The Liquidity Risk Book


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Integrated Results of Exposure and Buffer  

The integrated results of exposure modeling and buffer modeling can be viewed in the cockpit. The FLE exposure cash out-flows are netted together with offsetting cash in-flows from the CBC to generate an integrated forecast. The graphical view allows visual analysis of the buffer versus the exposure.


LiMAS supports two types of liquidity consolidation:

- Consolidation between currencies where FX markets are not perfect:
LiMAS allows a FX ‘Swapability’ table (per scenario) which reflects the hindrances of moving liquidity between currencies or across borders

- Consolidation between multiple entities where external restrictions may apply: e.g. Regulatory Lending Limits or Minimum Reserves or required assets holdings. LiMAS supports Lending Limits (per scenario) between organizational entities.

Both consolidation types can be combined to allow an integrated view of FLE + CBC subject to consolidation restrictions.

Specific Scenarios for Basel III and Other Regulation  

The Basel III requirements are simply a special case of a LiMAS Scenario. LiMAS comes with these scenarios pre-configured for both Highly Liquid Assets (HLA) and total net cash outflow modeling. Providing suitable raw data will allow the Basel III calculations and reporting to be easily achieved.

Other regulatory requirements, such as e.g. a Survival Period Analysis, can easily be generated by combining the building blocks like cash in- and outflows, cumulation in time and hypothetical liquification.