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Basel III LCR Analysis

by SAS Employee SASJodi on ‎04-20-2016 01:35 PM (371 Views)

SAS Risk Management for Banking is based on the concept of analysis tasks. An analysis is a stored process that uses staged bank data, configuration tables and results from the SAS Risk Dimensions environment to run analysis projects. To ensure your bank's short-term liquidity, SAS Asset and Liability Management for Banking provides a Basel III Liquidity Coverage (LCR) analysis.

 

The LCR is a liquidity metric defined in the BASEL III requirements. The LCR is the ratio of High Quality Liquid Assets to the net outflows over the next 30 days. A bank is considered ‘liquid’ as long as its LCR is maintained above 100%.

 

Classification of assets and flows is a major step in the LCR calculation. When you use SAS Asset and Liability Management for Banking, your classifications take precedence and are maintained throughout the data flow. Macros are used to perform automatic classifications.

 

The LCR use cases fall into three categories: collateral management, credit and liquidity facilities, and true bank exposures. The Basel III LCR analysis permits modeling of positions, posted collateral, and margin agreements. Tables are provided for these values.

 

To configure a liquidity coverage ratio analysis project, you simply need to specify the following:

 

  • types of liquidity analyses to perform
  • regulatory factors to apply
  • SAS Risk Dimensions projects to execute
  • processing macros to execute
  • stress scenarios
  • schedules for changes in inventory, sales, repos, prices, and haircuts

The Basel III LCR analysis task calculates market values and cash flows to complete the LCR calculation and generate reports.

For more information about using SAS Asset and Liability Management for Banking to facilitate your LCR requirements, contact your SAS consultant.

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