FRSGlobal

Liquidity Risk Management

The global financial crisis illustrated just how fast liquidity risks can crystallise and turn even the most trusted asset illiquid, evaporating funding sources. To meet the stringent liquidity regulations firms need to implement a robust liquidity risk management framework (i.e. strategy, policy and practices). This includes the maintenance of a cushion of unencumbered, high quality liquid assets which can be stressed to the level of becoming illiquid in order to withstand stress events, including those involving the loss or impairment of both unsecured and secured funding sources.

Comprehensive Liquidity Solution

Wolters Kluwer Financial Services FRSGloabal provides your firm with a comprehensive liquidity risk solution combining a risk management / stress engine and regulatory reporting platform which, enables firms to monitor, manage and report liquidity risk. In addition, our solution allows you to build and develop a library of stress tests in accordance with the regulators’ requirements.

Monitor	Manage	Report
Monitor liquidity buffers by viewing and managing encumbered and unencumbered positions in Repo’s, Security lending / borrowing and BSB / SBB agreements	Cash flow forecasting, limits and liquidity scenario stress testing, ensures that the entire process to be tasked, auctioned, validated and audited from start to finish.	Complies with BIS/Basel III requirements offering full support for Mandatory Electronic Reporting (MER), including the creation of XML files and direct communication options, e.g., FSA electronic reporting via GABRIEL.

Covering Basel III’s two international regulatory standards for liquidity risk supervision, creating the cornerstone of your firm’s global framework, our liquidity solution implements a consistent platform for satisfying the Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR). Both LCR and NSFR estimates can be based on the parameters defined by the regulator and set out in our solution or from calculated losses.

What’s Inside

Our Liquidity Risk Management Solution is a suite of modules combined to meet the liquidity requirements of the regulators and your firm. The solution includes:

ALM / MR Module	Analyse the impact of market risk factors (under normal or stress conditions) into the cash flow events
CR Module	Evaluate the impact of credit & counterparty risk (under normal or stress conditions e.g., PDs, spreads, migrations, etc) into the cash flow events.
Behaviour Module	Examine the impact of the counterparty‘s behaviour (e.g., drawings, exercising options like prepayments, credit lines, etc) into the cash flow events. Analyse the impact of your strategies on sales and development of new business (under normal or stress conditions) into the cash flow events.
Static Analysis Module	For the existing portfolios / accounts - examine normal or stressed market / credit / behaviour conditions at current (set) time.
Dynamic Analysis Module	For both existing and future portfolios / accounts - considering normal or stressed market / credit / behaviour conditions at current (set) and future times.
Op Risk Module	Provides forecasting for expected OpRisk losses that will impact your liquidity (should be linked to liquidity gap)

For more information on how Wolters Kluwer Financial Services FRSGlobal can help your firm build an integrated Liquidity Risk Management programme please contact us.