The Liquidity Analyzer is a solution, developed by the RC Banken Group, which measures and monitors the liquidity risk of funds in conformance with InvMaRisk, UCITS IV and the CSSF circulars 11/508 and 11/512. The BVI recommends the use of the application which complies with the implementation guidelines defined by alfi and PRiM. On the basis of current holdings and net outflows of funds, the Liquidity Analyzer calculates the most important liquidity risk figures for mutual and investment funds in the SAS 70 certified data processing center of Siemens AG. Results and reports are then made available via internet browser or as a download into your internal risk management processes.

Product description

The Liquidity Analyzer is a comprehensive solution to measure and manage the liquidity risks on the active and the passive side (portfolio holdings and outflows) of the mutual and institutional funds:

• Projection for the net outflow of funds as well as for the market liquidity in crisis conditions (fire sales) and under normal circumstances
• Estimation of maximum net outflows of funds with the help of historical time series
• Classification of all investment categories into share classes, which can be defined freely, via a parametrizable rules and mapping engine
• Consideration of expert knowledge and stress scenarios
• Calculation of a range of liquidity risk figures such as the “liquidity ratio”, “liquidity costs” and the “days to liquidate”