Enables FIs to efficiently implement LST frameworks to meet Basel mandates and comprehensive liquidity assessment requirements in multiple jurisdictions
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?
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
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.
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For more information about AxiomSL’s U.S. Liquidity Solution, download the PDF.
LST Summary Dashboard Module
Leveraging the LST Summary dashboard module, the FI can dig deep into its LST trends as illustrated here.
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High-Level Architecture and Process Flow
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U.S. Liquidity Stress Testing – Input Models
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U.S. Liquidity Stress Testing – FreeForm Reports
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Liquidity Stress Testing – Tabular Reports
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