Monitoring intraday liquidity management - consultative document issued by the Basel Committee
The Basel Committee on Banking Supervision today issued for consultation Monitoring indicators for intraday liquidity management.
Intraday liquidity can be defined as funds that are accessible during the business day, usually to enable financial institutions to make payments in real time. The proposed indicators published today will allow banking supervisors to monitor a bank's intraday liquidity risk management and its ability to promptly meet payment and settlement obligations, both in normal times and in stressed scenarios. Over time, the indicators will also help supervisors gain a better understanding of banks' payment and settlement behaviour and their management of intraday liquidity risk.
A proposed monitoring framework is set out in the consultative paper and includes:
- the detailed design of the monitoring indicators for a bank's intraday liquidity risk;
- stress scenarios;
- key application issues; and
- the reporting regime.
Use of the proposed indicators will complement the guidance on intraday liquidity risk management set out in the Basel Committee's 2008 Principles for Sound Liquidity Risk Management and Supervision.
The Basel Committee welcomes comments on this consultative document. Comments should be submitted by Friday 14 September 2012 by e-mail to: baselcommittee@bis.org. Alternatively, comments may be sent by post to the Secretariat of the Basel Committee on Banking Supervision, Bank for International Settlements, CH-4002 Basel, Switzerland. All comments may be published on the website of the Bank for International Settlements unless a comment contributor specifically requests confidential treatment.