The credit risk report should also be a matrix with maturity on one axis and the general rating quality on the other. (see Table 6.) Senior managers could of course demand a more detailed breakdown of rating classes and duration than that outlined in Table 6. The top 10 individual counterparty exposures should also accompany the credit matrix report. More sophisticated institutions may in addition apply default probabilities to the number in each cell in the matrix to arrive at an expected loss figure.
The liquidity risk report must show the funding requirements of the firm so that senior managers will have information on the maturity structure of the institution’s liabilities. A tabulation of the debt profile of the firm will enable managers to know when and how much debt will need to be refinanced.
Credit and liquidity risk reports should be sent to senior managers at least weekly.
Table 6: CREDIT RISK
|
| Rating | Net uncollateralised exposure with a remaining life | Total (in $ million) |
| up to 1 year | 1-5 years | >5 years | |
|
AAA
AA
A
BBB
Non-investment grade |
| TOTAL |
|
Table 7: DEBT PROFILE OF A FIRM (in $ million)
|
| Short-term Debt | Maturing Within |
| 1 month | 2 months | 3 months | 6 months | 9 months | 1 year | |
|
US dollar
Non-US dollar |
|
|
| Long-term Debt | Fixed rate obligations
swapped to variable | Fixed rate obligations
not swapped | Total fixed rate
obligations | Variable rate
obligations | Total |
|
| US dollar |
Due 1998
Due 1999
Due 2000
Due 2001
Thereafter |
| SUB-TOTAL |
| Non-US dollar |
Due 1998
Due 1999
Due 2000
Due 2001
Thereafter |
| SUB-TOTAL |
|
| TOTAL |
