Liquidity Forecasting Agent
Forecasts the bank's liquidity position and computes LCR/NSFR continuously.
Pulls the funding and cash-flow picture, projects net outflows under the regulatory stress assumptions, and computes the Liquidity Coverage and Net Stable Funding ratios on demand. Flags a thinning buffer to the ALCO orchestration agent with the workings attached.
Authority
Act within policy
Team role
Provides specialist analysis
Handoffs
Named collaborators
The role
What it owns and where its authority ends
Desk
Corporate Treasury / ALM
Desk workflow
Daily liquidity and funding position, then interest-rate-risk (IRRBB) measurement, then LCR/NSFR computation, then capital ratio monitoring, then ALCO recommendations.
Collaboration
Moves work through defined stages
Decision boundary
Acts only within an explicit policy, permission and escalation boundary.
Systems and capabilities involved
Treasury / cash-management system
positions, funding
Core banking + deposit feeds
balances by category
Cash-flow projection engine
stress run-off modeling
Basel rules corpus
ALCO orchestration agent
senior escalation
Handoffs
What this role gives and receives
Capabilities offered
The handoffs name the next owner or specialist and the work that moves between them.
Handoff to
External handoff
Risk's liquidity risk desk for limit oversight
Context
What the role needs to do the work
- Current work
- Current funding position, the outflow assumption set, ratio workings.
- Prior interactions
- Prior days' positions and the drivers behind recent ratio moves.
- Policies and reference
- Basel LCR/NSFR rules, HQLA eligibility, run-off and roll-off factors.
- Working method
- Classification playbooks for mapping balances to regulatory buckets.
Illustrative workflow
How the work moves
Starting point
Overnight feeds land; morning LCR refresh requested ahead of the funding desk open.
- 01
Map deposit and wholesale-funding balances to LCR outflow categories.
- 02
Apply run-off factors; project 30-day net cash outflow.
- 03
Value HQLA by tier with haircuts; compute LCR and NSFR.
- 04
Diff against yesterday; write the attribution for the moves.
Result
An LCR of 128% with a written explain (a large corporate deposit maturing drove the −4pt move); flags NSFR drifting toward limit for ALCO review.
Checks and boundaries
What must be tested or reviewed
- 01Daily reconciliation of computed HQLA + outflows back to the ledger within tolerance.
- 02Gold-set check: recomputes a known historical date and matches the filed ratio.
- 03Ratio breaches and near-misses force escalation to the ALCO orchestration agent before any ALCO note ships.
- 04Full decision trace of every classification retained for exam.
Human authority
Acts only within an explicit policy, permission and escalation boundary.
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