Using liquidity gap analysis for managing foreign currency denominated funds


Sheila P. Sy

Date of Publication


Document Type

Master's Thesis

Degree Name

Master of Business Administration


Ramon V. Del Rosario College of Business


Decision Sciences and Innovation

Thesis Adviser

Rachel A. Quero

Defense Panel Chair

Ma. C. P. Assumpta C. Marasigan

Defense Panel Member

Frances Jeanne L. Sarmiento
Rafael Gerardo S. Tensuan
Maria Victoria P. Tibon
Brian C. Gozun


This action research studies on the current insufficient liquidity position planning for foreign currency denominated funds for our Bank and tries to address this scenario by giving recommendations and course of action that will best suit the bank. Inadequate liquidity positions planning can put the Bank at risk of insufficient funds available for deposit withdrawals and also depriving it to meet its required commercial and operational obligations. The Forecasted Liquidity Gap Analysis (FLGA) measures and analyses the monthly net funding requirements of the Bank. It classifies the balance sheet items according to maturities of assets and liabilities in order to determine any future imbalances such as assets growing faster than liabilities, and vice versa. This serves as an indicator of the liquidity risk being faced by the Bank based on the expected timing of its cash flow. The team addresses the issue through the preparation of an FLGA to estimate future foreign currency (FX) denominated fund requirements and also improve it by forecasting loan availment and FX note requirements while avoiding a negative position and maximize profit by knowing appropriate tenor of investment placement. In addition, the team was able to formalize an action plan in the event of negative liquidity position. The importance of an FLGA cannot be overstated nor ignored because this serves as an analytical report into the banks liquidity position and liquidity contingent action plan in case there is a forecasted insufficient foreign currency fund.

Abstract Format






Accession Number


Shelf Location

Archives, The Learning Commons, 12F Henry Sy Sr. Hall

Physical Description

1 computer disc ; 4 3/4 in.


Foreign exchange; Bank liquidity

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