Date post: | 09-May-2015 |
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Intraday liquidity reportingSWIFT view on regulatory measures, impact and pragmatic solutions
Singapore Business Forum
Geertjan van Bochove, Manager Business Intelligence
What is BCBS intraday liquidity about?
BCBS monitoring tools for intraday liquidity (2013)To enable banking supervisors to better monitor a bank's management of intraday liquidity risk and its ability to meet payment and settlement obligations on a timely basis• Detailed set of 7 monitoring tools• Consider impact under 4 stress scenarios: own, counterparty, customer, market stress• Report by systems, correspondent banks, currencies, branches and subsidiaries
Implementation• Internationally active banks, in all countries and for all currencies they operate in• Report monthly to regulator, from 1st of January 2015
BCBS monitoring tools for intraday liquidity management was published in April 2013.
2008 financial crisis• Market turmoil that began in mid-2007 re-emphasised the importance of
liquidity to the functioning of financial markets and the banking sector• September 2008, Basel Committee on Banking Supervision (BCBS)
published Principles for Sound Liquidity Risk Management and Supervision
Applicability Monitoring tools
All reporting banks 1. Daily maximum intraday liquidity usage
2. Available intraday liquidity at the start of the business day
3. Total payments
4. Time-specific obligations
Banks providing correspondent banking services
5. Value of payments made on behalf of correspondent banking customers
6. Intraday credit lines extended to customers
Direct participants 7. Intraday throughput
BCBS monitoring tools for intraday liquidity management
As of January 2015
• Understand intraday exposure for your bank?
• Position of branches and subsidiaries?
• Produce report for BCBS?
How does this impact you?
Data sourcing alternatives
BCBS | broad reporting requirements
BCBS
User
Self-clearing
RTGS reporting
Central Bank account
Nostro’s
> 20 accounts per entity
> 200 accounts per group
Reporting on customer credit
lines usageGroup-wide
System A
Branch B
Request Monthly Excel
E-banking platforms
Intra-day liquidity usage (retrospective)1-day’s of reporting messages mapped
* Balance of EUR denominated MT900 and MT910 received by group X from group Y (aggregated per 5 min interval)
Demo report
Sourcing the right data from the Swift networkLiquidity messaging concept explained
Debit (MT900)
Credit (MT910)
You
Correspondent
Credit (MT910)
Counterparty
Debit (MT900)Payment
(MT103/MT202)Payment
(MT103/MT202)
End of day balance (MT950)
7
Only 16% of cross-border payments sent
from Singapore are confirmed
* Full year 2013, non-T2 flows, MT103 and MT202
Intra-day confirmations in Singapore vs. Europe
14% of cross-border payments received in
Singapore are confirmed
24% of cross-border payments sent from
Europe are confirmed
15% of cross-border payments received in Europe are confirmed
USER
PROVIDER
USER
PROVIDER
MT942 | Issues identifiedTime-stamp of individual transactions missing
0:00
0:30
1:00
1:30
2:00
2:30
3:00
3:30
4:00
4:30
5:00
5:30
6:00
6:30
7:00
7:30
8:00
8:30
9:00
9:30
10:00
10:30
11:00
11:30
12:00
12:30
13:00
13:30
14:00
14:30
15:00
15:30
16:00
16:30
17:00
17:30
18:00
18:30
19:00
19:30
20:00
20:30
21:00
21:30
22:00
22:30
23:00
23:30
-300
-250
-200
-150
-100
-50
0
50
100
150
MT942 received at 5:00am | with non-
reported itemsMT942 received at 4:30am | all reported
through R-T messages already
MT942 received at 5:00am | with non-
reported items
MT942 statement:
- +25 (Coupon)- +25 (cust pay)- -25 (Tax)- -25 (book trf)
Network complexity of intra-day reporting
UK HUB(all BICs running over the same
interface)
SG entity
Other entities running stand-alone interface
USD agent
CAD agent
AUD agent
JPY agent
RUB agent
AUD agent
JPY agent
Client-bank
Client-bank
Client-bank
User
Provider
Liquidity Implementation Task Force Cash, liquidity, and treasury practitioners, together with some GTB, product management representatives
17 Banks
• Bank of New York• BBVA• BNP Paribas• Citi• CommerzBank• Danske Bank• Deutsche Bank• Handelsbanken• HSBC• ING• Intesa San Paolo• JP Morgan• Lloyds• RBS• Standard Chartered• State Street• UBS
10 Brokers
• Bank of America Merill Lynch• Barclays Capital• Citi• Crédit Suisse• Goldman Sachs• HSBC• Jefferies• Morgan Stanley• Newedge• Standard Bank
Market practice for SWIFT Intraday Liquidity ReportingIndustry forum to establish business practice for SWIFT services and encourage a consistent and standardised implementation of liquidity management services globally
Deliverable: real-time liquidity reporting rule book sharedwith the PMPG
Some key principles Purpose : improve reporting for regulatory but also risks
purposes Finality of reporting on accounts movements – MT900/910 to
be used Timing of reporting - as soon as debit/credit entries are posted
on the account. . Message time stamping taken as a reference to build the
intraday liquidity position Standardised approach: mirroring reporting approach for
Nostro/ Vostro’s accounts
10
BCBS monitoring tools- The pain points
Data availability Understand intraday exposure across Nostro accounts for
all currencies Reporting both globally and at the level of each legal entity Vostros aggregated intraday credit lines usage
Resourcing to produce reports for BCBS Short time line Not a revenue generator Duplication of efforts: centrally vs. Locally
Development needed at you institution
3) Reporting and analysis- Normalize data- Build BCBS reporting - Build control check on data
coverage
2) Set-up technical infrastructure- Collect data (FINInform)- Route data- Extract and parse relevant
information- Safe store in database
Parsing
Database
Gateway / Access
Reporting
Analysis
1) Source correct data from agents- Analyze data gaps- Define missing intra-day reporting- Define business rules- Go-out to correspondents
Data gap analysis
Technical set-up
Reporting design
Regulatory reporting, analytics, management, etc.
13
Effective Intra-Day Liquidity Management = quality data + business rules
Correspondent bank
Your institution
T +/- X
Messages can be received on the same, but can also be
received a day before
Statements
Some specific flows will be
recorded only on an end-of-day
statement, without intra-day
advices
Difference in behaviorDifferent correspondents and even accounts will have
different behavior in sending reporting flowsM
T900
MT
910
MT
103
MT
202
MT
545
MT
547