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April 05, 2009 at 08:00 PM
Members of the Invested Asset Working Group will meet over the telephone 11 a.m. April 7 to discuss options for improving regulation of liquidity and event risk.
One item on the agenda will be the introduction of a draft of a staff summary report on liquidity and event risk regulation.
John Hopman, Joseph Prakash and Bob Carcano of the Securities Valuation Office have prepared the draft.
The authors note that they have not yet seen the New York liquidity report and that California does not have a state-specific liquidity report.
The Connecticut department’s report “recognizes correctly that a liquidity crunch can come from a variety of sources on the asset side, including collateral calls on credit default swaps, guaranteed annuities, securities lending, and funding agreements,” the authors of the draft write. “On the liabilities side, insurance claims also require immediate cash settlement. The goal of [Connecticut department's] monthly report is to track asset/liability management short-term by comparing the available liquid assets (that is, cash, short-term investments, and treasuries net of collateral) with the liquidity required to meet current obligations.”
