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LIQUIDITY STRESS

Due to the global financial crisis, there has been more pressure on banking institutions to evaluate liquidity risk and many more regulations and standards have been introduced. Following on from the Strengthening Liquidity Standard and BIPRU 12, the BASIL III and EBA (CRD IV) have produced the new LCR and NSFR minimum global standards. Additionally regulators around the world are scrutinising liquidity like never before.

Our Liquidity Module has been developed to comply with worldwide best practice, whilst fully taking into account the PRA’s and EBA’s specific reporting, monitoring and stress test requirements.

To make it easier for Banks our system delivers in one integrated system:

  • Automatic calculation of key liquidity reports including FSA 047 & 048, COREP LCR (under the delegated Act), NSFR and ALMM requirements
  • Produce additional reports useful for management reporting and funds transfer pricing for example an analysis of deposits by levels of stickiness
  • Ability to run a whole series of liquidity monitoring and performance reports
  • Ability to perform any number of idiosyncratic and market wide liquidity stress tests
  • Perform and analyse stress tests on forward balance sheets
  • Run reverse stress tests