NSFR Reporting Solution

A flexible compliance and NSFR reporting solution within AxiomSL’s global liquidity risk ecosystem that seamlessly accommodates the spectrum of Net Stable Funding Ratio international calculations and rules, including recent U.S. final rules and EU CRR 2 reports.

A Basel-Driven Long-Term Liquidity Standard

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:

  • Provide a one-year funding adequacy measure
  • Reduce funding instability

  • Promote sound liquidity risk management
  • Support operational stability

Operational Challenges

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.

Data Challenges

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.

Learn more about AxiomSL’s U.S. NSFR Reporting Solution

NSFR Reporting Solution Functionalities

AxiomSL’s Liquidity Risk Management Ecosystem on ControllerView encompasses a jurisdiction-specific NSFR reporting solution

Encompassing NSFR Adoption

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

AxiomSL’s NSFR Reporting Solution on ControllerView enables complex calculation, monitoring, and reporting

Delivering NSFR Jurisdictional Nuances

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

AxiomSL’s US NSFR Reporting Solution enables banks to meet compliance deadlines and prepare for FR 2052a modification

Enabling Banks To Meet Deadlines

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

Solution Features

Jurisdictional Nuance

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.

Modular Design

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.

Data Clarity

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.

Transparent Processes

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.

User Managed

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.

Auditable Control

Ubiquitous data and rule drilldown enable granular inspection.

Delivers submission histories, daily point-in-time datasets, and lineage for required compliance and audit defense.

Key Benefits

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

Related Insights

Important Considerations for NSFR Reporting Solutions

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?

Global Liquidity Monitoring, Risk Management Calculations, and Reporting Solutions

Learn more about the Ecosystem For Basel Liquidity Risk

Learn more about the Ecosystem for U.S. Liquidity Risk

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