Software solution for regulatory management and liquidity management including steering of the LCR/NSFR key ratios
The global banking crisis with its peak after the insolvency of Lehman Brothers has shown that liquidity risk was underestimated by many market participants. Therefore the European Banking Supervision has adopted qualitative and quantitative measures in frameworks and guidelines trying to reduce the risk by stricter regulation. The LCR and NSFR ratios are the result of the quantitative part. They are characterized mainly by severe stress scenarios. Thus in conjunction with BCBC 239 the integration of legal reporting and economic steering plays an increasingly important role.
The product ABACUS/LiMa is aimed precisely to strike a balance between the regulators and economic value generation. It provides a range of functionalities like AdHoc-Simulation of LCR, LCR-Forecast, LCR-Simulation for a set of new or existing deals and various other analytical possibilities. The interface remains the same as regulatory reporting in ABACUS/Davinci’s LCR/NSFR module to retain the user familiarity.
BearingPoint Software Solutions GmbH offers ABACUS/LiMa as a comprehensive solution for the Treasurers to manage the liquidity and also analyze the key figures of LCR. Being a part of ABACUS data model, ABACUS/LiMa also has an identical data interface. With the standardization the focus of the solution lies to balance the regulatory requirements and economic value creation.
Here you will find an overview of the milestones:
The software solution ABACUS/LiMa can be used by any financial institutions, who have licensed the module LCR/NSFR in ABACUS/DaVinci on an individual transaction basis.
Using ABACUS/LiMa can provide the following beneficial effects to the bank:
Using the LCR-Online Simulation the user can immediately simulate the effects of various transactions upon the key figures of LCR based upon the original LCR Reports. This can be done at different aggregation levels.
The LCR-Forecast process determines the LCR ratio and key figures for one or multiple future days with respect to a given day’s data set. The date on which a forecast is required can be started by the user by selecting the appropriate date. As part of the forecast process expired transactions and cash flows are posted in the cash position and other related transactions (e.g. ECB pool, compensations, etc.) are recalculated. The user has the possibility to prolongate one or many deals based on various criteria or the user can also prolongate a set of deals for a counterparty. The part of the deals that are not prolongated are deposited into the cash position. It also provides a clear representations at different aggregate levels for quick analysis.
With the integrated LCR-Single Deals Simulation process any size of given dataset (one or many) can be added into the database or an already existing set of data can be manipulated with new set of information. A forecast process on this new set of data is also populated.
The precondition for implementation of ABACUS/LiMa is a license of the LCR/NSFR module of ABACUS/DaVinci. To use certain features of LiMa (e.g. identification and separate rollover of evergreens), there are a few additional data required, in addition to the standard LCR/NSFR module.
The ABACUS/LiMa technical components are identical to the ABACUS/DaVinci components.
The operation of ABACUS/ LiMa necessitates various requirements for the operating (server) and accessing (client) systems.