Funding and Liquidity

We assess the Bank’s interest rate risk management, funding strategy and liquidity risk.

  • Provide independent reviews of the Bank’s financial policies including:
    • Interest rate risk
    • Investment and hedging decisions
    • Funding sources
    • Liquidity risk management
    • Contingency funding plans
  • Develop monitoring and reporting framework to support financial policy requirements
  • Evaluate exposure to interest rate fluctuations of the loan and deposit portfolios in addition to securities
  • Determine potential income statement and value-at-risk (VaR or change in the economic value of equity) impacts of changes in interest rates using both parallel and non-parallel shifts in yield curves
  • Build fixed vs floating loan pricing models and develop alternative strategies to mitigate interest rate risk in the loan portfolio
  • Develop financial projections (balance sheet, income statement and cash flow) for base case as well as several stressful scenarios
  • Develop access to alternative sources of funding
  • Fine-tune deposit pricing strategy
  • Evaluate policies regarding concentration risks for each source of funding
  • Advise on funding strategy in light of current market conditions
  • Build models to track potential funding sources and uses (daily, weekly, monthly) to determine liquidity risk
  • Perform liquidity stress tests
  • Develop and test contingency fund plan