NEW FEATURES in ALM
Check out these new features and what they mean for you.
SAS Regulatory Liquidity Risk - EBA LCR, NSFR, and ALMM reporting
The SAS Regulatory Liquidity Risk solution on Viya, in addition to already providing the calculations required for EBA LCR, NSFR and ALMM reporting, is now enabling the actual population and publishing of those different regulatory reporting templates. For that purpose the solution leverage SAS Integrated Regulatory Reporting. Learn more.
SPOTLIGHT USE CASE
The European Banking Authority (EBA) introduced several mandates around Liquidity Risk (LCR, NSFR, ALMM, AE, etc.…) as part of the Basel III framework to address vulnerabilities exposed during the 2008 financial crisis. The crisis revealed that many financial institutions lacked sufficient liquid assets to withstand periods of financial stress, leading to severe liquidity shortages and systemic risks.
Effective liquidity management is essential to mitigate these risks, ensuring sufficient reserves or contingency plans are in place to weather financial disruptions. Historical cases like Silicon Valley Bank, Northern Rock, and Lehman Brothers showcase how liquidity risks can lead to major financial instability.
SAS Regulatory Liquidity Risk now contains, in addition to out-of-the-box content to value your portfolio positions, generate the cashflows and their bucketing, to classify and aggregate transaction level results for the purpose of those reports, the possibility to populate the EBA LCR, NSFR and ALMM regulatory report templates, and to review them, update them , run EBA DPM validation rules, approve them, and to generate their XBRL files. All is orchestrated in a dedicated additional regulatory reporting workflow for governance and audit purposes.
