Intraday Liquidity

In the course of the financial crisis liquidity risk has become a focus of regulators. Intraday liquidity has been on the agenda right from the start as set out in principle 8 of the Basel Committee’s “Principles for Sound Liquidity Risk Management and Supervision” (BCBS144, 2008).

Intraday liquidity is necessary for the smooth functioning of the international payment and settlement system. With technical advances and more payment market infrastructures such as clearing houses and central counterparties entering the stage, the world-wide settlement and payment network is more efficient than ever - but also more complex and potentially more vulnerable to systemic effects. Each bank is therefore expected to understand the impact of its dependency on payment infrastructures as well as the impact which the bank’s own choices can have on the smooth functioning of the network. This is particularly important for large international banks and providers of correspondence banking services.


Principle 8 of the “principles” has set the benchmark for future best banking practices in intraday liquidity risk with the following core expectations:


  • Ability to project future payments including expected timing and - building on this - track actual activities against the expectation
  • Ability to manage the timing of outgoing payments
  • Precautions for unexpected disruptions and contingent liquidity sources


With LCR and NSFR almost put in place, the focus now turns from classic liquidity risk to intraday liquidity risk with a set of concrete detailed monitoring tools proposed by the Basel Committee (BCBS248, 2013) as well as the expectations concerning intraday liquidity risk management in the SREP under the European Capital Requirements Regulation.

Intraday Liquidity Risk is different from „classic“ liquidity risk

The EBA standards for regulators SREP under the European Capital Requirements Regulation clearly aim at integrating intraday liquidity risk management in the bank’s risk framework.

At the same time, intraday liquidity risk is more than an extension of liquidity risk practices to yet shorter reporting frequencies.
Firstly, it is necessary to consider gross payments instead of net cash flows. Secondly the risk factors which drive payment timings are very different from classic liquidity risk. This requires not only different data and data sources such as internal payment and settlement modules and SWIFT but also different models to analyse and project the data.
Consider for example a bank day on which a foreign currency bond matures whose outflow will be covered by an inflow from an FX swap on the same day. In classic liquidity risk where cash flows on the day are aggregated such movements are neither visible nor of particular interest. However, during the day the order in which the inflow and outflow payments take place is essential.
The payment timing depends on settlement instructions, cut-off times as well as the availability of intraday credit lines on the accounts. Such information is typically not available in liquidity risk systems. Finally, for assessing intraday liquidity risks assumptions for payment timings must be made, which take into account settlement instructions and typical or possible behaviour of the parties involved.


Example of intraday stress on a nostro account where a large wholesale (swap) inflow is delayed by 2h leading to an intraday credit line peak extension of 1.2bn. Stress effects from retail payments are dampened by diversification effects

A broad range of factors influence intraday liquidity, ranging from stress induced events to operational rules which are set by the market infrastructures and rules which are obeyed by participants. An intraday liquidity risk manager will need to understand in significant detail the nuts, bolts and screws which make international payment and settlement systems work as well as how her institution ties in with the network, such as

  • Rules and conditions of direct participation in large value payment systems (LVPS) and real time gross settlement systems (RTGS)
  • Cut-off times of markets and financial intermediaries such as correspondent banks, clearing houses and custodians
  • Correspondent banking and „Know your customer’s customer” (KYCC)
  • SWIFT messaging standards

BCBS248 - Monitoring Intraday Liquidity Risk

With BCBS248 the Basel Committee has made a step forward by proposing concrete monitoring indicators recommended for large international banks. The requirements in BCBS248 contain detailed descriptions of the type of data banks should collect as well as regulatory reports generated from the ex-post data.

Tools applicable to all reporting banks

  • A (i): Daily maximum intraday liquidity usage
  • A (ii): Available intraday liquidity at the start of the business day
  • A (iii): Total payments
  • A (iv): Time-specific obligations

Tools applicable to reporting banks that provide correspondent banking services

  • B (i): Value of payments made on behalf of correspondent banking customers
  • B (ii): Intraday credit lines extended to customers

Tool applicable to reporting banks which are direct participants (in LVPS)

  • C (i): Intraday throughput

In addition to the monitoring tools the Basel Committee recommends that stress scenarios be applied to ex-post liquidity profiles in order to understand the structure of the intraday liquidity and to identify weaknesses.

The key challenge of BCBS248 is data availability. The implementation of BCBS248 involves building up new payment oriented data pools at the required granularity, e.g. including time stamps, reflecting the gross payment view and containing additional information for designing stress scenarios such as counterparty, payment/settlement channel, cut-off times, etc.

Banks receive and process SWIFT messages about payments and settlements and match SWIFT messages about incoming payments with in-house transaction data as part of standard back office processes. Yet, the result of the reconciliation is rarely available in reprting tools for analysis and management reporting. Die greatest challenge, however, remains the time stamp information. For correspondent banking customers, for example, this information is available neither for incoming nor for outgoing payments but must be obtained from the correspondent bank. While time stamps could in principle be provided using the SWIFT messaging standards MT900/910, this information requirement goes far beyond what is established for cash and position management where statement reports MT940/950 and possibly MT942 interim transaction reports are sufficient. The ideal messaging standard based on MT900/910 single debt/credit confirmation is not yet established across the market.

For the implementation of BCBS248 banks should therefore expect efforts in building new data pools, in connecting to new internal and external data sources and in applying methods for bridging data gaps.

Our offer

d-fine can support you in different aspects and phases of your intraday liquidity risk project: from the first assessment of your risk exposure to improvements in back office processes to establishing a framework for risk measurement and management.

  • Quick Check of your methods, systems and processes with respect to intraday liquidity management
  • Implementation of BCBS248 monitoring tools
  • Measures for improving the SREP assessment
  • Benchmarking of your back office processes, particularly in cash management and settlement focusing on the usage of infrastructures and resulting intraday risks
  • Intraday data analysis, model development and scenario design

We will be happy to arrange a meeting with your experts. We are looking forward to hearing from you.


For detailed information on our references and our approach, call us on +49 69 907370 or email us at, with the subject line "Intraday Liquidity".