Managing Liquidity Risk Stress Tests and Reporting. Yannick Fessler & Moun Seo

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1 Managing Liquidity Risk Stress Tests and Reporting Yannick Fessler & Moun Seo October 2015

2 2

3 System / Data Flow : Data I/F and Management Bank Environment Data Loading Data Management Source Files Data Folder Staging Financial Data Mart Data Validation Data Rectification GL Reconciliation Automated Process txt Securities Auto Patch GL Balance Derivatives Manual Process csv Mature/Non-Mature Validation Rules Manual Patch Transactions Data Transformation Data Error XMAP 3

4 System / Data Flow: LCR/2052a Computation and Reporting Cash Flows Computation LCR Computation LCR Reporting Cash flow Parameters Cash Flow Computation Regulators Dataset Calculation Reporting Adjustment Regulatory Product Mapping Regulatory Report Financial Product Cash Flow Generation Cash Flow Liquidity Buffer Eligibility Audit Cell CFL Policies Reference Data Denominator Cash Flow Generation 4

5 RiskConfidence - Liquidity Management & Stress Testing RiskConfidence Liquidity Static Dynamic RiskAuthority integration - contractual cash flows generation for LCR & NSFR Grouping deals for setup - COA: Chart Of Account - PDM: Parameter Deal Mapping Client Behavior cash flows - Deposits runoff - Loans prepayments - Facility drawdown, net draw, reimbursement Stress Testing - Selloff of bonds over outright sale or repos - Market data shifts (IR, FX, EI, VM, CS)* - Behavior sets Analytics - Granular cash flows - Gaps : Liquidity, Fixing, Cap/Floor, Inflation - Net Interest Income Forecasting - BSS (Balance Sheet Strategy) - Analytics at view date - LCR & NSFR forecasting X X X X X X X X X X X * IR: Interest Rate, FX: Foreign Exchange, EI: Economic Indices, VM: Volatility Matrix, CS: Credit Spreads 5

6 Instrument Coverage 6

7 Instruments in Risk Foundation» Loans and Maturing Deposits» Non-Maturing Deposits» Bond Security Positions» Equity Security Positions» Forward Rate Agreement (FRA)» Futures on Index, Notional, Interest Rate» Forex (FX Swaps)» Swaps (IR Swaps, Swaptions, Cancelable Swaps)» Caps and Floors» Repo / Reverse Repos (Repurchase Agreements)» Facility (Line of Credit)» Option on Bonds, Equity, FX» Deal Import More detail please see 3.1.5_RiskFoundation_Financial_Product_Setup_Guide.pdf 7

8 Grouping Deals 8

9 Grouping Deals: COA COA - Chart Of Accounts A tree structure that allows deals:» To be organized into groups (nodes and accounts)» That are consistent in their attributes» And that should be handled in a consistent fashion» That is used to define the run perimeter 9

10 Grouping Deals: PDM PDM - Parameter Deal Mapping» Behaviors to be assigned based on deal characteristics» PDM sets allow different parameters to be assigned to different scenarios. 10

11 Client Behavior 11

12 Behavior Modeling Instrument Behavior Matrix Formula Constant Profile Prepayment x x x x Loan Delayed Payment x Releasing x Deposit Runoff x x x x Replicating Model x Drawdown x x x Facility Netdraw x x x Reimbursement x x x Facility Deposit Loan Age of Deal Age of Deal Age of Deal Deal Size Deal Size Deal Size Economic Index Economic Index Economic Index Horizon Horizon Horizon Season Season Season Credit Rating Burn-down Credit Rating Refi-Spread Remaining Life 12

13 Behavior Modeling» Matrix (up to 3 dimensions & multipliers)» Formula» Constant» Profile (time series) 13

14 Stress Testing 14

15 Stress Testing Over Scenarios Scenario Set is a collection of Scenarios. Scenario is a collection of datasets (+ transformation) and parameters that are used in one scenario run (e.g. Exchange Rates, Interest Rates, Use Security Import Price, COA/PDM, etc.) Dataset is a collection of one market data type, behavior set, new volume assumptions Scenario Set Scenario Dataset Transformation Scenario Set A Scenario 1 Interest Rates Shift +200 bps New Volume funding shortening tenors Behavior PP -5% Scenario 2 Interest Rates New Volume Behavior Shift -200 bps Large move away of deposit funds PP +10% Scenario 15

16 Market Data Exchange Rates Interest Rates Economic Indices 16

17 Market Data Interest Rates : Parallel Shift with a Floor 17

18 Security Sell-off and Haircut» Identify unencumbered positions including long, short positions and repos» Simulating outright sale or repo modeled with Time Series (20% of the position in one day, 50% in one week) and Haircuts Defined through a time series With haircut Reporting date Sale Sale Maturity date of the bond 18

19 Behavior Simulation» Define different set of behaviors» use them in scenarios 19

20 Analytics 20

21 RiskConfidence Liquidity Analytics Analytics available to monitor results from stress test simulation and forecast :» Net Income simulation By time segment» Gaps: Liquidity, Cap & Floor, Inflation, Fixing By time segment» Valuation Market value Sensitivity of market value (duration and convexity)» Cash Flows Underlying cash flows can be saved for acceptance testing (UAT) and validation purposes. Results are groups by :» Dimensions: such as currency, product, counterparty and type, deal book, free fields,» Scenarios» View Dates 21

22 RiskConfidence Liquidity Analytics 22

23 RiskConfidence Net Interest Income by Scenario 23

24 Dimension Sets» Group results by a user define list of dimensions» Dimension set can be different by scenario 24

25 Dimension Sets Use in Reports 25

26 Time Segment Analytics Analytics that are computed and store by time segment according to results dimensions, scenario, view date. Column Inflow / Outflow Net Interest Income Average Balance Balance end of segment Average Yield Cumulative Gap Pre-payment FTP Amounts Non Interest Income Description interest or nominal cash flows received or paid interest income or expense that accrued within a time segment Average nominal balance over the time segment End of segment nominal balance net interest income divided by the average balance, expressed in annualized terms Sum of the inflow & outflows from the analysis date up to the end of the segment Nominal amount pre-paid in the segment and nominal amount pre-paid since analysis date Transfer rate interest amount and amounts values par FTP components Non interest income or expense that accrued within a time segment 26

27 Time Segment Analytics 27

28 Forecasting 28

29 View Dates Objective: Simulation of the balance sheet market value and its sensitivities at future dates. Market value and sensitivity produced» At reporting date» At selected other view dates From the time segmentation» The following deal-level result types are computed for each of the view dates Market values Duration measures Clean and dirty values Outstanding balances Yields 29

30 Balance Sheet Strategy: New Production Targets» Targets are defined as Average Balance, Ending Balance or New Business Volume.» New volume deals can be simulated with a daily precision.» The formula builder can be used to calculate target amounts. 30

31 New Volume Deals Generation: Explode Functionality» For each target amount, several deals can be created.» Each deal has is own characteristics (for example, several deals can be generated in different deal books).» Regulatory liquidity characteristics can be defined for new volumes deals (liq_sub_type ). They will be used to determine the eligibility of new volume deals or their regulatory inflow/outflow rates. 31

32 32

33 Liquidity Reporting 2052a 33 33

34 Cash Flows Dimensions Relevant for 2052a Following are some of the key data elements required for LCR and 2052a» Counterparty» Characteristics like incorporation country, FED defined counterparty type» Settlement way» Prime brokerage service» Bid/offer price, number of shares, haircut (lendable value)» Data for the underlying collateral» Issuer & guarantor -incorporation country, RW, type» Investment v/s non-investment grade» Market depth, periodic realization, marketable 34

35 Out-of-box Regulatory Reports for Liquidity Compliance Full audit capabilities 35 35

36 FR2052a Reporting 36 36

37 FR2052a Configuration File 37 37

38 Configuration Files Delivered by Version Capability to load multiple versions Parameters-driven screen to facilitate audit, maintenance and simulation 38

39 Regulatory Products List of products/entities mentioned in the regulation 39

40 Regulatory Entity Type Customers/Counterparties are associated with an Entity Type in the application (i.e. Retail, Corporation, Financial Firm), to map to the appropriate category defined in the regulation 40

41 Regulatory Performing Status Regulatory Performing Status is used to identify customers/counterparties that are, or are expected to have a nonperforming exposure 41

42 Regulatory Reference Displays references to the FED LCR Regulation by category/ sub-category as a quick reference to FED Citations 42

43 Liquidity Buffer Eligibility HQLA HQLA eligible assets are segmented into tiers of Level 1, 2A, 2B, R, and U. The data criteria for classification into these 3 tiers is defined in the Liquidity Buffer Eligibility section. R = Recognized; U = Unrecognized Important Column: Instrument Attribute 1 43

44 .33 Inflow Amounts This entire section reflects the configuration made for categorizing different inflows to be in compliance with FED LCR Regulation.33 (f) Secured lending and asset exchange cash inflow amount 1.secured lending cash inflow & 2. asset exchange inflow Financial Product = REPO or LIQUIDITY_FACILITY Tables Involved: REPO, LIQUIDITY_FACILITY Maturity Date status: RD<MD<= LCR Horizon Inflow rate applied to the Fair Value of the contract Note: Varying Inflow amounts depending on the Eligibility level of the assets. 44

45 All Regulatory References Are Provided 45 45

46 Reports Are Published According to Regulatory Template 46

47 Reporting Best Practices Enabled by Moody s Analytics Solutions» Able to tie back regulatory reports and operational data (audit)» Data lineage» Justify all the regulatory treatments» Enable adjustments on reports and track all changes» Consistency with other regulatory reports» Able to leverage one single source of data for multiple reporting purposes» Intercompany Consolidation 2052a reporting instructions also require intracompany balances and transactions to be eliminated from the consolidated report» Format Ability to submit 2052a dataset to Fed in required format. XML, XLS Format 47

48 4 Dashboards & Internal Reporting 48 48

49 Dashboards Reconcile Regulatory Data Perform drill downs on regulatory measures and custom dimensions 49 49

50 Dashboards Variance Analysis 50 50

51 Dashboards HQLA Analysis View variance of the LCR ratio between 2 contexts 51 51

52 Dashboards HQLA Analysis View variance of the LCR ratio between 2 contexts 52 52

53 Dashboards HQLA Analysis Drilldown by issuer, local currency or any other dimension of choice 53 53

54 Dashboards LCR Forecast 54 54

55 Dashboards LCR Forecast 55 55

56 Monitor All Reports 56

57 5 Q&A 57 57

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