NSFR is the available amount of stable funding (ASF) relative to the required amount of stable funding (RSF) where ASF is determined by characteristics of liabilities and equity and RSF is determined by characteristics of assets, commitments, and derivatives. A complement to 30-day LCR, NSFR rules and disclosures per BCBS standards are intended to:
Many NSFR extensions and adoptions are still being finalized. Rule updates in early-adopter regions have included changes to ASF, RSF, HQLA, derivative, variation margins, and short-term lending transactions. New and more granular reporting requirements are anticipated (e.g., C80-84 COREP).
In addition, implementation of and adherence to NSFR requirements has been impacted by Covid-19 driven liquidity pressures, changing volumes of financial products, and conditions of funding markets.
The data gap between LCR and NSFR may be significant because ASF incorporates certain liabilities and regulatory capital and RSF incorporates asset categories and derivative measures not considered in LCR. Liquidity risk management teams must incorporate required datapoints aligned with risk-based capital rules.
To deliver a more granular one-year view and less granular longer-term outlooks, firms must have transaction forecasting solutions that accurately model RSF and ASF components.
Clients enter ecosystem at points that meet their NSFR reporting solution needs
Powered by AssetLiabilityView, an extensible data dictionary
Monitoring, reporting, and analytic dashboards powered by AnalyticView
Full data lineage analysis powered by LineageView
Audit friendly architecture provides drilldown and preserves history
Secure fully managed RegCloud deployment delivers operational efficiency
Seamlessly ingests required datasets from across liquidity and capital sources
Accommodates jurisdiction-specific classifications for ASF and RSF calculation
Handles both regulatory and internal NSFR calculations
Delivers net cash flows and NSFR rule categories to give the NSFR value
Encompasses monitoring and reporting logic requirements
Targets initial compliance on July 1, 2021
Positions banks for seamless update to meet expected Fed revision to FR 2052a
Affected banks can enter solution at point that best suits their needs
Provides a strategic approach for NSFR compliance to meet mandatory timelines
Ecosystem’s design flexibly incorporates evolving jurisdictional NSFR rules, calculations, and reporting requirements.
Global business rule library provides traceability back to BIS rules and accommodates additional non-BIS jurisdictional rules.
Reduced implementation effort for banks already using AxiomSL liquidity solutions. Correspondingly sets a foundation for future extensions and regulatory coverage.
Data definition, streamlined segmentation, and calculation engine reduce processing time.
Enables ingestion of original source data from liquidity and capital systems for NSFR calculation.
AxiomSL’s AssetLiabilityView data dictionary architecture enables clients to extend the data model with their own data without transformation.
Enables full traceability from source to data model to NSFR business logic to cells on reports.
Process steps, business rules, and calculation logic are codified with visible regulatory rule references.
Business and IT can adjust logic preserved in shorthands and configure NSFR calculation nuance, stress testing, and monitoring tools.
Controls and permissions at every level include configurable record-level data permissions.
Ubiquitous data and rule drilldown enable granular inspection.
Delivers submission histories, daily point-in-time datasets, and lineage for required compliance and audit defense.
Automates LCR, NSFR, LMT, asset encumbrance, stress testing, regional calculations and reporting on a single platform
Delivers efficient processes, powerful analytics, full drilldown and data lineage to reduce compliance/reporting costs and enable ALM optimization and audit defense
Provides dashboards for monitoring and insightful results for downstream analytics to inform strategic business decisions
Scales to optimize processes across global Basel and jurisdiction-specific liquidity risk and reporting requirements
The AssetLiabilityView extensible data dictionary ensures consistency across Basel liquidity calculations, supports auditability, and streamlines analysis
Deployable on secure RegCloud, enabling operational efficiencies and reducing total cost of ownership
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Do we have access to the liquidity and capital data we need to calculate the NSFR promptly and accurately?
Is our data complete and accurate enough to support defensible NSFR values for senior executives, board directors, and regulators?
Are we able to quickly apply new categories or different coefficients for ASF and RSF calculation if NSFR rules change?
Do we have a single liquidity engine to create, execute, store, view, and report our NSFR calculation?
Does our system completely and transparently incorporate NSFR classification and computation rules across our global jurisdictions?
Do we have adequate data and process controls delivered by a system with clear lineage from source to process to results?
Learn more about the Ecosystem For Basel Liquidity Risk
Learn more about the Ecosystem for U.S. Liquidity Risk
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