Setting Up a Liquidity Risk
Use this information to set up and perform a Liquidity Risk analysis on your forecast assumptions.
- Unfunded Loan Commitments.
- A Limit account (in dollars) for each non-core CD type (i.e., CDAR).
- A Limit account (in dollars) for each borrowing account (i.e., FHLB, Fed Funds Purchased, etc.).
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Select Setup.
The primary function of the Setup tab is to display the balance sheet accounts (or groups of accounts) and let you choose the account subcategories for liquidity risk calculations.
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Determine which balance sheet accounts to select for the various liquidity risk
subcategories.
The left panel comprises four funding categories that have a list of predefined subcategories.
For each subcategory, you choose from accounts that belong to the described part of the balance sheet. Depending on the subcategory you choose, the accounts you select may be from the asset side of the balance sheet while other subcategories only let you select liability accounts.
A few categories use organizational Supplemental Data accounts in their liquidity risk calculations.
Use the following definitions to determine which balance sheet accounts to select for the various liquidity risk subcategories:
Funding Needs
- Forecasted NMD's Maturities
- Non-maturity deposit accounts.
- Forecasted CD's Maturities
- Time deposit accounts, including core CDs, Brokered, National, and CDARS accounts.
- Forecasted Borrowings Maturities
- Borrowing accounts, including FHLB, Federal Reserve, Fed Funds Purchased, and more.
- Forecasted Loans New Volume
- Loan accounts.
- Forecasted Investments New Volume
- Investment accounts.
- Forecasted Fixed Assets New Volume
- Fixed asset accounts.
- Unfunded Loan Commitments
- The Unfunded Loan Commitments account appears within a list of Supplemental Data accounts.
Primary Sources
- Forecasted NMD's New Volume
- Non-maturity deposit accounts. These accounts must match the Forecasted NMD's Maturities accounts under the Funding Needs category.
- Forecasted Core CD's New Volume
- Core time deposit accounts.
- Forecasted Investments Maturities
- Investment accounts. These accounts must match the Forecasted Investments New Volume accounts under the Funding Needs category.
- Forecasted Loans Maturities
- Loan accounts. These accounts must match the Forecasted Loans New Volume accounts under the Funding Needs category.
Additional Sources
- Total Cash Equivalents
- Short-term interest-bearing investments that can mature (liquidate) quickly. These investments typically mature within 90 days.
- Forecasted Non-Core CD's New Volume
- Non-core time deposit accounts, including CDARS, QwickRate, and more. A Select Limit Accounts drop-down list appears for every account. Select an account for each previously created supplement data limit account.
- Forecasted Borrowings New Volume
- Borrowing accounts. These accounts must match the Forecasted Borrowings Maturities accounts under the Funding Needs category. A Select Limit Accounts drop-down list appears for every account. Select an account for each previously created Supplement Data limit account.
- Remaining Investments AFS
- Securities designated as AFS (Available for Sale). Must include any premiums, discounts, and market-to-market adjustments.
Non-Core Funding Dependence
- Short Term Investments
- Interest-bearing investments that can mature (liquidate) quickly. These investments typically mature within 90 days. Accounts like Fed Funds Sold and REPOS - Purchased are also examples of items to select.
- Long Term Assets
- Loan accounts, HTM securities, any securities designated as AFS (must include any premium, discounts, and mark to market adjustments), and accounts designated as OREO.
- Non-Core Liabilities
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- Time deposit accounts (or subtotal) with a balance greater than $100,000
- Borrowing accounts, including FHLB, Federal Reserve, and Fed Funds Purchased
- Secondary market CDs
- REPOS - Sold accounts within the borrowings section of your balance sheet