Moody's Corporation · NYSE:MCO
Moody's — Moody's Analytics Liquidity Risk and FSA Reporting Webinar Series (January 2010)
30 slides from Moody's's conference presentation, Jan 19, 2010
Slide 1: Best Practices for Liquidity Regulatory Reporting According to FSA PS09/16
Best Practices for Liquidity Regulatory Reporting According to FSA PS09/16 Moody's Analytics Liquidity Risk and FSA Reporting Webinar Series XAVIER PERNOT, ANTOINE SPINELLI January, 19th 2010
Slide 2: Agenda
Agenda 1. New liquidity regulatory reporting requirements from FSA 2. Issues that need to be addressed in the process of generating the reports 3. Practical implementation of Regulatory Reporting FSA Liquidity Regulatory Reporting WEBINAR 2010 2
Slide 3: Towards New Liquidity Regime
New requirements | Issues to be addressed Towards New Liquidity Regime Discussion paper issued by FSA in December 2007 » Review of the liquidity requirements for banks and building societies » CP08/22: ‘Strengthening liquidity standards’ in December 2008 » CP09/13 , CP09/14, CP09/16 Æ Policy Stateme
Slide 4: New requirements: building blocks
New requirements: building blocks | Issues to be addressed » Adequate liquidity and self-sufficiency (BIPRU 12.1 and 12.2) – UK banks are expected to be able to stand alone and should monitor and manage their own liquidity separately from the liquidity of other institutions in the group » Branches w
Slide 5: More on FSA Liquidity Modifications
New requirements | Issues to be addressed More on FSA Liquidity Modifications Overall liquidity adequacy rule (Self-sufficiency principle) UK branch UK solo entity Whole-firm liquidity modification Intra-group liquidity modification Effect: branch can rely on liquidity resources available Effect: fi
Slide 6: Some useful terminology
New requirements | Issues to be addressed Some useful terminology » Short description of Full ILAS and non-ILAS firms – Full ILAS » Banks Building societies Full-scope investment firms not meeting the criteria below – Non-ILAS » Limited licence Limited activity firms Full-scope investment firms with
Slide 7: New data items created by FSA
New requirements | Issues to be addressed New data items created by FSA Data item Description Frequency FSA047: Daily flows Collects daily flows out to 3 months to analyse survival BAU: Weekly (Daily if periods and spot potential liquidity squeezes early liquidity stress) Respectively Monthly/Weekly
Slide 8: When to report?
New requirements | Issues to be addressed When to report? Class of Firm FSA047, 048, 052 FSA050, 051, 053, 054 (according to current liquidity requirements) Sterling stock bank 1 June 2010 1 November 2010 Building Society 1 June 2010 1 November 2010 (Standard ILAS) Building Society 1 October 2010 1
Slide 9: Agenda
Agenda 1. New liquidity regulatory reporting requirements from FSA 2. Issues that need to be addressed in the process of generating the reports 3. Practical implementation of Regulatory Reporting FSA Liquidity Regulatory Reporting WEBINAR 2010 9
Slide 10: Key features and system requirements
New requirements | Issues to be addressed Granular Contractual Frequent Standardized Key features System requirements Transaction-level data handling Granularity & contractual basis Financial transactions modeling High reporting frequencies and Platform high-availability short submission deadlines R
Slide 11: Transaction-level data & Intra-group consolidation
New requirements | Issues to be addressed – Transaction-level data & Intra-group consolidation Centralized data repository which provides: 9 Historical Data Management 9 Data Loading, Checking, Reconciliation 9 Financial Instruments modelling 9 Customer & Exposure-Level Information Calculation frame
Slide 12: Calculation framework
New requirements | Issues to be addressed – Cash-flow generation Calculation framework Inflows Outflows » Need for cash inflows and outflows over a certain period of time (FSA047/FSA048) – Relying on comprehensive data model versus importing all cash-flows – Ability to define behavioural assumptions
Slide 13: Regulatory mapping: from bank's data to regulatory data
New requirements | Issues to be addressed – Standardized data items Regulatory mapping: from bank’s data to regulatory data Bank’s Mapping Regulatory FSA reports data rules data Internal reports for Liquidity Risk Management A system designed for regulatory reporting should – provide the regulatory
Slide 14: Regulatory mapping: an example for FSA048
New requirements | Issues to be addressed – Standardized data items Regulatory mapping: an example for FSA048 Mapping Bank Product order Type Supervisor Table name Sub Type Flag transferable Liq. Product Type 32 BANK_LOAN_A FSA LOANDEPO WHOLE T WHOLE_LOAN_TRAN 33 BANK_LOAN_A FSA LOANDEPO WHOLE F WHO
Slide 15: Agenda
Agenda 1. New liquidity regulatory reporting requirements from FSA 2. Issues that need to be addressed in the process of generating the reports 3. Practical implementation of Regulatory Reporting FSA Liquidity Regulatory Reporting WEBINAR 2010 15
Slide 16: Regulatory risk reporting main concerns
Practical implementation | Main Concerns 16 Regulatory risk reporting main concerns » Producing the reports: – Time and complexity to produce the reports (thousand of cells) – Availability and quality of information coming from various systems and calculation engines – Checking report quality and co
Slide 17: Regulatory final formats are delivered
Practical implementation | Delivery Regulatory final formats are delivered » Reports are generated in the format required by the regulator. – Reports are generated either in database (improved security) or as a disk file – Final XML format and validation are generated, ready to be uploaded in GABRIE
Slide 18: Integrated solution with a dedicated menu entry for the Regulatory Reporting Tool
Practical implementation | RRT 18 Integrated solution with a dedicated menu entry for the Regulatory Reporting Tool FDM : Financial datamart (central data repositery) RRT: Regulatory Reporting Tool FSA Liquidity Regulatory Reporting WEBINAR 2010 18
Slide 19: Generated reports are stored within the datamart
Practical implementation | RRT 19 Generated reports are stored within the datamart to improve security and audit List of generated reports FSA Liquidity Regulatory Reporting WEBINAR 2010 19
Slide 20: Regulatory reports are delivered in both Excel and XML
Practical implementation | Final Format Regulatory reports are delivered in both Excel and XML FSA Liquidity Regulatory Reporting WEBINAR 2010 20
Slide 21: Regulatory reports are provided with full auditability
Practical implementation | Auditability Regulatory reports are provided with full auditability Auditing the full report: Top Down Auditable columns of the Excel file can 60+ are already be retrieved in a referenced in OLAP cube the Fermat Solution FSA Liquidity Regulatory Reporting WEBINAR 2010 21
Slide 22: Regulatory reports are provided with full auditability
Practical implementation | Auditability Regulatory reports are provided with full auditability Auditing the full report: Bottom Up Rows of the Excel file Columns of the Excel file •Drill down can be performed on any line •Dimensions are chosen by users. Any dimension of the system is available in au
Slide 23: Reconciliation & Adjustments at each level of the process
Practical implementation | Reconciliation Reconciliation & Adjustments at each level of the process Fermat Datamart GL reconciliation Financial system Technical reconciliation Liquidity results Technical reconciliation Validation rules Regulatory reporting FSA Liquidity Regulatory Reporting WEBINAR
Slide 24: Validity Checks
Practical implementation | Validity Checks Validity Checks » The regulatory maintenance offered by Fermat also comprises the validity checks published by the regulator – We deliver the system with all regulatory checks – Whenever the validity changes, we update the application » Users can implement
Slide 25: Reports adjustments
Practical implementation | Adjustments Reports adjustments » Adjusting the contents of a report is a common situation: – Accounting reconciliation can reveal gaps that need to be adjusted – Last-minute deals may need to be imported » Fermat offers several ways to perform adjustments: – It is always
Slide 26: Fermat EFS for FSA GABRIEL Standard
Practical implementation | Submission Fermat EFS (Electronic File Submission tool) for FSA GABRIEL Standard Step 2: Select start, end and submission date of Step 1: Launch the reporting conversion Step 3: Users can see the XML file and submit it to GABRIEL FSA Liquidity Regulatory Reporting WEBINAR
Slide 27: Q&A
Q&A FSA Liquidity Regulatory Reporting WEBINAR 2010 27
Slide 28: Summary
Summary FSA Liquidity Regulatory Reporting WEBINAR 2010 28
Slide 29: Key Contacts
Key Contacts Antoine Spinelli Director, Head of Global Business Solutions – Moody’s Analytics Tel: + (331) 5330 2188 – E-mail: antoine.spinelli@moodys.com Xavier Pernot Director, Product Management – Moody’s Analytics Tel: + 33 (0) 4563 817 18 – E-mail: xavier.pernot@moodys.com FSA Liquidity Regulat
Slide 30: FSA Liquidity Regulatory Reporting WEBINAR 2010
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