BASEL III Liquidity Ratios
BASEL III LR Module ensures daily regulatory compliance for financial institutions by accurately computing LCR, NSFR and related disclosures at a granular level.
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OverviewOverview

The Basel Committee on Banking Supervision introduced two liquidity ratios, the Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR), as part of the Basel III reforms. These ratios are aimed at ensuring that financial institutions have sufficient liquidity to meet their short-term and long-term obligations under stress scenarios. Compliance with these ratios is critical for financial institutions, and accurate reporting on a daily basis is necessary to maintain regulatory compliance.

Surya's BASEL III LR Module, along with its superfast data engine, enables financial institutions to accurately calculate and report on these liquidity ratios. The solution is designed to collect specific data and calculate these ratios at the most granular level, while accounting for various regulatory requirements. It provides a range of scenarios and generates comprehensive reports for various regulatory requirements, enabling financial institutions to comply with regulations with ease. With Surya's BASEL III LR Module, financial institutions can rest assured that their liquidity ratio reporting is accurate, timely, and compliant.

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FeaturesFeatures
FTP
The run-off of a proportion of retail deposits
FTP
A partial loss of unsecured wholesale funding capacity
FTP
A partial loss of secured, short-term financing with certain collateral and counterparties
FTP
Additional contractual outflows that would arise from a downgrade of Bank/FI in the public credit rating by up to three notches, including collateral posting requirements
FTP
Increase in market volatilities that impact the quality of collateral or potential future exposure of derivative positions and thus require larger collateral haircuts or additional collateral, or lead to other liquidity needs
FTP
Unscheduled draws on committed but unused credit and liquidity facilities that the Bank/FI has provided to its clients. The potential need for the Bank/FI to buy back debt or honour non-contractual obligations in the interest of mitigating reputational risk
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Stress testingThe dynamic stress testing framework enables the application of stress to balances or changes in run-off factors to assess their impact on the Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR)
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Reverse stress testingThis evaluates the thresholds that systems can withstand and adjusts runoff rates as needed, such as applying higher runoff rates for retail deposits
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Liquidity Ratios ProjectionEvaluating daily basis projected LCR and NSFR considering contractual and anticipated positions.
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