The Principles of Banking, 2nd Edition

CHAPTER 13Liquidity Risk Reporting

Abstract

Liquidity risk reporting is undertaken for two reasons: first, to enable ALCO and the Board to be aware of the extent of risk exposure and also to assess if the effectiveness of liquidity risk management is adequate; and secondly, to meet regulator's reporting requirements. The design of reports for the first purpose is to a large extent the domain of the bank itself; for the second purpose in most jurisdictions the supervision authority will provide the reporting template for the bank to complete and submit.

The previous chapter highlighted the nature of liquidity risk exposure measurement. We press on further with a look at benchmark liquidity risk reporting, and stress testing reporting output. We look at a range of quantitative and qualitative liquidity reports, as part of our approach to a general understanding of liquidity risk management at the aggregate overview level. We also illustrate, by way of example, a formal regulator template for liquidity risk reporting, with reference to the UK PRA's “110” report.

The reports described here are available as template spreadsheets on the book's companion website (see Chapter 25 for details).

LIQUIDITY RISK REPORTING

A bank will produce a number of liquidity reports in the normal course of business, on a daily, weekly, monthly and quarterly basis. It is important that the format of liquidity MI is both transparent and accessible. We illustrate a sample of reports that provide a ...