BoM Revises Guideline on Liquidity Risk Management
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.
Related Links
- Notification on Liquidity Risk Management
- Guideline (PDF)
- Liquidity Coverage Ratio (XLSX)
- Maturity Mismatch Profile (XLSX)
- LCR Disclosures (XLSX)
Keywords: Middle East and Africa, Mauritius, Banking, LCR, Liquidity Risk, Reporting, Basel, Liquidity Mismatch, Disclosures, BOM
Featured Experts
María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer
Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.
Patrycja Oleksza
Applies proficiency and knowledge to regulatory capital and reporting analysis and coordinates business and product strategies in the banking technology area
Related Articles
ISSB Sustainability Standards Expected to Become Global Baseline
The finalization of the two sustainability disclosure standards—IFRS S1 and IFRS S2—is expected to be a significant step forward in the harmonization of sustainability disclosures worldwide.
IOSCO, BIS, and FSB to Intensify Focus on Decentralized Finance
Decentralized finance (DeFi) is expected to increase in prominence, finding traction in use cases such as lending, trading, and investing, without the intermediation of traditional financial institutions.
BCBS Assesses NSFR and Large Exposures Rules in US
The Basel Committee on Banking Supervision (BCBS) published reports that assessed the overall implementation of the net stable funding ratio (NSFR) and the large exposures rules in the U.S.
Global Agencies Focus on ESG Data, Climate Litigation and Nature Risks
At the global level, supervisory efforts are increasingly focused on addressing climate risks via better quality data and innovative use of technologies such as generative artificial intelligence (AI) and blockchain.
ISSB Standards Shine Spotlight on Comparability of ESG Disclosures
The finalization of the IFRS sustainability disclosure standards in late June 2023 has brought to the forefront the themes of the harmonization of sustainability disclosures
EBA Issues Several Regulatory and Reporting Updates for Banks
The European Banking Authority (EBA) recently issued several regulatory publications impacting the banking sector.
BCBS Proposes to Revise Core Principles for Banking Supervision
The Basel Committee on Banking Supervision (BCBS) launched a consultation on revisions to the core principles for effective banking supervision, with the comment period ending on October 06, 2023.
US Proposes Final Basel Rules, Transition Period to Start in July 2025
The U.S. banking agencies (FDIC, FED, and OCC) recently proposed rules implementing the final Basel III reforms, also known as the Basel III Endgame.
FSB Report Outlines Next Steps for Climate Risk Roadmap
The Financial Stability Board (FSB) recently published the second annual progress report on the July 2021 roadmap to address climate-related financial risks.
EBA Plans on Ad-hoc ESG Data Collection and Climate Scenario Exercise
The recognition of climate change as a systemic risk to the global economy has further intensified regulatory and supervisory focus on monitoring of the environmental, social, and governance (ESG) risks.
