SD-05.6 — Liquidity-Aware Portfolio Management

Business Domain: BD-05 Portfolio Management (Front office) · Applies: BOTH

Purpose

Manages a portfolio’s liquidity profile so its obligations can be met without forced sales. Where SD-01.11 Liquidity Strategy & Tiering sets the institution’s total-portfolio liquidity policy and SD-07.3 Liquidity Risk Management produces the per-holding liquidity classification, this Service Domain applies them within a portfolio: it consumes the classification, sizes the liquid buffer, models the funding capacity for unfunded commitments, and stress-tests the portfolio against redemption and capital-call scenarios.

Service Operations

Build the portfolio liquidity budget — set the liquidity the portfolio must hold against its expected and stressed obligations, against the SD-07.3 per-holding liquidity classification.
Manage unfunded-commitment funding capacity — track the unfunded-commitment schedule and maintain the capital-call coverage the private-markets sleeve requires.
Size and maintain the liquidity sleeve — set and run the short-duration liquid buffer that absorbs redemption and call shocks.
Run liquidity stress testing — test the portfolio’s liquidity against redemption, capital-call and market-stress scenarios.

Inputs and outputs

Inputs: the SD-07.3 per-holding liquidity classification; the holdings with their liquidity attributes; the SD-01.11 liquidity-tier taxonomy and buffer policy; the unfunded-commitment schedule and the SD-09.7 cash-flow forecast; the redemption and spending forecast.
Outputs: the liquidity budget, the coverage ratios and the stress-test results — feeding SD-05.3 (rebalancing for liquidity) and BD-11.

Entities

Consumes: Portfolio / Mandate (E-03), Holding / Position (E-04, book = ibor), Valuation (E-07, any method), Risk Measurement (E-19, risk_type = liquidity) for the SD-07.3 per-holding liquidity classification; LP Commitment (PM-06) and Fund Investment (PM-09) for the unfunded-commitment funding demand; the SD-01.11 liquidity-tier taxonomy and buffer policy; the SD-07.3 per-holding liquidity classification; the unfunded-commitment schedule and the SD-09.7 cash-flow forecast.
Owns: none — the liquidity budget is an analytical artefact; the liquidity classification is SD-07.3’s (consumed here, not produced).

Standards

No single external standard governs liquidity-aware portfolio management. The liquidity-budget and coverage-ratio disciplines are the practitioner conventions; it applies the SD-01.11 total-portfolio liquidity strategy against the SD-07.3 per-holding liquidity classification.

Open extensions

The boundary with SD-01.11 (tier taxonomy and placement rules), SD-07.3 (produces the per-holding liquidity classification and measures liquidity risk) and SD-11.2 (treasury funding) is recorded in the BD-01 README — SD-05.6 consumes the classification, it does not produce it.