In September 2014, the Board of Governors of the Federal Reserve System (Federal Reserve Board) and the Office of the Controller of the Currency (OCC) issued a final rule on the Liquidity Coverage Ratio (LCR), with the aim of strengthening the liquidity risk management of banks and bank holding companies as established by the Basel Committee on Banking Supervision (BCBS).

The LCR is a generic stress test that anticipates a market-wide shock similar to the financial crisis that began in 2008. The objective of Liquidity Coverage Ratio (LCR) is to impose a more rigorous liquidity management regime on banks so that the bank can withstand a 30-day market stress event.

The Challenge:

The pressing need for the bank, is to possess the ability to automate the identification of HQLA assets across geographies, business groups and asset classes as defined under BCBS-238 and to calculate daily intraday liquidity in a single calculation within a single reporting environment.

The challenge faced by analysts and risk professionals is, to interpret the regulatory instructions and apply their judgment across voluminous risk data from disparate sources stored in different formats and types.

How we can help:

Parabole’s Liquidity solution helps monitor the bank’s liquidity requirements under Basel III in near real time.

  • The solution provides a dashboard view of integrated risk analysis and liquidity risk calculations including daily maximum intra-day liquidity as per Basel-III. This allows for quick decision making ability to reduce impact of any market shock

  • The liquidity solution also enables the analyst to establish the lineage of how the assets were classified, value computation and their corresponding haircut adjustments.

HQLA & LCR Analysis