After the 2007 banking crisis, the G20 launched an overhaul of banking regulations, known as Basel III. In addition to changes in capital requirements, Basel III contains entirely new liquidity requirements: the Net Stable Funding Ratio (NSFR) and the Liquidity Coverage Ratio (LCR).

    Also, on November 1st, 2013, the Federal Reserve Bank (FRB) released the 5G proposal, a new approach for quantitative funding and liquidity monitoring and supervision.

    Our Delivery

    A combination of Waterfall and Agile approach was used to deliver the required automated IT solution.

    Project team formation was a first step before Project scoping and BRD. Data Acquisition was next with data source identification for the required Trades, Balances, and Reference Datasets. We followed up with Data harmonization scope and approach. A full inventory of data attributes was created for all source feeds. Attributes required for 5G report were also identified. The functional specifications were created to cover enrichments and calculations after which we started the design of the process flows, logical data model, Enrichment logic details, manual uploads details, data feed specifications and layouts. We finally drove the project through the usual delivery processes from Build, UAT, Go-live and business adoption.

    Our Value

    The automated 5G solution collects quantitative information on selected assets, liabilities, funding activities, and contingent liabilities on a consolidated basis and by material entity subsidiary. It enables the bank to submit the consolidated data in compliance with Fed requirements. The 5G solution provides the foundational components required to feed the LCR calculation. LCR enables the bank to better monitor its liquidity risk profile and will improve the bank’s ability to absorb shocks arising from financial and economic stress.

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