Liquidity Risk Management Policy¶


Code	`CLQ-002`
Domain	Capital & Liquidity
Owner	Chief Financial Officer
Status	Draft
Applicability	Platform
Jurisdiction	NZ + AU
Business domain	BD03
Review date	2027-03-25

Regulations: APS 210 Liquidity · RBNZ BS13 Liquidity ¶

Purpose¶

Govern the platform's liquidity risk framework including LCR and NSFR compliance, intraday liquidity management, contingency funding planning, and liquidity stress testing. Ensures that the platform maintains adequate liquid assets and stable funding at all times under RBNZ and APRA prudential standards.

Scope¶

All liquidity measurement, monitoring, stress testing, and management activities for NZ and AU operations. Covers the High Quality Liquid Asset (HQLA) portfolio, LCR and NSFR calculation, funding concentration management, intraday liquidity, and contingency funding.

Policy statements¶

The platform SHALL maintain a Liquidity Coverage Ratio (LCR) at or above 100% at all times. The internal LCR target operating range SHALL be set above 100% as specified in the Risk Appetite Statement (GOV-002).

The platform SHALL maintain a Net Stable Funding Ratio (NSFR) at or above 100% at all times.

LCR and NSFR SHALL be calculated daily from live data using MOD-032. Liquidity ratio calculations submitted to regulators or the Board SHALL be sourced exclusively from MOD-032; manual calculations are prohibited.

The platform SHALL maintain a liquidity buffer strategy that defines the composition, minimum size, and eligible instrument types for the HQLA portfolio. The HQLA portfolio SHALL consist only of instruments that meet the eligibility criteria in the applicable prudential standards.

Funding concentration in any single counterparty, instrument type, or maturity bucket SHALL not exceed the limits defined in the Risk Appetite Statement. A breach of any funding concentration limit SHALL be escalated to the Treasurer and CFO within 24 hours.

A Contingency Funding Plan (CFP) SHALL be maintained and tested at least annually. The CFP SHALL identify the early warning indicators for a liquidity stress event and define the management actions available to restore the liquidity position.

Intraday liquidity positions SHALL be monitored against intraday credit limits. A breach of an intraday limit SHALL trigger an immediate alert to the Treasurer and shall not be repeated without a documented explanation.

Any LCR or NSFR breach SHALL be escalated to the CFO and CRO within 4 hours, and to the Board within 24 hours. A restoration plan SHALL be submitted to the Board within 5 business days.

The Treasurer SHALL review liquidity positions daily. The CFO SHALL present a liquidity risk report to the Board Risk Committee at each meeting, including current LCR, NSFR, funding composition, and any limit breaches since the previous meeting.

All liquidity ratio calculations, HQLA inventory records, CFP test results, and limit breach records SHALL be retained for 7 years.

Satisfying modules¶

Module	Name	Mode	Description
MOD-001	Double-entry posting engine	`CALC`	Intraday liquidity position calculated from real-time ledger balances
MOD-003	Real-time balance engine	`CALC`	Liquidity monitoring uses live balances — no stale data risk in LCR calculation
MOD-020	Pre-payment validation suite	`CALC`	Payment volume and size contributes to intraday liquidity monitoring automatically
MOD-032	LCR / NSFR calculator	`CALC`	LCR and NSFR calculated from real data continuously — no manual spreadsheet, no T+1 lag
MOD-082	Nostro & FX treasury management	`CALC`	Nostro balances at correspondent banks are included in the liquidity position calculation — LCR and NSFR capture all accessible liquidity pools.
MOD-085	Market rates ingestion & normalisation	`CALC`	Swap and OIS curves sourced by this module are inputs to the LCR and NSFR Dynamic Tables — data quality failures block liquidity ratio computation.
MOD-115	Property security and LVR management	`CALC`	Secured loan balances and collateral values are included in liquidity stress calculations via this module's output.
MOD-130	Notice account management	`CALC`	Notice account balances and their withdrawal dates are reported to the liquidity engine as non-callable until the notice period expires, contributing to the stable funding ratio calculation.
MOD-150	Risk management platform	`CALC`	Intraday payment system exposure is computed in real-time from the payment event stream, extending MOD-032's end-of-day LCR calculation to cover intraday exposure.
MOD-161	Transfer pricing	`CALC`	treasury.tp_rates stores the cost-of-funds rate for each repricing tenor bucket — bank-core consumers (accrual, pricing) read TP rates directly from Postgres, ensuring every interest rate risk measurement uses liquidity-adjusted cost allocations without an SD06 round-trip.

Part of Capital & Liquidity · Governance overview Compiled 2026-05-22 from source/entities/policies/CLQ-002.yaml