Evolving Liquidity Issues

Evolving Liquidity Issues Presentation by R.S.Negi Sr.Manager Risk Management department BANK OF BARODA CORPORATE CENTRE MUMBAI

Outline ,[object Object],[object Object],[object Object],[object Object],[object Object]

Introduction ,[object Object],[object Object],[object Object],[object Object],[object Object]

Three Approaches ,[object Object],[object Object],[object Object]

Self Suffieciency ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Whole Firm waiver Scheme ,[object Object],[object Object],[object Object]

Whole Firm waiver Scheme ,[object Object],[object Object],[object Object],[object Object]

Intra Group Firm Waiver scheme ,[object Object],[object Object]

Individual Liquidity adequacy Standards ,[object Object],[object Object]

ILAA ,[object Object],[object Object]

SLRP ,[object Object],[object Object],[object Object],[object Object]

Key Drivers of Liquidity Risk LRD- Explained.ppt ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Liquid assets buffer ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Liquid assets buffer ,[object Object],[object Object],[object Object],[object Object]

Liquid assets buffer ,[object Object],[object Object]

Implications for firms ,[object Object],[object Object],[object Object],[object Object]

Current position of UK territory (31.03.2009) 2738 766 500 174 342 484 472 Total -466 -62 61 - 281 404 118 286 - 3M- 6M -517 -51 59 21 94 225 - 225 - 6M -12M 287 120 146 - - Investments Inflows 1236 541 200 103 17 Advances 455 333 122 - - Capital Funds 1010 85 5 173 236 Customer Deposits 1069 - - 316 635 Inter Bank/Branch Deposit 2534 418 127 489 871 Total -144 373 154 12M -36M +204 348 105 >36M - 204 1215 Total -404 -399 Cumulative Mismatch -5 -399 Mismatch 381 455 Placements Outflows 1M - 3M Upto 1M Particulars

Currency Mismatch as on 31.03.2009 277 26 Investment 205 -- Long term borrowing 1387 195 Advances 784 463 Customer Deposit USD GBP Composition (%)

Resource & Deployment 31.03.2009 Particulars 31.03.2009 Particulars 1,215 Placements 301 Borrowing 358 Non India based 1,010 Inter-bank 274 India based 425 Indian Corporates 632 GSC (of which) 140 Africa based 350 Trade Finance 240 225 Retail Corporate 254 Local Advances 465 Local Customers (of which) 1,236 Advances (of which) 2,040 Deposits (of which) £ going to £ coming from

Liquid Assets as specified for simplified ILAS firm +25% of un-drawn commitments +5% of all retail deposits due within 90 bussiness days Peak cumulative contractual net outflow over 90 business days (excluding retail deposits and inflows from TB) > Short term Sterling treasury bills

Cost Implication £ 166003 Average ongoing costs (per annum)-crisis time reporting £ 144880 Average ongoing costs (per annum)-business as usual £ 542158 Average one-off costs (solo branch reporting) Cost Description

Reports ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Schedule of implementation ,[object Object]

Reserve Bank of New Zealand ,[object Object],[object Object]

Main features ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Mismatch Ratio ,[object Object],[object Object]

One-week mismatch ratio ---------------------Minimum = 0 ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

One-month mismatch ratio ----------------------Minimum = 0 ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Total Funding ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Total Funding ,[object Object],[object Object]

One year Core Funding ratio-------------Minimum = 75% ,[object Object],[object Object],[object Object],[object Object],[object Object]

One year Core Funding ratio-------------Minimum = 75% ,[object Object],[object Object]

Reporting requirement ,[object Object]

Lord Turner Review ,[object Object],[object Object]

What went wrong ? ,[object Object],[object Object],[object Object],[object Object],[object Object]

What to do ? ,[object Object],[object Object],[object Object],[object Object]

What to do ? ,[object Object],[object Object],[object Object],[object Object],[object Object]

What to do ? ,[object Object],[object Object]

David Walker Review ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Walker Review ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

Walker Review ,[object Object],[object Object],[object Object],[object Object]

Walker Review ,[object Object],[object Object]

Evolving Liquidity Issues

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