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Thanks for the comments.  Regulators certainly do care about intraday risk at your correspondent bank.  In fact in some cases it is the risk at nostros that is most significant.  Remember that Lehman’s intraday risk was on nostro accounts…Usually a direct participant has useful tools to understand and monitor their liquidity in the clearing system, but when you are indirect then you are at the mercy of how your agent bank decides to process your payment activity and how this liquidity usage fits alongside any credit limits they may provide.

This means that your intraday liquidity monitoring and management systems/processes need to cover off both risk where you are direct and also indirect.  For nostro account monitoring we have had great success in building up views using SWIFT messaging - not necessarily GPI but rather the intraday settlement confirmations (e.g. MT9XX, MT5XX and their new MX equivalents).  The trick is to do this quickly enough i.e. get this data into your systems, process appropriately and run the analytics so that you get real-time insight.  With that insight comes control so you can react to events, move liquidity around and ultimately reduce the need to hold liquidity or run large overdrafts.  Not easy, but we at Planixs have done this for banks large and small.