Large Bank Supervision Forum eBook

Internal Use Only

The FinPro Liquidity Solution - A solution to modernize liquidity risk management . . .

1. Add Time Sequence Liquidity Analytics 2. FDIC needs to insure all deposits 3. Include pledged but unencumbered securities as a source of on balance sheet liquidity 4. Add term structured solutions at the Discount Window 5. Make contractual term deposits available, like brokered deposits 6. Enhance and standardize liquidity ratios by measuring liquidity against non-contractual maturity deposits 7. Implement new stress tests and assign appropriate waterfalls

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Internal Use Only Time series liquidity methodology is a necessary step for liquidity analytics . . .

Liquidity Ratios - Policy and Collateral Liquidity Ratios - Time Series

10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0% 45.0% 50.0%

45 .73%

25 .67%

16 .14%

0.0% 5.0%

1 .26%

Example Bank

Minute 1

Day 1

Week 1

Month 1

6,888

Total Cash and Cash Equivalents Available Current Remaining Borrowing Capacity Current Unpledged Investment Capacity Current Remaining Wholesale Capacity

81,349

52,139

109,663 250,040 518,747 28,000

6,888

88,237 518,747 28,000

140,377 518,747 28,000

Total Available Liquidity

518,747 28,000

Total Deposits

Short-Term Borrowings (< 12Months)

1.26%

16.14%

25.67%

45.73%

Liquidity Ratio

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© 2023 – FinPro, Inc.