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Requirements for the Management of Liquidity Risk 28 June 2006 Regulatory Document for Credit Institutions from the Financial Regulator

Requirements for the Management of Liquidity Risk 28 June 2006 Regulatory Document for Credit Institutions from the Financial Regulator

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Published by Mark Malone
The Financial regulators handbook in 2006. In In this there
The Financial regulators handbook in 2006. In In this there

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Published by: Mark Malone on Jun 26, 2013
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08/04/2013

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Requirements forthe Managementof Liquidity Risk28 June 2006
Regulatory Document for Credit Institutions
 
 
 
 
Contents:1.
 
Legal Basis................................................................................................1
 1.1 Establishment of the Regulatory Powers of the IrishFinancial Services Regulatory Authority..........................................11.2 Current Liquidity Requirements........................................................11.3 New Liquidity Requirements............................................................21.3.1 Rationale for New Approach.....................................................21.3.2 Qualitative and Quantitative Requirements..............................21.4 Application of Regulatory Document...............................................31.4.1 Licensed Credit Institutions......................................................31.4.2 Banking Groups.........................................................................41.4.3 Branches of EEA and non-EEA Banks.....................................4
2.
 
Liquidity....................................................................................................5
 2.1 Definition...........................................................................................52.2 Monitoring of Liquidity by Financial Regulator...............................5
3.
 
Qualitative Requirements.......................................................................6
 3.1 Board of Directors.............................................................................63.2 Senior Management...........................................................................73.2.1 Asset and Liability Committee..................................................73.2.2 Senior Management Role..........................................................83.3 Internal Controls................................................................................93.4 Management Information System (MIS)...........................................93.5 Internal Audit...................................................................................103.6 Scenario Analysis, Stress Testing and Assumptions.......................103.7 Foreign Exchange............................................................................113.8 Market Access.................................................................................113.9 Contingency Planning and Disclosure.............................................11
4.
 
Quantitative Measurement Methodology............................................12
 4.1 Description of New Requirements..................................................12Table (i): Transactions with No Specific Contractual Maturity Date......14Table (ii): Transactions with a Specific Contractual Maturity Date........154.2 Use of Limits and Monitoring Ratios..............................................154.3 Materiality.......................................................................................15
5.
 
Readily Marketable Assets/Liquid Assets...........................................16
 5.1 Definition.........................................................................................165.2 Overriding Criteria..........................................................................165.3 Deposit Protection Account............................................................175.4 Encumbered Assets.........................................................................175.5 Discounting/Haircuts.......................................................................185.6 Incorporation of Readily Marketable Assets into theMismatch Calculation......................................................................18
6.
 
Maturity Mismatch................................................................................19
 6.1 Inflows and Outflows......................................................................196.2 Timebands.......................................................................................196.3 Limits...............................................................................................206.4 Monitoring Ratios............................................................................206.5 Undrawn Committed Facilities.......................................................21
7.
 
Foreign Exchange Business...................................................................21
 7.1 Introduction.....................................................................................217.2 Requirements on Quantitative FX Liquidity Management.............21

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