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Basel III Calculation and Liquidity Risk Reporting


Background

The tier 1 wholesale banking client engaged ACS to calculate and report:

  • Short term liquidity – measured by Liquidity Coverage Ratio – maintain liquid asset buffer equal to total net cash outflow over a 30 day stressed period; and
  • Long term liquidity – measured by Net Stable Funding Ratio – available amount of stable funding to exceed funding requirements over a one year stressed period.
  • Consideration
  • Focus on Tier 2 capital.
  • Utilise common data for management reporting and regulatory reporting.

Solution

  • Design incorporates credit value adjustment measures as applied to counterparty credit.
  • Calculate counterparty credit exposures for derivatives, repo and securities financing
  • Ensure OTC derivative contracts cleared through central counterparties.
  • Convert loss estimates into capital and liquidity requirements.
  • Stress testing results a pre requisite to the calculation process.
  • Define and include liquid assets as per policy.
  • Calculated cash flow mismatches based on contractual obligations.
  • Solution is built on a defined data set comprising stressed results.
  • Integrated management and regulatory reporting.
  • Provision of dashboard for group and business unit management reporting.
  • Summarized management reports output to mobile media.

Benefits

  • Satisfied Basel III Calculation and LCR / NSFR regulatory requirements.
  • Enable management to plan and manage liquidity requirements more effectively.
  • Reduce funding costs for the bank.
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For more information about how we can help you please contact us

Krishan Gopal

Krishan-Gopal
Principal Consultant Credit and Market Risk

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