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Liquidity risk reporting template

enhanced regulatory compliance & risk management

objective: develop a liquidity risk measurement and monitoring process that:

objective: develop an integrated process liquidity risk measurement and management process that:
establishes forward liquidity & sources/uses as a foundation for liquidity planning and liquidity risk measurement
estimates liquidity shortfalls, the timing of the shortfalls & available/ contingent sources of liquidity to alleviate the shortfalls
provides a coherent & comprehensive risk measurement system to enable a robust & proactive liquidity risk measurement process

action step: develop a reporting template that includes:

forward cash exposure (FCE) estimates
sources and uses projections including sensitivity analysis
scenario definitions and analytics for stressed scenarios including name, systemic, and market risk considerations
identifies the timing and amount of asset & liability funding solutions

real world solutions >

real time ALCO reporting? Over the past few years, there have been days with historically high interest rate volatility. After several such days, the management of Sample Bank believed their annual budget was no longer accurate.

Working with the ALMnetwork, Sample Bank produced forecasts based on rates “as of” the prior days’ close. While not exactly “real-time” reporting, next day reporting was useful to the management of Sample Bank in comprehending their new earnings position, formulating new tactics and strategies, and fine-tuning their pricing.