BoM Revises Guideline on Management of Liquidity Risk by Banks
BoM revised its guideline on the management of liquidity risk by banks in Mauritius. One of the key revisions requires banks to report the liquidity coverage ratio (LCR) on a bimonthly basis, as at the fifteenth and the end of every month. The changes in the guideline shall come into effect on July 01, 2019.
The key revisions to the guideline include the following:
- Section 6 of Appendix 1 of the guideline has been revised to require banks to report their LCR on a bimonthly basis, as at the fifteenth and the end of every month, not later than 10 working days after the fifteenth and the end of every month respectively.
- Section 19 of Appendix 1 of the guideline has been revised to reflect the change in reporting requirements.
- Annex 2 of the guideline has been revised to require banks to present LCR data as simple averages of bimonthly observations over a quarter.
- The template for reporting of LCR has been replaced, as was communicated to banks on January 07, 2019.
The reporting of LCR was first introduced in October 2017 and was initially reported to the BoM on a monthly basis. However, the guideline also stipulates that a bank should have the operational capacity to increase the frequency to weekly or even daily in stressed situations. The revised reporting requirements of LCR leverages the fact that banks now have the requisite system for reporting in place and aims at having a closer monitoring of the liquidity position of banks. The guideline draws on the analysis and recommendations of BCBS contained in reports “Principles for Sound Liquidity Risk Management and Supervision, September 2008” and “Basel III: Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools, January 2013.”
Related Links
Effective Date: July 01, 2019
Keywords: Middle East and Africa, Mauritius, Banking, LCR, Reporting, Liquidity Risk, Basel III, BoM
Featured Experts
María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer
Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.
Karen Moss
Senior practitioner in asset and liability management (ALM) and liquidity risk who assists banking clients in advancing their treasury and balance sheet management objectives
Previous Article
ISDA and AFME Respond to Interim Report on Climate Benchmarks in EURelated Articles
EC Delegated Regulation on Specialized Lending Exposures Under CRR
EC finalized the Delegated Regulation 2021/598 that supplements the Capital Requirements Regulation (CRR or 575/2013) and lays out the regulatory technical standards for assigning risk-weights to specialized lending exposures.
OSFI Consults on Minimum Qualifying Rate for Uninsured Mortgages
OSFI is proposing new minimum qualifying rate for uninsured mortgages under the Guideline B-20.
OSFI Issues Letter on ICAAP Submission and Internal Audit of BCAR
OSFI issued a letter to confirm that a formal Internal Capital Adequacy Assessment Process (ICAAP) submission is not required in 2021.
ECB Updates List of Supervised Entities in EU in April 2021
ECB updated the list of supervised entities in EU, with the number of significant supervised entities amounting to 115 as of the March 01, 2021 cut-off date.
ESMA Issues Notification Templates for STS Synthetic Securitizations
ESMA published the interim simple, transparent, and standardized (STS) notification templates for synthetic securitizations, post the recent amendments to the Securitization Regulation.
EC Agrees to Prolong Scheme to Support NPL Reduction at Greek Banks
EC has approved the prolongation of an existing Greek scheme aiming to support the reduction of nonperforming loans, or NPLs, of Greek banks on the basis that it remains free of any State aid.
EIOPA Study Examines Internal Model Market and Credit Risks Under SII
EIOPA published a report presenting the results of its yearly study on the internal modeling of market and credit risks under the Solvency II Directive, also known as SII.
EBA Issues Erratum for Phase 2 Package of Reporting Framework 3.0
EBA published an erratum for the technical package on phase 2 of the reporting framework 3.0.
EBA Updates Lists of Entities for Use in Capital Calculations under SA
EBA published an erratum for the technical package on phase 2 of the reporting framework 3.0.
FED Proposes to Automate Bank Stock Adjustment Using Call Report Data
FED published a proposal to automate non-merger-related adjustments to member banks' subscriptions to Federal Reserve Bank capital stock.
