Benelux forum 2014 - Intraday Liquidity Reporting

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Information about Benelux forum 2014 - Intraday Liquidity Reporting

Published on March 20, 2014

Author: SWIFTcommunity



Presentation from the SWIFT Benelux Forum held in La Hulpe on 19/20 March 2014.

Intraday liquidity reporting Solutions from SWIFT to support compliance with BCBS monitoring requirements Benelux Forum Geertjan van Bochove, Manager Business Intelligence, EMEA

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 usage Group-wide System A Branch B Request Monthly Excel E-banking platforms

SWIFT’s relevance in Liquidity Management Bottom-up | transactional data essential

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 network Liquidity messaging concept explained You Correspondent Counterparty End of day balance (MT950) Additional messaging Payments Customer (MT103) Interbank (MT202) Securities settlement RvP (MT545) DvP (MT547) Many different operational behaviors: Business rules and investigation needed for all your correspondents

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)

Network complexity of intra-day reporting NL HUB (all BICs running over the same interface) US 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

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

Regulatory reporting Receive bespoke reports To be complemented with securities settlement instructions, internal data and non SWIFT flows Intraday cash position Opening balance Statement MT 950 Cash in/out Payments MT 103, 202 Intraday updates MT 900, 910, 942 DVP, RVP MT 545, 547 Branches and subsidiaries MT 096 copy Payment application Transaction database Monitor and manage payment queues and cash positions Run analytics on counterparties and customers flows Feed liquidity dashboard with FIN messaging 1 Get global view across branches with FINInform 2 Understand data quality and gaps with consulting services 3 4 SWIFT intraday liquidity reporting solutions

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 MT 096 copy

Intra-day liquidity data completeness assessment Purpose and deliverables “Main purpose of the data completeness assessment will be to drill down further into data gap issues and ultimately produce reports that deliver complete intra-day liquidity views” What can SWIFT deliver through this data validation exercise: • Validate intra-day reporting concept of MT900 / MT910 • Determine what data is missing / is not reported on – To close gaps between end-of-day balance and the MT900s, MT910s and potentially other messaging or information that reports a cash movement • Establish a better view on the provider’s reporting flows – What is reported on and how it is reported on • Manage the requests for reporting from counterparties – What needs to be requested from a counterparty – What alternatives would be available if a counterparty is not able to deliver the requested reporting

Any bank Branch A, B,C… Headquarter Copy destination MT 900,910, 942,535, 950 MT103, 202 COPY - MT096 (MT 103, 202) COPY - MT096 (MT 900,910,942,535) How does FIN Inform works? Real-time, flexible, central data collection 14 Copy a set of specific incoming, and / or outgoing message types in real-time from your subsidiaries located anywhere in the world With the option to copy only specified fields from the messages: • Allowing the possibility to copy only the parts of the message which are not allowed to be shared, due to: • Confidentiality • Regulation • Data privacy • Etc. • Giving the possibility to monitor liquidity usage of your subsidiaries in ‘sensitive’ countries like Luxemburg, Jersey, Switzerland and Singapore.

Supporting the development of the Intraday Liquidity reports (2) Opening balance Statement MT940/950 (3) Credit / Debit entries confirmations Amount/ Date-time/ Currency Correspondent BIC MT900/910/ 942/ 103/202/ 545/ 547 (1) Closing Balance Statement MT940/ 950 (8) Back/Forward value entries (5) Balance (7) Date/time message stamping is different from value date? Calculation Indicate discrepancy to user through the interactive dashboards (6) Matching Discrepancy between calculated balance & MT950 BCBS aggregated measures/ reports Transactional reports detailed report per transaction + transaction reference number Report entries & calculated balance based on back value items (4) Identify duplicates from 103/202/ 900/910 & reported again in 942 or reported twice with 942 Specifications definition or support to the BCBS reports implementation Specifications definition or support to the BCBS reports implementation

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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