What BCBS 248 - Monitoring tools for intraday liquidity management (Basel Committee, April 2013, Consolidated Basel Framework) requires
BCBS 248 was published by the Basel Committee on Banking Supervision in April 2013 and has been integrated into the consolidated Basel Framework. It develops seven quantitative monitoring tools, designed in consultation with the Committee on Payment and Settlement Systems, that enable banking supervisors to monitor banks' intraday liquidity risk and their ability to meet payment and settlement obligations on a timely basis under both normal and stressed conditions, complementing Principle 8 of the September 2008 Sound Principles for Sound Liquidity Risk Management and Supervision. Internationally active banks must apply the tools - national supervisors determine the extent to which the tools apply to other banks. The standard groups the tools by applicability: Category A (applicable to all reporting banks) comprises four tools - A(i) Daily maximum intraday liquidity usage, A(ii) Available intraday liquidity at the start of the business day, A(iii) Total payments, and A(iv) Time-specific obligations. Category B (applicable to reporting banks that provide correspondent banking services) comprises two tools - B(i) Value of payments made on behalf of correspondent banking customers, and B(ii) Intraday credit lines extended to customers. Category C (applicable to reporting banks which are direct participants in a large-value payment system) comprises one tool - C(i) Intraday throughput. The standard also identifies four (non-exhaustive) intraday liquidity stress scenarios that banks must use to assess how their intraday liquidity profile in normal conditions would change in stress and discuss with supervisors: (i) own financial stress where the bank suffers or is perceived to be suffering from a stress event; (ii) counterparty stress where a major counterparty suffers an intraday stress event that prevents it from making payments; (iii) a customer bank's stress where a customer bank of a correspondent bank suffers a stress event; and (iv) market-wide credit or liquidity stress. The tools are for monitoring purposes only - banks and supervisors are not required to disclose these reporting requirements publicly. The standard prescribes a bottom-up, system-by-system reporting approach with reporting allowed across linked LVPS only where a direct real-time technical liquidity bridge exists or where the bank can demonstrate it regularly monitors positions and uses other formal arrangements to transfer liquidity intraday. Banks should report their three largest daily negative net cumulative positions and the daily average over the reporting period, with monthly reporting commenced from 1 January 2015 in line with the Liquidity Coverage Ratio reporting timeline.
Pillar: Banking & Global Finance · Authority: Basel Committee on Banking Supervision, hosted at the Bank for International Settlements (Basel, Switzerland), with consultation from the Committee on Payment and Settlement Systems; the standard has been integrated into the consolidated Basel Framework · Version: 1.0.0 · Last updated:
Primary source: https://www.bis.org/publ/bcbs248.pdf
SHA-256 integrity: 66fe288a2d3e3af6ce1db1da6fde4c3e9ef17dd7d81271567f223ed22a521bfa
Primary Citations — 8 traced to source
- Basel Committee on Banking Supervision, Monitoring tools for intraday liquidity management, April 2013, BCBS 248, integrated into the consolidated Basel Framework - the seven quantitative monitoring tools and the four intraday liquidity stress scenarios for internationally active banks, with reporting commenced 1 January 2015
- Basel Committee on Banking Supervision, Principles for Sound Liquidity Risk Management and Supervision, September 2008 - Principle 8 - 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
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