Liquidity Stress Testing (LST)

Enables FIs to efficiently implement LST frameworks to meet Basel mandates and comprehensive liquidity assessment requirements in multiple jurisdictions


Overview


Device Frame
Comprehensive LST Framework

Creating and implementing liquidity stress testing (LST) frameworks is demanding for all financial institutions (FIs) because they need liquidity risk data both for Basel Pillar II stress tests as well as for comprehensive liquidity assessment requirements in multiple jurisdictions.

Requirements

Additional pressure is coming from the:

  • Need to manage huge volumes of daily data for Reg YY LST Liquidity Buffer compliance monitoring and daily and monthly liquidity stress testing reporting
  • Changing volumes of financial products and conditions of funding markets

  • Burden to report correctly and more frequently while relying on many unsustainable manual processes and in the face of shrinking resources.
  • Need for adequate controls and transparency of data from source to results

The above factors are forcing FIs to reevaluate their approach to meeting liquidity-reporting challenges.

Questions to Consider

  • Do we have access to the data we need for prompt and accurate liquidity stress-testing requirements from Basel III’s Pillar II, as well as from different national regimes?
  • Do we have a single core liquidity engine to create, execute, store, view, and report the complete and transparent LST rules for classification and computation?
  • Can we apply different haircuts to highly liquid assets (HLA) when market conditions deteriorate?
  • Do we have adequate internal LST measurement monitoring and reporting capabilities?

  • Do we have confidence that our data is complete and accurate so that liquidity stress-testing are trusted measures when senior executives, board directors, and regulators see them?
  • Can we apply different run-offs or roll-overs to all cash and collateral in- and out-flows as LST scenarios change?
  • Can we apply different haircuts to high-quality liquid assets (HQLA) if LCR regulatory requirements change?
  • Do we have adequate data and process controls and transparency of data from source to process to results?

Solution

Liquidity Ecosystem

AxiomSL’s liquidity ecosystem empowers FIs to use their trusted liquidity data to deliver liquidity risk ratios and other regulatory reporting and to derive compelling analytic benefits.

Powerful Modules

The solution incorporates the powerful modules:

  • The LCR-logic module delivers net cash-flows along with LCR rule categories that give the FI’s regulatory-required LCR value
  • The solution runs on ControllerView®, AxiomSL’s data integrity and control platform

  • The LST (liquidity stress-testing) module enables compliance by calculating the averages and producing the quantitative disclosure template

Device Frame

AxiomSL’s Liquidity Risk Management Ecosystem

Leverage trusted liquidity data to deliver liquidity risk ratios to the Federal Reserve while deriving analytic benefits for the firm.

AxiomSL’s Liquidity Risk Management Ecosystem

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For more information about AxiomSL’s U.S. Liquidity Solution, download the PDF.

Benefits

With liquidity data, models, and calculations in one place, FIs can efficiently and transparently meet liquidity risk ration requirements

Provides traceability to methods, parameters, and source data in a controlled, single platform environment

User-defined stress testing and forecasting abilities

By sourcing liquidity data once, FIs can use it for multiple risk and reporting requirements and downstream analytics

Positions FI to evolve with the changing liquidity regulatory landscape

Delivers trusted analytics and historical perspective

LST Summary Dashboard Module

Leveraging the LST Summary dashboard module, the FI can dig deep into its LST trends as illustrated here.

LST Summary Dashboard Module

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Deep Dive

High-Level Architecture and Process Flow


AxiomSL's LST Architecture & Flow

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U.S. Liquidity Stress Testing – Input Models


AxiomSL's LST Input Models

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U.S. Liquidity Stress Testing – FreeForm Reports


AxiomSL's LST FreeForm Reports

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Liquidity Stress Testing – Tabular Reports


AxiomSL's LST Tabular Reports

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