SD-11.2 — Liquidity Management

Business Domain: BD-11 Treasury, Cash & Collateral (Middle office) · Applies: BOTH

Purpose

Forecasts the liquidity the funds and portfolios will need and ensures it is funded. Where SD-11.1 acts on the cash that exists, SD-11.2 plans the cash that will exist: it projects inflows and outflows, identifies the funding gaps, sizes the liquidity buffer, and confirms coverage of the obligations the institution must meet — redemptions, benefit payments, capital calls, margin calls. It is the forward-looking half of treasury. It is not the measurement of liquidity risk or the classification of holdings into tiers — that is SD-07.3, which produces the per-holding liquidity classification, quantifies the risk and sets the limit — and it is not the strategy of total-portfolio liquidity tiering, which is SD-01.11; SD-11.2 funds near-term needs against the SD-07.3 tier classification, within the strategy SD-01.11 sets and the limits SD-07.3 monitors.

Service Operations

• Forecast liquidity — project the near-term cash inflows and outflows across the funds and portfolios, by currency and horizon.
• Identify and close funding gaps — find the points where outflows exceed available cash, and arrange the funding to close them.
• Size and maintain the liquidity buffer — hold the buffer of liquid assets and cash the institution’s liquidity policy requires.
• Confirm obligation coverage — confirm that redemptions, benefit payments, capital calls and margin calls can be met as they fall due.
• Run treasury liquidity scenarios — test the funding plan against stressed-outflow scenarios so the buffer and funding lines are adequate.

Inputs and outputs

• Inputs: the positioned cash from SD-11.1; cash-flow forecasts from SD-09.7; redemption and subscription data; capital-call schedules from SD-11.6; margin-call obligations from SD-11.4; the liquidity-tier taxonomy and buffer size from SD-01.11; the per-holding liquidity classification and liquidity-risk limits from SD-07.3.
• Outputs: the liquidity forecast, the funding plan and the buffer status — consumed by SD-11.1 Cash Management (the funding actions), SD-11.8 Securities Finance & Funding (the financing a gap may need), SD-07.3, and treasury governance.

Entities

• Consumes: E-06 Cash Flow Event, E-04 Holding / Position (book = ibor — treasury forecasts liquidity against the live IBOR position), E-03 Portfolio / Mandate, E-19 Risk Measurement (risk_type = liquidity) for the SD-07.3 per-holding liquidity classification, PM-07 Capital Call; the SD-01.11 liquidity-tier taxonomy and buffer size; the SD-07.3 per-holding liquidity classification and liquidity-risk limits; the SD-09.7 cash-flow forecasts; the SD-11.1 positioned cash; the SD-11.4 margin-call obligations; the SD-11.6 capital-call schedules.
• Owns: none — the liquidity forecast is a computed projection, not a master entity.

Standards

• The SEC open-end-fund liquidity-risk-management rules and equivalent fund-liquidity regimes — the redemption-coverage angle.
• The buffer composition draws on money-market and high-quality-liquid-asset conventions.

Open extensions

• The liquidity-forecast sub-model.
• The treasury-scenario sub-model and its relationship to SD-07.3’s liquidity stress testing.
• The Service-Operation-level input/output contracts.