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    BoM Revises Guideline on Liquidity Risk Management

    March 09, 2023

    The Bank of Mauritius (BoM) revised the guideline on managing liquidity risk that applies to all banks licensed in Mauritius. Accompanying the guideline are the templates for Liquidity Coverage Ratio (LCR), Maturity Mismatch Profile of Assets and Liabilities, and LCR Disclosures.

    The guideline on liquidity risk management sets out 13 fundamental principles for the 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. The LCR should be reported to the Bank of Mauritius 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. 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. Also, 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. 

     

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

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