23.7 Financial Element Type – Liquidity Gap
Table 23-9 Types of Liquidity Gap Financial Elements
| Element Number | Element Name |
|---|---|
| 1490 | Discount Rate LR |
| 1491 | Timing of Cash Flow |
| 1660 | Liquidity GAP Runoff (1661 + 1663) |
| 1661 | Liquidity GAP Total Runoff |
| 1663 | Liquidity GAP Deferred Runoff |
| 1664 | Liquidity GAP Option Exercise Premium |
| 1665 | Liquidity Gap Inflation Adjustment to Principal |
| 1669 | Liquidity Gap Inflation Adjustment to Interest |
| 1670 | Liquidity GAP Runoff Term |
| 1671 | Liquidity GAP Interest Cash Flow Gross |
| 1672 | Liquidity GAP Interest Cash Flow Net |
| 1673 | Liquidity GAP Interest Cash Flow Transfer Rate |
| 1674 | Liquidity GAP Accrued Interest Gross |
| 1675 | Liquidity GAP Accrued Interest Net |
| 1676 | Liquidity GAP Accrued Interest Transfer Rate |
| 1677 | Liquidity GAP Interest Credited |
| 1678 | Liquidity GAP Runoff Gross Rate |
| 1679 | Liquidity GAP Runoff Net Rate |
| 1680 | Liquidity GAP Runoff Transfer Rate |
| 1710 | Present Value of Cashflows - Scenarios |
| 1715 | Liquidity GAP PV of Principal Cash Flows |
| 1716 | Liquidity GAP PV of Interest Cash Flows |
| 1717 | Liquidity GAP PV of TP Int Cash Flows |
| 1720 | Liquidity GAP Duration |
| 1721 | Liquidity GAP DV01 |
| 1725 | Liquidity GAP Modified Duration |
Note:
The following changes have been done to meet the above requirement:- A simple seeded dimension called “Product Interest Rate Sensitivity Category” has been introduced. The attribute of product dimension ‘Interest Rate Sensitivity Category’ has been introduced. This attribute is populated in processing (FSI_D) tables for each account so that it can be used in the data filter and conditional assumption. Using this attribute a product is identified as Interest Rate sensitive or Non-Interest Rate sensitive.
- Interest Rate Gap Buckets now have a default Non-Rate Sensitive Bucket, along with Interest rate Sensitive Buckets.
- In Process rule, the calculation block ‘Include Non-Rate Sensitive Bucket’ is added, which gets enabled when ‘Repricing Gap’ is selected.
- Once a product is mapped as Non-Interest Rate Sensitive, and User have
selected ‘Include Non-Rate Sensitive Bucket’ in Process rule, reprice
gap output of these Products, would move into Non-Interest Rate
Sensitive bucket.
If ‘Include Non-Rate Sensitive Bucket’ is not enabled, the engine will ignore the ‘Interest Rate Sensitivity Category’ product attribute and would treat all products as Interest Rate Sensitive. Reprice Gap output would move into respective Reprice Gap buckets.