LM-2.2 LM-2.2 Risk Control Limits
LM-2.2.1
Banks must, where appropriate, set limits for the liquidity metrics they employ in monitoring and controlling their liquidity risk exposures. The limits set must be relevant to a bank's business activities and consistent with its liquidity risk tolerance.
August 2018LM-2.2.2
The limits must be used for managing day-to-day liquidity within and across business lines and entities. A typical example is the setting of maturity mismatch limits over different time horizons in order to ensure that a bank can continue to operate in a period of market stress.
August 2018LM-2.2.3
Banks must ensure compliance with the established limits, and define the procedures for escalation and reporting of exceptions or breaches which can be early indicators of excessive risk or inadequate liquidity risk management. The limits set, and the corresponding escalation and reporting procedures, must be regularly reviewed.
August 2018LM-2.2.4
Banks must consider setting stricter internal limits on intrabank funding denominated in foreign currencies where the convertibility and transferability of such funding is not certain, particularly in stressed situations.
August 2018
