Featured Product

    BoM Revises Guideline on Liquidity Risk Management by Banks

    January 11, 2021

    BoM revised the guideline on management of liquidity risk that is applicable to all banks licensed in Mauritius. Accompanying the revised guideline are the templates for Liquidity Coverage Ratio (LCR), Maturity Mismatch Profile of Assets and Liabilities, and LCR Disclosures. The guideline draws on analysis and recommendations from the BCBS documents on "Principles for Sound Liquidity Risk Management and Supervision" (September 2008) and "Basel III: Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools" (January 2013). The revised guideline shall come into effect on January 11, 2021.

    The guideline on liquidity risk management sets out 13 fundamental principles for management and supervision of liquidity risk. The guideline also covers governance, measurement, and disclosure of liquidity risks by banks. Appendix 1 of the guideline details the computation of LCR while Appendix 2 details the minimum requirements for maturity mismatch and gap analysis. LCR is to be met by a bank on both a solo and consolidated basis. Where a bank has a banking presence (branch or subsidiary) in other jurisdictions, the bank in calculating its consolidated LCR must apply the requirements outlined in this guideline to such branch or subsidiary. Where a bank has a banking presence (branch or subsidiary) in jurisdictions that do not apply the global framework of BCBS for liquidity risk, the cash flow assumptions outlined in this guideline must be applied in calculating its consolidated LCR. Moreover, banks with material banking subsidiaries in other jurisdictions must ensure that the subsidiary maintains at least a 100% LCR. BoM may allow a bank to include assets that are formally recognized as eligible liquid assets by the host supervisor. 

    The guideline states that LCR should be reported 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. Banks are required to comply with the disclosure requirements, as set out in the guideline, from the date of the first reporting period after the LCR comes into effect. Banks must publish this disclosure at the same frequency as, and concurrently with, the publication of their financial statements, irrespective of whether the financial statements are audited (that is, typically quarterly or semi-annually). The guideline also stipulates that all banks shall report to BoM, in the prescribed format, on a monthly basis the Maturity Mismatch Profile of Assets and Liabilities, as per the outlined slotting rules (Annex 4). BoM expects all institutions to have appropriate risk control measures to identify, manage, and monitor liquidity risk exposures under various stress situations. 

     

    Related Links

    Effective Date; January 11, 2021

    Keywords: Middle East and Africa, Mauritius, Banking, LCR, Liquidity Risk, Reporting, Liquidity Mismatch, Disclosures, Basel, BoM

    Featured Experts
    Related Articles
    News

    ESAs Issue Multiple Regulatory Updates for Financial Sector Entities

    The three European Supervisory Authorities (ESAs) issued a letter to inform about delay in the Sustainable Finance Disclosure Regulation (SFDR) mandate, along with a Call for Evidence on greenwashing practices.

    November 15, 2022 WebPage Regulatory News
    News

    ISSB Makes Announcements at COP27; IASB to Propose IFRS 9 Amendments

    The International Sustainability Standards Board (ISSB) of the IFRS Foundations made several announcements at COP27 and with respect to its work on the sustainability standards.

    November 10, 2022 WebPage Regulatory News
    News

    IOSCO Prioritizes Green Disclosures, Greenwashing, and Carbon Markets

    The International Organization for Securities Commissions (IOSCO), at COP27, outlined the regulatory priorities for sustainability disclosures, mitigation of greenwashing, and promotion of integrity in carbon markets.

    November 09, 2022 WebPage Regulatory News
    News

    EBA Finalizes Methodology for Stress Tests, Issues Other Updates

    The European Banking Authority (EBA) issued a statement in the context of COP27, clarified the operationalization of intermediate EU parent undertakings (IPUs) of third-country groups

    November 09, 2022 WebPage Regulatory News
    News

    OSFI Sets Out Work Priorities and Reporting Updates for Banks

    The Office of the Superintendent of Financial Institutions (OSFI) published an annual report on its activities, a report on forward-looking work.

    November 07, 2022 WebPage Regulatory News
    News

    APRA Finalizes Changes to Capital Framework, Issues Other Updates

    The Australian Prudential Regulation Authority (APRA) finalized amendments to the capital framework, announced a review of the prudential framework for groups.

    November 03, 2022 WebPage Regulatory News
    News

    BIS Hub and Central Banks Conduct CBDC and DeFI Pilots

    The Bank for International Settlements (BIS) Innovation Hubs and several central banks are working together on various central bank digital currency (CBDC) pilots.

    November 03, 2022 WebPage Regulatory News
    News

    ECB Sets Deadline for Banks to Meet Its Climate Risk Expectations

    The European Central Bank (ECB) published the results of its thematic review, which shows that banks are still far from adequately managing climate and environmental risks.

    November 02, 2022 WebPage Regulatory News
    News

    ESAs, ECB, & EC Issue Multiple Regulatory Updates for Financial Sector

    Among its recent publications, the European Banking Authority (EBA) published the final standards and guidelines on interest rate risk arising from non-trading book activities (IRRBB)

    October 31, 2022 WebPage Regulatory News
    News

    EC Adopts Final Rules Under CRR, BRRD, and Crowdfunding Regulation

    The European Commission (EC) recently adopted regulations with respect to the calculation of own funds requirements for market risk, the prudential treatment of global systemically important institutions (G-SIIs)

    October 26, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8582