Slide 1: RQUEST - Liquidity Risk Management
RQUEST TM - Liquidity Risk Management An introduction to Liquidity Risk Management Suite © 2012 vertiv
Slide 2: Liquidity Risk Management
Liquidity Risk Management vertiv CONFIDENTIAL • Real-time configuration of Asset Class • Configurable of Rules, Formulae • Real-time trace-back from to sources • Data Lineage Tracking • Cash flow Calculations • Mismatch Calculations • Concentration Risk • Stress Testing and What-if analysis • Adjust
Slide 3: Business Challenges
Business Challenges vertiv CONFIDENTIAL Rapidly changing Increasing audit Increasing Regulatory controls calculation requirements complexity • Limitation of • Visible • Increasing data organically grown calculations granularity – systems contract level • Need for cross • Trace-back • Time-series fun
Slide 4: Technology Challenges
Technology Challenges vertiv CONFIDENTIAL • Adhoc systems (Excel/Access/Scripts) System • Data Integration Challenges Limitations • Rules hard-coded into the system • Drill back to source not possible Implementation • Metadata and structural integrity missing Challenges • Reconciliation needs to be
Slide 5: RQUEST (Real-time Liquidity Risk Management)
TM RQUEST (Real-time Liquidity Risk Management) vertiv CONFIDENTIAL Financial Rules Manager RQUEST Two step transformation from transactions to report Built in Statistical functions and time-series analysis Liquidity Risk Reporting Reconciliation Engine Ability to bring in multiple dataset
Slide 6: Vertiv's Liquidity Risk Management
vertiv’s Liquidity Risk Management vertiv CONFIDENTIAL • Centralized Reference Data Management • Strong and robust data model - End to end functionality • Complete transaction data with no loss of granularity – Transparency issue Data • Unification – Bringing data from various sources together • Com
Slide 7: Features - Extensive Coverage
Features - Extensive Coverage vertiv CONFIDENTIAL OTC derivatives, ETD margins, OTC margins, OTC derivatives (downgrade triggers), FX, Debt securities, Own account Asset Class debt securities, Equities, Repos and reverse repos, Stock Coverage borrowing and lending, Deposits, Loans, Commodities, Faci
Slide 8: Features - Stress Testing support
Features - Stress Testing support vertiv CONFIDENTIAL Extensive Stress tests support to Identify sources of potential liquidity strain Ensure liquidity exposures are within limit Identify impact on pricing assumptions R The impact of liquidity stresses assessed on banks’ I Cashflow Liq
Slide 9: Features - Adjustments Functionality
Features - Adjustments Functionality vertiv CONFIDENTIAL Robust Adjustment Module Adjustments can be made at various stages of report gen Adjustments can be applied to other reports Adjustments are version controlled and audit trail generated Updating transactions supported for privileged
Slide 10: Features - Traceability and Lineage
Features - Traceability and Lineage vertiv CONFIDENTIAL 1* Data lineage Transformation PATH from 1* 2* source to target is always maintained 1* 2* Drill back 1* 2* Intermediate VALUES at various 1* 3* 2* stage are also maintained from source to target Identify sources of potential liquidity
Slide 11: Features - Sample reporting metrics
Features - Sample reporting metrics vertiv CONFIDENTIAL Contractual Spot Open maturity < 1wk 1wk -1m 1m-3m 3m-6m 6m-12m >12m Total Assets 110 20 10 Total Liabilities 70 30 20 Off Balance 20 Sheet Liquidity Mismatch -20 10 10 Mismatch as % of total -18% 50% 100% Assets • Dimension rich data mart supp
Slide 12: Features - Scalable and Efficient
Features - Scalable and Efficient vertiv CONFIDENTIAL Minimized trucking of data ensures scalability Two stage approach for regulatory reporting ensures minimized data movement and enhanced performance Reporting Data mart (Cell Definition) Second Level Second Drill Level back Rules Contract Leve
Slide 13: Features - Miscellaneous
Features - Miscellaneous vertiv CONFIDENTIAL Robust data integrator consolidates data silos Reconciliation module delivered for quick data checks Reports coverage for FSA 047 – 058, FFIEC 001-009, FR 2314 reports XBRL support for electronic filing Utilities like Hierarchy manager, Process
Slide 14: Liquidity Management – Process Flow
Liquidity Management – Process Flow vertiv CONFIDENTIAL © 2011 Bintelgroup 14
Slide 15: Sample Data map
Sample Data map vertiv CONFIDENTIAL © 2011 Bintelgroup 15
Slide 16: Summary
Summary vertiv CONFIDENTIAL Liquidity Risk Reporting warrants: Trade data capture from several source systems Generating cash-flows Calculating mismatches and liquidity ratios Expandable for future requirements Ideal solution should offer Stress Testing Rules Drill back and Audit Tra
Slide 17: Appendix
Summary vertiv CONFIDENTIAL Appendix © 2011 Bintelgroup 17
Slide 18: RQUEST Edge
TM RQUEST Edge vertiv CONFIDENTIAL Dimension Traditional Rule Engines Vertiv RQUEST Methodology Processed one row at a time - slow Many rows can be processed at a time Execution Java/C++ Based SQL, CCL based Processing Mechanism Out of procedure In place data processing • Longer Times (Latency) • No
Slide 19: RQUEST Edge
TM RQUEST Edge vertiv CONFIDENTIAL Dimension Traditional Rule Engines Vertiv RQUEST Infrastructure Scalability Low-medium Highly Scalable • Clustering • Vertical • Grid / Cloud • Horizontal Processing choice Possible Limitations Diverse • Real-time (CEP) • Intra-day (Cache) • End-of-day (DB) Utiliti
Slide 20: Implementation Methodology
Implementation Methodology vertiv CONFIDENTIAL Definition Phase Testing Phase Define Liquidity Reporting Requirements Execute integration test cycle Define and Build Liquidity Reporting Business Case Execute system test cycle Define solution architecture Execute UAT test cycle Defi
Slide 21: RQUEST Edge
TM RQUEST Edge vertiv CONFIDENTIAL © 2011 Bintelgroup 21