Banks must have sufficient collateral to meet expected, and accommodate unexpected borrowing needs, as well as potential increases in margin requirements for pledged assets over different timeframes, including intraday, short-term and longer-term structural liquidity requirements, and have adequate systems for monitoring the shifts between intraday, overnight and term collateral usage. In determining the required collateral to be allocated for intraday liquidity needs, banks must consider the potential for significant uncertainty around the timing of payment flows during the day, as well as the potential for operational and liquidity disruptions that could necessitate the pledging or delivery of additional intraday collateral.

August 2018