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The challenge of intraday liquidity reporting 

June 9, 2014
Christian Goerlach, Banking Technology

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. Christian Goerlach of  Deutsche Bank, takes a closer look at some of the issues facing global banks.

Q.  The publication of the “Monitoring Tools for Intraday Liquidity Management” by the Basel III Committee on Banking Supervision was more than a year ago. Can you give us an overview of the background, intentions and outcomes of this report?

A. The report published by the BCBS just over a year ago basically represented a further step to completing the revised liquidity risk management regime that was first communicated in 2008 following the publication of its Principles for Sound Liquidity Risk Management and Supervision. Five years later and having used the Basel III framework to introduce formal ratios for liquid asset buffers over a 30 day (Liquidity Coverage Ratio – LCR) and one year (Net Stable Funding Ratio – NSFR) horizon, intraday liquidity essentially tackles the final element of addressing a bank’s liquidity profile. The report itself suggests periodical reporting by banks (at present only those operating internationally) of intraday liquidity information starting 1 January 2015. Tools to be implemented include the calculation of daily maximum intraday liquidity usage and the availability of intraday liquidity at the start of the business day and time specific obligations.

Read more: Banking Technology

 
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