BoM Revises Guideline on Liquidity Risk Management by Banks

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

• Notification
• 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