Currency Liquidity Evaluation
Use
Using the
currency liquidity
evaluation, you are able to portray the bank’s liquidity situation separately and for individual currencies starting from the cash flows of the base portfolios.
In the
currency liquidity evaluation
, the system displays for each maturity band date the incoming payments and disbursements separately, and sorted by currency. It also displays the liquidity gap resulting from these movements, also sorted by currency. The system also displays the cumulated liquidity gap.
Note, however, that unlike the cash flow evaluation, the transactions in the
currency liquidity evaluation
(as in the
liquidity evaluation
) are always shown with the capital commitment (commitment indicator set to
Capital Commitment
). The system determines cash flows that are not yet fixed, (from floaters, for example) either by using of forwards, or by using scenario progressions.
Features
The system displays the cash flows per maturity band date and sorted by currency. In the settings in the
Data Relevant for Display
, you can control whether the cash flows are converted into the evaluation currency (currency indicator set to
Evaluation Currency
) or displayed in the respective transaction currency (currency indicator set to
Transaction Currency
).
The default setting is for the cash flows to be converted into the evaluation currency. If you want to depict the cash flows in their respective transaction currencies, then in the
Data Relevant for Display
you need to set the indicator
Currencies
to the value
Transaction Currency,
and choose the currency you require.The currency you select here is of no relevance for the
currency liquidity evaluation
. Note, however, the effect of this indicator on the other evaluations.
To access the
Data Relevant for Display
, choose
Settings
Data Relevant for Display
.
At present, it is not possible to run standard simulation in the currency liquidity evaluation. You can, however, close gaps for a currency in the liquidity evaluation. If you run standard simulation in the
liquidity simulation,
you can then examine the effects in the
currency liquidity
evaluation.
Example
Maturity band date |
Currency |
Inpayment |
Disbursement |
Liquidity gap |
Cumulated liquidity gap |
Evaluation currency or transaction currency (as per the setting for the data relevant for display) |
|---|---|---|---|---|---|---|
08/31/00 |
EUR |
3,911,660 |
1,955,830 |
1,955,830 |
1,955,830 |
DEM |
08/31/00 |
USD |
2,165,400 |
7,578,900 |
-5,413,500 |
-5,413,500 |
DEM |
08/31/01 |
EUR |
1,955,830 |
2,933,745 |
-977,915 |
977,915 |
DEM |
08/31/01 |
USD |
3,248,100 |
2,165,400 |
1,082,700 |
-4,330,800 |
DEM |
Scenario: Current market data
Maturity band date |
Currency |
Inpayment |
Disbursement |
Liquidity gap |
Cumulated liquidity gap |
Evaluation currency or transaction currency (as per the setting for the data relevant for display) |
|---|---|---|---|---|---|---|
08/31/00 |
EUR |
2,000,000 |
1,000,000 |
1,000,000 |
1,000,000 |
EUR |
08/31/00 |
USD |
1,000,000 |
3,500,000 |
-2,500,000 |
-2,500,000 |
USD |
08/31/01 |
EUR |
1,000,000 |
1,500,000 |
-500,000 |
500,000 |
EUR |
08/31/01 |
USD |
1,500,000 |
1,000,000 |
500,000 |
-2,000,000 |
USD |
Scenario: Current market data