0
Intraday liquidity reporting
SWIFT view on regulatory measures, impact
and pragmatic solutions
Singapore Business Forum
Ge...
What is BCBS intraday liquidity about?
BCBS monitoring tools for intraday liquidity (2013)
To enable banking supervisors t...
Applicability Monitoring tools
All reporting banks 1. Daily maximum intraday liquidity usage
2. Available intraday liquidi...
Data sourcing
alternatives
BCBS | broad reporting requirements
BCBS
User
Self-clearing
RTGS reporting
Central Bank
account...
Intra-day liquidity usage (retrospective)
1-day’s of reporting messages mapped
* Balance of EUR denominated MT900 and MT91...
Sourcing the right data from the Swift network
Liquidity messaging concept explained
You
Correspondent
Counterparty
End of...
Only 16% of cross-
border payments sent
from Singapore are
confirmed
7
* Full year 2013, non-T2 flows, MT103 and MT202
Int...
MT942 | Issues identified
Time-stamp of individual transactions missing
-300
-250
-200
-150
-100
-50
0
50
100
150
0:00
0:3...
Network complexity of intra-day reporting
UK HUB
(all BICs running
over the same
interface)
SG entity
Other entities
runni...
Liquidity Implementation Task Force
Cash, liquidity, and treasury practitioners, together with some GTB, product managemen...
BCBS monitoring tools- The pain points
 Data availability
 Understand intraday exposure across Nostro accounts for
all c...
Development needed at you institution
3) Reporting and analysis
- Normalize data
- Build BCBS reporting
- Build control ch...
13
Effective Intra-Day Liquidity Management =
quality data + business rules
Correspondent bank
Your institution
T +/- X
Messa...
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Intraday liquidity management, Geertjan van Bochove, SWIFT

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Transcript of "Intraday liquidity management, Geertjan van Bochove, SWIFT"

  1. 1. Intraday liquidity reporting SWIFT view on regulatory measures, impact and pragmatic solutions Singapore Business Forum Geertjan van Bochove, Manager Business Intelligence
  2. 2. 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
  3. 3. 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?
  4. 4. 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 usage Group-wide System A Branch B Request Monthly Excel E-banking platforms
  5. 5. 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
  6. 6. Sourcing the right data from the Swift network Liquidity messaging concept explained You Correspondent Counterparty End of day balance (MT950)
  7. 7. Only 16% of cross- border payments sent from Singapore are confirmed 7 * 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
  8. 8. MT942 | Issues identified Time-stamp of individual transactions missing -300 -250 -200 -150 -100 -50 0 50 100 150 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 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)
  9. 9. 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
  10. 10. 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 Reporting Industry 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 shared with 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
  11. 11. 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
  12. 12. 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. 13. 13
  14. 14. 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 behavior Different correspondents and even accounts will have different behavior in sending reporting flows MT900 MT910 MT103 MT202 MT545 MT547
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