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.”
Effective Date: July 01, 2019
Keywords: Middle East and Africa, Mauritius, Banking, LCR, Reporting, Liquidity Risk, Basel III, BoM
Previous ArticleBNM Consults on Policy Framework for D-SIBs
EBA published phase 2 of the technical package on the reporting framework 2.10, providing the technical tools and specifications for implementation of EBA reporting requirements.
FASB issued a proposed Accounting Standards Update that would grant insurance companies, adversely affected by the COVID-19 pandemic, an additional year to implement the Accounting Standards Update No. 2018-12 on targeted improvements to accounting for long-duration insurance contracts, or LDTI (Topic 944).
APRA updated the regulatory approach for loans subject to repayment deferrals amid the COVID-19 crisis.
BCBS and FSB published a report on supervisory issues associated with benchmark transition.
IAIS published a report on supervisory issues associated with benchmark transition from an insurance perspective.
ESMA updated the reporting manual on the European Single Electronic Format (ESEF).
EBA published a statement on resolution planning in light of the COVID-19 pandemic.
BCBS Finalizes Revisions to Credit Valuation Adjustment Risk Framework
ECB published a guideline (2020/97), in the Official Journal of European Union, on the definition of materiality threshold for credit obligations past due for less significant institutions.
PRA published a statement to insurers that clarifies the approach to application of the matching adjustment during COVID-19 crisis.