The PRA has finalised the date of changes to liquidity reporting rules. On 22 April 2016, FSA 050-053 will be switched off and the EU requirements to report additional liquidity monitoring metrics introduced.
From 1st October all UK Banks and Building Societies are required to produce the LCR under the new delegated act. To help bring clarity to the new delegated act and address the key points which affect small banks and building societies ALMIS International, already experts in delivering an automated solution...
The PRA has today (8th June 2015) issued a brief policy and supervisory statement. Some concessions to proportionality, particularly in reporting, have been made. The documents do however, set out more clearly how firms are expected to manage liquidity under CRD IV.
- Liquidity stress can be run from any balance sheet portfolio; past, current or forecast to help with the understanding of liquidity, profit and solvency implications of business projections
- Multiple stresses can be developed and run simultaneously, saving banking institutions valuable time
- Manipulate data by various lending risk factors such as committed pipeline, prepayments and capital re-payments allowing for a comprehensive analysis of the balance sheet
- Unlimited amount of stress scenario’s can be run, providing the opportunity to develop assumptions further and evaluate stress situations that may not have been previously considered
- Save scenarios with detailed settings and assumptions
The PRA has today (8th June 2015) issued a brief policy and supervisory statement.
Some concessions to proportionality, particularly in reporting, have been made. The documents do however, set out more clearly how firms are expected to manage liquidity under CRD IV.
Key to this, is a requirement for daily reporting for firms with assets greater than £5bn for:
- COREP LCR (C 72.00 – C 76.00)
- Contractual maturity ladder (AMM C 66.00)
- Rollover (AMM C 70.00)
Additionally, firms are expected to continue to strengthen stress testing and incorporate liquidity costs into fund transfer pricing more fully.
Liquidity Module is very flexible and a user friendly risk management tool
The ALMIS Liquidity Stress Module was instrumental in the development of our ILAA.
Before, we used a spreadsheet to carry out basic liquidity stress tests, and we only did this on a monthly basis. This would not have met the requirements of the new FSA liquidity standards under which we need to model multiple stresses in a variety of scenarios so we needed a system like ALMIS which could handle this.
ALMIS has been particularly useful in meeting the new FSA Liquidity Reporting requirements.