The collateral needed to support normal intraday liquidity flows and the collateral calculated to mitigate financial stress situations are subject to different ratings or haircuts.
The authors develop a new intraday liquidity indicator that compares banks' expected resources for settling payments in the remainder of the day with their expected liquidity requirements.
The latter is particularly relevant for bank-to-bank service providers as it includes the use of intraday liquidity on nostro accounts, i.e. those held with other financial institutions.
Tools to be implemented include the calculation of daily maximum intraday liquidity usage and the availability of intraday liquidity at the start of the business day and time specific obligations.
If you think about the model today, most market participants rely on agent banks to provide them with intraday liquidity, which is not necessarily reflected in today's settlement fees.
An institution is required to actively manage its intraday liquidity positions in order to meet payment and settlement obligations on a timely basis under both normal and stressed conditions.