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    BoM Revises Guideline on Management of Liquidity Risk by Banks

    April 03, 2019

    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.”

     

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    Effective Date: July 01, 2019

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

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