Global Liquidity Monitoring, Risk Management Calculations, and Reporting Solutions

LCR

NSFR

IFR

LST

FR 2052a

PRA110

Holistic Liquidity Monitoring Ecosystem

LCR

Financial institutions must be prepared to accommodate changing Liquidity Coverage Ratio (LCR) requirements globally, including adopting new technical standards within the CRR2 framework.

Changes included in global LCR requirements affect conditional waiver options for unwinding secured transactions in accordance with guidelines designated by certain regions or central banks, in addition to the application of new haircuts to certain High-Quality Liquid Assets (HQLA) product categories.

NSFR

Net Stable Funding Ratio (NSFR) expansions are still being finalized and AxiomSL is tracking these developments closely to ensure prompt adoption into solutions.

The upcoming rules updates are many and will include changes to Available Stable Funding (ASF), Required Stable Funding (RSF) for HQLA, derivative, variation margins, and short-term lending transactions. These requirements will also lead to new and more granular reporting — including C80-84 COREP reports.

LST & Local Reporting

Liquidity Stress Testing (LST) is an important process for effective liquidity monitoring by financial institutions and is mandated by upcoming regulatory requirements such as the Internal Liquidity Adequacy Assessment Process (ILAAP).

Furthermore, given that national regulators are keenly interested in liquidity monitoring ― especially for LMT/ALMM metrics ― country-specific mandates including FR 2052A in the U.S., the liquidity risk report Demonstrativo de Risco de Liquidez (DRL) in Brazil, PRA110 in the U.K., and LiqV in Germany, must also be satisfied.

LMT & ALMM

As part of expanding Basel standards to assess all dimensions of financial institutions’ liquidity profiles, Liquidity Monitoring Tools (LMT) and Additional Liquidity Monitoring Metrics (ALMM) have been added to requirements globally.

This increases the level of tracking to include cash flows, balance-sheet structures, and available unencumbered collateral, requiring firms to accommodate a spectrum of complex Basel III/IV requirements and other frameworks or liquidity calculations.