BoM Revises Guideline on Liquidity Risk Management by Banks
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.
- Guideline (PDF)
- Liquidity Coverage Ratio (XLSX)
- Maturity Mismatch Profile (XLSX)
- LCR Disclosure (XLSX)
Effective Date; January 11, 2021
Keywords: Middle East and Africa, Mauritius, Banking, LCR, Liquidity Risk, Reporting, Liquidity Mismatch, Disclosures, Basel, BoM
Skilled market researcher; growth strategist; successful go-to-market campaign developer
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.
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 ArticleECB Finalizes Guide on Supervisory Approach to Bank Consolidation
CFPB Finalizes Rule on Small Business Lending Data Collection
The Consumer Financial Protection Bureau (CFPB) published a final rule that sets out data collection requirements on small business lending, under section 1071 of the Dodd-Frank Act.
BCBS to Consult on Pillar 3 Climate Risk Disclosures by End of 2023
The Bank for International Settlements (BIS) published a summary of the recent Basel Committee (BCBS) meetings.
FINMA Approves Merger of Credit Suisse and UBS
The Swiss Financial Market Supervisory Authority (FINMA) has approved the takeover of Credit Suisse by UBS.
BOE Sets Out Its Thinking on Regulatory Capital and Climate Risks
The Bank of England (BOE) published a working paper that aims to understand the climate-related disclosures of UK financial institutions.
US Congress Report Examines Data Privacy and Cybersecurity Regulations
The U.S. Congressional Research Service published a report on banking, data privacy, and cybersecurity regulation.
OSFI Finalizes on Climate Risk Guideline, Issues Other Updates
The Office of the Superintendent of Financial Institutions (OSFI) is seeking comments, until May 31, 2023, on the draft guideline on culture and behavior risk, with final guideline expected by the end of 2023.
EU to Conduct One-Off Scenario Analysis to Assess Transition Risk
The European authorities recently made multiple announcements that impact the banking sector.
APRA Assesses Macro-Prudential Policy Settings, Issues Other Updates
The Australian Prudential Regulation Authority (APRA) published an information paper that assesses its macro-prudential policy settings aimed at promoting stability at a systemic level.
BIS Paper Examines Impact of Greenhouse Gas Emissions on Lending
BIS issued a paper that investigates the effect of the greenhouse gas, or GHG, emissions of firms on bank loans using bank–firm matched data of Japanese listed firms from 2006 to 2018.
HMT Mulls Alignment of Ring-Fencing and Resolution Regimes for Banks
The HM Treasury (HMT) is seeking evidence, until May 07, 2023, on practicalities of aligning the ring-fencing and the banking resolution regimes for banks.