Liquidity Risk Management Role - Bank

Opening with a Private Bank- Liquidity Risk Management

Responsible for Liquidity Risk Management functions;

- In-depth understanding of Liquidity standards prescribed under Basel III

- Measuring the cash flow mismatches at different time bands on residual maturity or projected future behaviour of assets, liabilities and off-balance sheet items against its prudential limits.

- Computation of SLS of both Domestic and IBU operations

- Providing early warning signals of impending liquidity problems to top management

- Liquidity Key Ratios - Stock Approach

- Liquidity Ratios - Computation / Monitoring;

a. Liquidity Coverage Ratio (LCR)

b. Net Stable Funding Ratio (NSFR)

c. Stock Ratios

- Monitoring of Contingency Management Triggers and Contingency Funding Plan.

- Interest Rate Sensitivity Statements (TGA & DGA) - Computation of Earnings at Risk (EaR) & impact of change in interest rate on Market Value of Equity (MVE).

- Analyzing Concentration risk of liabilities profile.

- Marginal Cost of Funds based Lending Rate (MCLR)

a. Computation of Marginal Cost of Funds based Lending Rate (MCLR).

b. Analysis of various components of MCLR and derivation of MCLR rate for different tenors.

c. MCLR Presentation to ALCO.

d. Peer Bank comparison of MCLR.

- IRRBB - New Framework

- Based on RBI draft guidelines to create a framework and build up in system to implement IRRBB.

- Implementation and up gradation of Liquidity Risk system, Reports: MIS reports implementation & validation

- Preparation of ALCO Agenda & Presentation, ALCO Action Points & Minutes. Catering to adhoc requirements related to ALCO

- Analysing, monitoring and reporting the liquidity risk profile to ALCO Members

- Regulatory Returns preparation & submission (Liquidity Return, IRS, ALO & BLR reports).

- Submission of data on Liquidity Risk under RBS, review and analysis of the variations.