Our latest analysis of readiness and maturity of intraday liquidity management shows that many financial institutions run the risk not to meet payment and settlement obligations, if they don’t manage their intraday liquidity effectively. There are ways to make up for the necessary investments to that end by optimizing the intraday liquidity management.

1. Intraday Liquidity Survey
Analysis of readiness and maturity of intraday
liquidity management
Mai 2017

2. Agenda
Background 3
Key findings 5
Survey results 6
Conclusions and outlook 15

3. Page 3
The flow of cash throughout the day causes intraday
liquidity risk, which needs to be managed
Intraday liquidity risk is the risk that the bank fails to manage its intraday liquidity effectively, which could leave it unable
to meet payment [and settlement] obligations at the time expected, thereby affecting its own liquidity position and
that of other parties
► Unencumbered collateral (firm long positions, collateral received to secure intraday facilities,
collateral received from FMU participants)
► Central bank reserves (cash & securities)
► Unused intraday facilities available to the firm
► Collateral (cash & securities) posted to clearing banks and FMU participants
► Collateral posted to secure intraday facilities available to the firm
► Draws on intraday facilities provided to customers, and payments
Available
Intraday Lines
Inflows/Outflows from cash payments and settlement systems
Inflows/Outflows from securities settlement and clearing systems
Available Liquidity including uncommitted intraday credit lines
Intraday Sources
Intraday Uses
EY intraday liqudity survey

4. Page 4
The business model causes the extent of various
dimensions of the intraday liquidity risk
Expected Capabilities
Organisation
► Clearly defined limits and management of explicit
and implicit intraday liquidity risks across the
organization
► Board oversight and defined roles and
responsibilities for functions
Expected Dimensions
Methodology
► Projected cash and collateral positions for all
sources/uses
► Develop specific stress testing scenarios for
intraday exposures
Systems
► Real time monitoring of intraday cash and
collateral requirements across the organization
► Capability to measure intraday needs on a
currency, legal entity, and business line basis
Management
Actions
► Tracking and escalating risk indicators and
alerts – Board oversight
► Collateral optimization including automated
collateral allocation (cheapest to deliver, CSA
eligibility)
The new wave of intraday liquidity management regulations require capabilities across a series of dimensions.
Most G-SIB’s are in the beginning or intermediate stages of capability maturities.
Jurisdiction
Line of
Business
Legal
Entity
Products
Time specific payments at
central banks, CCPs, and
FMUs can vary across
jurisdictions
Limitations in
liquidity
transferability
across legal
entities
Identify source
and use of
funding and
monitor funding
shortfall by key
products
EY intraday liqudity survey

5. Page 5
Key findings
► All reporting institutions feel in a comfortable position regarding the intraday liquidity monitoring
► There is room for improvement with respect to liquidity and data management in that field
► There is an obvious need for development and implementation of stress scenarios
► Regarding time stamps and managing of time specific obligation there is room for improvement
amongst a number of institutions
► The majority of institutions is not in a position to centrally determine time specific obligations
► Ensuing the above, various institutions are not in a position to forecast a potential funding short fall at
all times
EY intraday liqudity survey
The following short survey summarizes key findings from 6 financial institutions in Germany*) on questions about
organization, monitoring tools, stress testing and data/systems concerning intraday liquidity management.
*) we are in the process of increasing the number and also roll out the survey to EMEA. The list does
include however, institutions of various sizes and thus representative for the German market

6. Page 6
1. Management and organizational structure (1)
EY intraday liqudity survey
100%
Management of intraday liquidity in relation to
currency
Currency-by-currency
Cross-currency
20%
40%
40%
Organizational level of report
Corporate level
Individual legal entity
level
Both
100%
Are you able to manage and mobilize collateral as
necessary to obtain intraday funds?
Yes
No 100%
Are you capable of managing the timing of your
liquidity outflows in line with the intraday objectives?
Yes
No

7. Page 7
1. Management and organizational structure (2)
EY intraday liqudity survey
100%
Are you prepared to deal with unexpected technical
disruptions to your intraday liquidity flows?
Yes
No 100%
Are you prepared to deal with unexpected disruptions
caused by large unexpected cash flows to your intraday
liquidity flows?
Yes
No
50%50%
Do you hold a separate intra day liquidity buffer from
the HQLA/ILAAP liquidity buffers?
Yes
No
50%50%
When do you expect to be compliant with BCBS 248?
2017
2018
Later than 2018

8. Page 8
2. Monitoring tools
EY intraday liqudity survey
Are you in a position to report the following KPIs as required by monitoring tools for all reporting
banks?
80%
Daily maximum intraday liquidity usage
Yes
No 100%
Available intraday liquidity at the start of the
business day
Yes
No
100%
Total payments
Yes
No
80%
Time-specific obligations
Yes
No
20%
20%

9. Page 9
3. Stress and Scenario testing
EY intraday liqudity survey
Have you defined the following stress scenarios?
Own financial stress
Yes
No
25%
Counterparty stress
Yes
No
Customer bank's stress
Yes
No
25%
40%
Market-wide credit or liquidity stress
Yes
No
60%
75%75%
75%
25%

10. Page 10
Additional questions relating to stress and scenario
testing
For the following questions, the number of answers received did not allow for a representative pie chart
presentation
Are the intraday stress tests separated from the present ones for regulatory purposes (ILAAP)
Are your stress tests for ILAAP and Intraday Liquidity the same
Are your stress tests regarding own financial stress for ICAAP and Intraday Liquidity the same
To what extend do you stress unexpected large EOD cash outflows
To what extend do you stress non receipt of large EOD cash outflows
► From the institutions replied, the general guidance was, that the stress tests for used for ILAAP and intraday liquidity
are the same and not seperated
► Specifically, the stress test regarding own financial stress for ICAAP and Intraday Liquidity was, however, different
► A stress test on large unexpected cash flows, respectively non receipt of a large unexpected cash flow, is only
conducted at one participating institution. The remainder of institutions does not see a need to stress this scenario.
EY intraday liqudity survey

11. Page 11
4. Data & Systems (1)
EY intraday liqudity survey
100%
Do your systems used by treasury have the
capacity to measure expected inflows and
outflows at all times?
Yes
No
Does RC have the necessary data to monitor
intraday liquidity at all times?
Yes
No
40%
Do your systems have the capacity to provide
each cash flow with a time stamp?
Yes
No
60%
50%
Do your systems have the capacity to anticipate cash
flow timings?
Yes
No
100%
50%

12. Page 12
4. Data & Systems (2)
EY intraday liqudity survey
100%
What is your default assumption for cash flows, which
are not timed?
EOD
Arrival time 60%
Do your systems have the capacity to forecast the
range of potential funding shortfalls at all times?
Yes
No
Do your systems have the capacity to monitor
the maximum, minimum and average net cash
flow for a give period?
Yes
No
50%
Do your systems have the capacity to monitor
unexpected intraday cash flows against expected
cash flows intraday in a timely manner?
Yes
No
20%
50%
80%
40%

13. Page 13
4. Data & Systems (3)
EY intraday liqudity survey
60%
Do you have a centralized system in order to gain
oversight for time-specific obligations?
Yes
No
Are you in a position to demonstrate your
ability to manage all time specific
obligations?
Yes
No
75%
Are your systems able to report intraday
liquidity requirements per subsidiary and
currencies?
Yes
No
25%
100%
40%
60%
Do you possess a centralized data base compliant
with BCBS 239 to ensure data availability,
consistency and comprehensiveness?
Yes
No
40%

14. Page 14
5. Main challenges
 Regulator expectation/missing specification of regulatory
requirements
 Technical implementation due to heterogeneous IT environment
 Ascertainment of historic data, optimization of data and further
processing in stress testing
 Smooth running of system
 have organized approach amongst market participants to time
stamp swift codes (MT 900, MT 910)
EY intraday liqudity survey
where do you see the main challenges regarding intraday liquidity?

15. Page 15
Conclusions and Summary
► Decentralized data availability, reference data, systems and stress testing are
currently the main challenges regarding intraday liquidity management at
institutions
► Development as well as the forced holding of costly liquidity buffers comes
with cost on capital
► Efficient management of this liquidity buffer presents the major area of cost
savings
► The current systems generally are not aligned between the various business
lines and legal entities
► Having to tackle the challenge, this poses a good opportunity for institutions to
make up for the necessary spending via implementing an efficient front to
back solution
► EY can assist in all methodological and data management matters as well as
in the front to back solution
EY intraday liqudity survey

16. Page 16
Cash
flow
patterns
Stress
Testing
Challenges EY Approach
► Availability of time stamp
► Determine cash flow patterns in
non-stress situations – availability
of data:
► Inflows/outflows
► Central Bank Credit lines
► Collateral
► Identification of time sensitive
cash flows
► Bench marking of IT solutions
► Analysis to obtain cash flow
patterns in normal times and in
extreme times
► Modeling of cash flows
► Completeness of liquidity in- and
out flow sources
► Optimization towards target state
► Stress scenarios
► Own stress
► Customer stress
► Counterparty stress
► Market-wide stress
► Model appropriate and specific
stress scenarios for institution
► (Back-) Testing of Stress Scenarios
► Modelling / Testing of stress
scenarios
► Benchmarking and adaption to
specific situation
► Development of early indicators
► Incorporate interconnectedness
between counterparties and
liquidity sourcing
► Incorporate concentration risk
► Optimization towards target state
Outlook – main areas for improvement
Front to Back Solution
► Dynamic presentation of Intraday
liquidity in dashboard
► Comparison of liquidity actual vs
history on currency,
correspondent banking level
► Including payment and securities
transaction
► Show deviation to thresholds and
targets
► Process stress test as per defined
model
► Simulation of various specific
scenarios and measurement
against different Benchmarks
► Include early indicators in test
scenario
► Reports and statistics, like
concentration risk, deviation of
target state
EY intraday liqudity survey

17. Page 17
Manage
-ment of
intraday
liquidity
Cost
savings
Challenges EY Approach
► At all times abreast of liquidity
situation
► At all times able to act
► T+0, T+1, T+2 look through of
aggregated cash flows for friction-
less management
► Implement necessary
interfaces/IT solution
► Various Payment and settlement
systems for different
products/markets
► Install relevant IT/-business
processes
► Define thresholds for action
► Define process and reporting lines
for action
► Incorporates all
interconnectedness with regards
to business partners as well as
concentration of business partners
► Embed intraday liquidity
management into wider scope of
ILAAP
► Trade off between credit lines and
liquidity buffer
► Optimal composition and
management of intraday liquidity
buffer
► Aggregation of cash flows in
various front- and back office
systems in order to guarantee
frictionless intraday liquidity
management
► EY tool for liquidity buffer
optimization
► Benchmarking of credit lines and
liquidity buffer trade off
► Incorporate specific institutional
situation
Outlook – main areas for improvement
Front to Back System
► Automatic notification, alerts,
warning for violation of thresholds
► Dashboard shows critical state of
liquidity by currency, counterparty
and settlement systems, including
drill down function
► Monitor development of specific
Nostro / Vostro accounts
► Hold and release function of
transaction for active management
of intraday liquidity.
► Appropriate liquidity transaction
management to minimize liquidity
buffer
► Transparent view on cash
balances allows active collateral-,
cash- and credit line management
► Include all business area, with
intraday liquidity impact
EY intraday liqudity survey

18. Page 18
Your contacts
Dr. Heike Dengler
Manager
EMEIA Financial Services
Mobile: +49 (160) 939 21493
E-mail: heike.dengler@de.ey.com
Steffen Laufenberg, CFA
Executive Director
EMEIA Financial Services
Mobile: +49 (160) 939 14761
E-mail: Steffen.Laufenberg@de.ey.com
EY intraday liqudity survey

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