Spotlight on Liquidity - Liquidity Coverage Ratio (LCR)

Spotlight on Liquidity – Liquidity Coverage Ratio (LCR)

ALMIS enhances Liquidity Module with powerful Sticky Rules Table

Basel III set the global minimum standard for liquidity. The EBA (European Banking Authority), with the new COREP regime, introduced specific interpretation based on globally defined, detailed reporting requirements. These will be introduced as a Pillar 1 requirement in 2015, eventually replacing BIPRU 12.

Liquidity coverage requirements specify that firms should maintain liquidity buffers which are adequate to face any possible imbalance between liquidity inflows and outflows under gravely stressed conditions over a period of thirty days.

Part of the new guidance stipulates the need for a greater degree of granularity of reporting of retail outcomes under stress conditions to ensure LCR are met. Firms now need a powerful Liquidity system that can accurately categorise risk factors and calculate complex combinations to simulate various stress scenarios. They need to determine the optimal liquidity coverage (LC) for stress conditions ranging from grave to ‘business as usual’.

ALMIS Sticky Rules Table for the Liquidity Module

The ALMIS Liquidity module has been enhanced ahead of the regulatory deadline to include powerful ‘Sticky Table’ logic to enable firms to quickly and reliably calculate retail outflows in order to comply with EBA guidelines for LCR.

The Sticky Rules Table will analyse and calculate (according to the guideline Categories 1, 2 and 3), combinations of High Risk Factors (HRF) and Very High Risk Factors (VHRF) including:

  • Customer view (including country of residence, value of deposit, currency, strength of relationship)

  • Product view (including distribution or product characteristics)

  • Maturity view for notice and fixed accounts

LCR and Regulatory COREP Reporting

Our system provides:

  • Auto-population of Liquidity Coverage Templates for COREP to save time and resources and help reduce data errors

  • New, enhanced report for Liquidity Coverage

  • More detailed analysis of Deposit by Customer

ALMIS LCR to optimise liquidity Management

Whilst comprehensive LCR is essential for regulatory reporting, it is also a vital tool in the management information strategy of any banking institution. The ability to conduct analysis under different stress scenarios will provide management teams with more accurate management information to create the appropriate level and type of liquidity for both compliance and profitability.

For more information on LCR and the ALMIS Liquidity module contact info@almis.co.uk

Spotlight on Liquidity – Joe Di Rollo’s presentation at the BBA Annual Liquidity Conference 2014

ALMIS International were the Headline Sponsor for the BBA’s Annual Liquidity Conference held in London at the end of April.

Joe Di Rollo of ALMIS International presented on the key topic of “Implications of BASEL III and COREP on a Bank’s organisational structure and IT strategy”

To view selected slides from Joe Di Rollo’s presentation at the BBA Annual Liquidity Conference 2014 go to click or for a copy of his full presentation email us at info@almis.co.uk

For more information on the BBA

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