Kamakura Corporation announced Thursday that it has begun offering the Kamakura Risk Information Services Credit Crisis Liquidity Risk Data Base (âKRIS CCLRâ) to clients in 34 countries. The data base contains the amount, origination date and maturity date of 15,801 borrowings by 1,305 institutions from the Federal Reserve during a key period in the recent credit crisis, February 8, 2008 to March 16, 2009. The data base was compiled from more than 200 documents released by the Board of Governors of the Federal Reserve in April, 2011 about âprimary, secondary and other extensions of creditâ by the Federal Reserve. Kamakura noted that the data provides essential insights on the liquidity risk and funding shortfall of the 1,305 firms in the data base. Liquidity risk measurement is a key element of assessing an institutionâs safety and soundness, capital adequacy, and compliance with the forthcoming Basel III capital adequacy and liquidity risk guidelines.
âFor decades, financial institutions have tried to measure liquidity risk using their own deposit balance and rate histories,â said Kamakura Corporation founder and chief executive officer Dr. Donald R. van Deventer. âUnfortunately, if the institutions have never faced their own liquidity crisis, the insights that can be gleaned are limited. The new KRIS CCLR data base is the first and only data base that describes exactly the daily funding shortfalls for 1,305 institutions during the credit crisis. The data is essential for accurately benchmarking risk simulations in Kamakura Risk Manager and other enterprise risk management systems.â
Among the 1,305 firms in the data base, the daily funding shortfalls of these institutions are detailed exactly:
â¢ Bank of America
â¢ Bear Stearns
â¢ Goldman Sachs
â¢ JP Morgan Chase
â¢ Lehman Brothers
â¢ Merrill Lynch
â¢ Morgan Stanley
â¢ Union Bank of California
â¢ US Central
â¢ Washington Mutual
â¢ Western Corporate Federal Credit Union
Kamakura will be launching a series of case studies on these and other financial institutionsâ liquidity risk and funding needs during the credit crisis.