The Liquidity Ordinance and Circular 15/2 outline the qualitative and quantitative liquidity requirements for banks. The qualitative part has been effective since 1 January 2014 (as part of the superseded Circular 13/6) and includes amongst others the definition of a liquidity risk tolerance and strategy, the measurement of (intraday) liquidity risks, stress testing and contingency funding planning.
The quantitative part (Liquidity Coverage Ratio (LCR)) was introduced to ensure that banks hold a liquidity buffer to offset increased net cash outflows under a specified 30 day stress scenario. For non-systemically important banks, the LCR is being phased in until 1 January 2019. Systemically important banks are required to comply with a 100% LCR as of 1 January 2015. In addition to the LCR, the Net Stable Funding Ratio (NSFR) will be introduced by 2018 following a test reporting phase and requires banks to have enough available stable funding to cover illiquid assets, i.e. a NSFR of ≥ 100%.
- 7 Enactment / transitional period 01/15-12/18
- 8 Application of the rule of law 01/19-
The qualitative requirements depend on the bank's size as well as the type, scope, complexity and riskiness of its business activities. The so called principle of proportionality exempts smaller banks from specific requirements and therefore facilitates the implementation. It is key that the processes to identify, measure, monitor and manage liquidity risks are adapted to the specific business activities of each bank and are comprehensive and consistently applied. The calculation and reporting of the LCR requires the availability and timeliness of very granular data which is often as such not available in the general ledger systems. Further, for some banks, meeting the LCR minimum requirement is a constraining factor in the funding and liquidity management which will drive strategic decisions, e.g. with regards to tenor structures, types of products, counterparties etc.
- Überarbeitung der Liquiditätsstandards für Schweizer Banken
- Implementing regulatory liquidity requirements for Swiss banks
- NSFR: Mehr als nur Bilanzinformationen erforderlich