Industry Insights

NSFR under CRR2

Industry expert and guest speaker Chris Blake commented in our recent webinar that NSFR is perhaps more important than the LCR, and provided an explanation of this metric which was well received by attendees from over 85 Banks and Building Societies.

Our poll then showed many firms have not yet decided whether to go with a simplified or fully fledged approach. Given this, we are further highlighting the ALMIS® software facilitates both, comes out of the box with all the standard factors and can be computed directly for the same data used to populate the PRA 110, LCR and ALMM returns. Additionally, Chris strongly advised that firms run stressed equivalents of the NSFR as part of the ILAAP. This too is possible within the ALMIS NSFR report where users are provided with functionality to flex Available Stable Funding and Required Stable Funding weightings or where the NSFR can be run on stressed, forecasted balance sheets using the ALMIS® Financial Planning tool.

Firms are reminded that they would need to apply to be treated as simplified. The simplified approach will usually produce a less favourable / efficient metric and so we at ALMIS International recommend using the fully fledged approach, and for reporting efficiency and consistency, to use this with our Capital Adequacy module to correctly record 35% RWA’s.

Stuart Fairley presented our ALMIS® software solution beginning with the ALMIS® Middle Office+ dedicated ALM Data Platform. Our clients are preparing to migrate to our superior MO+ single version of the truth for the necessary transformations and data prep. Time did not allow for a detailed walk through of all the validation, searching, superior excel in and out, colour coded grids and workflow our customers can use.

If you’re interested in viewing the webinar or learning more please contact info@almis.co.uk, and if you’re a client of ALMIS International you can already view the webinar on our Client Area.

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