Functional Background

With the introduction of CRR II the requirements for the Net Stable Funding Ratio (NSFR), which were already part of the CRR I, was finalized and expected to be applicable for the first time in June 2021.

With the introduction of a binding quote of 100% for the NSFR, the ratio of available to required stable funding, the supervisory authority defines a key figure that must be met at all times. In addition, weighting factors were defined that must be applied to the liabilities to determine the available stable funding (ASF factor) and to assets to determine the required stable funding (RSF factor). Besides the reporting, banks have to actively manage and forecast the NSFR metric according to article 428 ยง3, 4 CRR2. Also, the European Central Bank (ECB) has formulated its expectations for liquidity risk controlling and management in its ECB guidelines on Internal Liquidity Adequacy Assessment Process (ILAAP), including the requirements for planning and simulation of the NSFR, amongst others.

Regnology has developed a module for NSFR forecast in Abacus360 Banking similar to the existing functionality for LCR forecast (ABACUS/ LiMa). A first version has been published in April 2021. With the software release in July, banks have a fully-fledged solution for NSFR forecasting.

Functional Scope of the NSFR-Forecast module

Abacus360 Banking is a comprehensive standard software solution established in the market in the area of regulatory reporting, risk management and tax reporting. The NSFR forecast module is based on data and processes that Abacus360 Banking is already using for NSFR regulatory reporting. The module is integrated in Abacus360 Banking and uses the native NSFR calculation kernel. Various functions are available for the NSFR forecast solution, which support liquidity management with a focus on the NSFR ratio1.

Summary of the functions

Forecast

  • Numerous forecast days possible with flexible prolongation of expiring transactions
  • Considerations of balance sheet projections
  • Re-calculation of maturity-related data e.g. residual maturity, book value

Forecast - pledge of transactions

  • Roll-over of relations between deals and collaterals to the forecast date
  • Efficient re-calculation of changes in complex dependencies 

Forecast - new business

  • Intuitive input of individual transactions to include: e.g. funding planning, planned new business
  • Integration of single transaction sumulation and forecast

Analytics

  • Different levels of aggregation to analyze the results. Comparability at all levels
  • Export function for further analysis in e.g. Excel

1The functionalities of the NSFR Forecast module are subject to changes of regulations, customer requirements and further development.

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