Effective from 2020-10-17 - Aug 30 2021 To view other versions open the versions tab on the right
In this section, banks should describe their liquidity risk appetite, how it was devised, approved, monitored and reported, and how it is communicated throughout the bank. Banks should, at a minimum, cover the following key areas:
i.
A full and clear articulation of the bank’s liquidity risk appetite and a discussion of why the risk appetite is appropriate.
ii.
A discussion on how the bank’s liquidity risk appetite is used to define and assess liquidity levels and limits, including, at minimum, the following:
-
An outline of all relevant liquidity risk management limits as derived from the risk appetite and a discussion of how the limits support the risk appetite.
-
Limits for each of the liquidity risk drivers the bank assesses. Given that not all limits will necessarily be quantitative; some may be qualitative and describe subjective risk metrics.
-
A brief outlining the bank’s risk appetite and liquidity risk limits, I.e. monitoring limits on periodic dates used for reporting of the Liquidity Coverage Ratio (LCR), Net Stable Funding Ratio (NSFR), Loan to Deposit Ratio (LDR) and SAMA Liquidity Ratio and a demonstration of how the liquidity limits are reflected in SAMA’s returns.
-
A brief outlining the limits and positions against limits under “normal” and “stressed” liquidity environments, with a full and complete discussion of positions against limits.
