Guidelines on the Internal Liquidity Adequacy Assessment Plan (ILAAP)

Intraday Liquidity Risk In this section, banks should describe the following: i. How intraday risk is created within their business, whether part of the payments system or not, their appetite for and approach to managing intraday liquidity risk of both cash and securities accounts and in both business as usual and stress conditions. ii. Details of how the bank assesses the adequacy of the process of measuring intraday liquidity risks, especially that resulting from the participation in the payment, settlement and clearing systems. iii. Details of how the bank adequately monitors measures to control cash flows and liquid resources available to meet intraday requirements and forecasts when cash flows will occur during the day. iv. How the bank carries out adequate specific stress-testing for intraday operations. 7. Approach and Methodology 7.1 Current Methodology In this section, banks should describe the framework and IT systems for identifying, measuring, managing and monitoring and both internal and external reporting of liquidity and funding risks, including intraday risk. The assumptions and methodologies adopted should be described, key indicators should be evidenced, and the internal information flows described. 7.2 Future Approach and Methodology Banks may provide a summary on the future models and methodologies being considered and developed including their strengths and weaknesses.