ALFI® Liquidity Modelling

We developed the ALFI® Liquidity Modelling solution in collaboration with one of our banking clients in response to the FSA’s guidance on liquidity reporting.

In meeting the FSA’s mandate to establish and maintain enhanced systems and controls for the management of liquidity risk, many firms will have had to implement a ‘best guess’ solution, due to complex requirements and a tight timeline.

ALFI® LM takes away some of the pressure of ensuring that your systems will stand up to FSA scrutiny. It gives you a tool to model and report stress scenarios and can integrate with other ALFI modules to provide even greater business intelligence.

Model multiple liquidity related scenarios –discreetly or in combination

With ALFI® LM you can model:

• General loss of deposits
• Loss of key customer types
• Losses on treasury assets
• Interruptions to the payments system
• Counterparty failure
• Loss of money market liquidity
• Loss of market confidence

Includes ‘business as usual’ calculations

ALFI®LM will perform all ‘business as usual’ calculations, as well as assessing the impact on your liquidity buffer.

Users can propose management actions and ALFI®LM will recalculate the impact. Management actions can be amended and remodelled iteratively until you reach a satisfactory conclusion.

ALFI®LM includes functionality to classify customers and accounts (stickiness) as either Type A or B, and takes this into account in scenario testing.

With ALFI®LM you can model the following normal business activity:

• Product migrations
• Interest rate changes
• Interest calculation
• Interest capitalisation/payment
• Deal maturities
• Product maturities

Automated reporting

You can feed ALFI®LM results into the ALFI® Management Information module to provide sophisticated business intelligence reporting, graphics and analysis to the business. ALFI will interface with your electronic regulatory reporting system so that you can provide instant updates on your liquidity status.

Benefit from improved business intelligence

Although it works as a standalone solution, ALFI®LM can also be integrated with other modules of the ALFI® business intelligence solution. You could choose to implement additional modules or develop your own bespoke solutions on the ALFI® platform.

Additional modules include:

• Management Information – A single, integrated view of performance and operational data
• Financial Planning – Full modelling for all areas of your business
• Regulatory Reporting – Automated electronic transfer of regulatory data to the FSA/BoE

 

Case Studies

Click here to see our C Hoare & Co. case study