• A bank will produce a number of liquidity reports in the normal course of business, on a daily, weekly, monthly and quarterly basis. It is important that the format of liquidity is both transparent and accessible. The following list of reports represent benchmark reporting in UK –
  • Deposit tracker report
  • Daily liquidity report
  • Funding maturity gap (mismatch) report
  • Undrawn commitment report
  • Liability profile
  • Wholesale pricing and volume

Deposit Tracker Report

• The deposit tracker is a simple report of the current size of deposits, together with a forecast of what the level of deposits are expected to be going forward. This report is tracked weekly and monthly because it provides an idea of the LTD ratio in the immediate short term. The LTD is a key management liquidity ratio. The table in the next page shows the first part of a typical deposit tracker report for a medium-sized commercial bank, as at month-end May 2009. The report provides the following :
  • the month-end actuals for deposits by customer type
  • the change from each month-end
  • the aggregate customer assets and hence, the LTD ratio
  • a forecast of the position for the month-end for each month to the end of the year.
    This bank is required to meet a Board-approved LTD ratio limit of 85%, which it is just exceeding as at the date of this report, but the forecast for year-end is within this.
    
• This is the second part of the deposit tracker, it shows how much liabilities will need to increase, or assets reduce, all else being equal, for the bank to meet a particular LTD ratio.
  
• This figure is a graphical presentation of the deposit tracker report.
  
• This figure from the report shows the customer deposits by account type and tenor. A large percentage of the retail bank deposits are current accounts and rolling deposits, with very little fixed-term deposits. For regulatory purposes, these funds will be treated as short-term liabilities and will not assist the bank’s regulatory liquidity metrics (which emphasizes long-term funds), even though the local regulator may allow the bank to treat overnight balances as longer term if they can be shown to be acting as such in “behavioral” terms. In this case, it is worthwhile for the bank to undertake a marketing exercise to determine if customers may be interested in moving their deposits into fixed-term or notice accounts. Any increase in the size of the latter will improve the firm’s liquidity metrics. This illustration assists the Treasury department to gauge the trend of the deposit balances over time
  
  

Daily Liquidity Report

• The daily liquidity report is a straightforward spreadsheet detailing the bank’s liquid and marketable assets, together with liabilities, up to 1-year maturity and beyond. It provides an end-of-day of the bank’s liquidity position for the Treasury and Finance departments. Each branch and subsidiary will complete one, although a bank that has only a branch structure (and no subsidiaries) may aggregate the report. This figure provides an example of a daily liquidity report for a commercial bank. This uses inputs from the bank’s balance sheet accounting system to provide a summary of liquid assets, liabilities by tenor, and a cumulative liquidity  report. It is the summary of liquid securities; The value of securities deemed instantly liquid will be input to the liquidity ratio calculation report
  
• This table is the summary of assets.
• This table is the summary of liabilities.
  
• This table is the cumulative liquidity report and liquidity risk factor calculation. The “counterbalancing capacity” in this table is the sum of available securities to cover for sudden cash outflows.
  

Funding Maturity Gap (Mismatch) Report

• The funding gap report shows the maturity gap (also known  as the maturity mismatch) per time bucket, for all assets and liabilities, with an adjustment for liquid securities. It includes the cumulative liquidity cash flow of the previous report just described, and indeed the two reports can be combined. An extract is shown in this table.
  
• This Figure shows the maturity  mismatch in graphical form. The key indicates the cash flow for each type of product.
• The same report is used to generate the cash flow survival horizon report which is shown in this figure. The bank in this example has a survival horizon of only seven days under normal circumstances. When the cash flow value of liquid securities and other adjustments is included, the survival period is extended to 27 days. This is still below the Basel III requirement, and so on the strength of this report the bank will need to take action to address the liquidity
  

Funding Concentration Report

• Funding source concentration reports are key information for senior Treasury and relationship managers to assess funding diversity, and ensure that a bank should not become over-reliant on a single source, or sector, of funds. This includes reliance on intragroup funds. The table in this page and the next page is a small part of a Large Depositor Concentration Report for a banking group. In this case “large” is defined as someone that deposits USD 50 million or more; however, a bank may define it in percentage of total liability terms rather than absolute amounts. Generally speaking, a deposit of 5% of total liabilities should be treated as large by ALCO.
  
• In the illustration shown, the largest depositor (CBS) exceeds the internal single-source concentration limit of 10 % by a considerable margin. Assuming that this is a close customer relationship, the bank will need to increase its liabilities base to bring the share down to limit, or otherwise risk damaging the relationship by asking the depositor to remove some of the funds.
  

Undrawn Commitment Report