding to meet its intraday objectives; have the ability to manage and mobilise collateral as necessary to obtain intraday funds;have a robust capability to manage the timing of its liquidity outflows in line with its intraday objectives; and
be prepared to deal with unexpected disruptions to its intraday liquidity flows. Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring toolsBanks and regulators should be aware that the LCR stress scenario does not cover expected or unexpected intraday liquidity
needsBasel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools