Capital Requirements Directive IV (CRD IV) Liquidity Calculations and Reporting

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Solution Overview

AxiomSL provides an end-to-end solution for the Capital Requirements Directive IV (CRD IV) liquidity regulations, including the calculation and reporting of the Liquidity Coverage Ratio (LCR), Net Stable Funding Ratio (NSFR) and Additional Liquidity Monitoring Metrics (ALMM).

AxiomSL’s ‘one platform’ model means the same system can be used for all other regulatory calculation and reporting requirements, greatly reducing the cost and complexity of compliance.

AxiomSL’s solution aggregates and normalizes all of the data required for the LCR, NSFR and ALMM from the disparate sources in which it is maintained. Data can be loaded on to the solution in any format without the need for data conversion. Once validated, the data is used to run the liquidity classifications and calculations, and to produce reports in line with the required XBRL taxonomy.

Due to its high-performance capabilities, AxiomSL’s solution can process large volumes of data and run the liquidity calculations rapidly. This gives users time to make adjustments based on the initial outputs and then rerun the calculations, while still meeting their reporting deadlines.

Business dashboards allow users to monitor the entire calculation and reporting process. The unparalleled transparency of AxiomSL’s solution gives users the ability to drill down from the final results in their reports to the source data, and enables them to understand all of the transformations that have taken place.

AxiomSL supplies and maintains the calculations and report taxonomies needed for the LCR, NSFR and ALMM. When these are changed, updated versions are automatically provided. These regulatory update releases are separated from software releases, allowing firms to upgrade quickly without undertaking regression testing.

AxiomSL’s solution for the CRD IV liquidity regulations is built on the same platform as all of its other solutions. This gives banks a unique opportunity to reduce cost and complexity by using a single platform to meet all of their regulatory calculation and reporting requirements. This ‘one platform’ approach also ensures consistency between the reports submitted as part of compliance with different regulations.

  • A single platform that can be used for CRD IV liquidity regulations and any other regulatory calculation and reporting requirements
  • Aggregation of disparate data
  • The ability to load data in any format without conversion
  • Automation of the entire calculation and reporting process
  • Unrivalled transparency, including drilldown from reports to source data
  • Provision of LCR, NSFR and ALMM calculations and report taxonomies
  • A high-performance calculation engine

As part of CRD IV, banks in the European Union (EU) must adopt three European-specific versions of the Basel lll liquidity metrics: the LCR, NSFR and ALMM. These ratios have been designed to assess the ability of banks to withstand periods of stress and to analyze their access to funding.

Implementing the LCR, NSFR and ALMM presents many challenges for banks, which must centralize granular data from across the enterprise in order to accurately calculate their liquidity. Much of the required data has historically been maintained in silos that employ different data definitions and data governance practices.

Running the LCR, NSFR and ALMM involves processing large volumes of data and can therefore not be managed manually. The deadlines for calculating the LCR are particularly aggressive, with banks in some countries required to run the calculation on a daily basis.

The situation is further complicated by the regular publication of amendments to both the calculations and the XBRL taxonomies that must be used to report the results.

Liquidity Solution Diagram


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