ILAAP, ALM, LCR, NSFR Report validator

About the Product

This product is designed for banking professionals, consultants, implementation teams and model auditors responsible for asset liability management and risk management model testing, validation and audits within banking and other deposit taking institutions. The tool is designed to validate report templates using small sample datasets from core banking applications.

You would benefit from the product if you use purchased software or legacy systems for ALM & Basel III report generation and analysis rely on reports generated by the ALM and risk functions of the bank. The validator serves as a tool that can be used to full fill the annual model audit and validation recommendations under the Basel supervisory guidelines.

ILAAP, ALM, LCR and NSFR reports require fairly complex calculations. Rather than build a model again and again for each client or report, the ILAAP, ALM report validator requires data and parameters to be imported into the input sheet to generate the required templates. Once data and parameters have been set and finalized, it can be used as a quick validation cross check on reports being generated.

In addition to working as a validator by exposing the underlying calculations in the working tabs for each report the validator also serves as a great teaching tool for understanding how ALM, ILAAP and LCR reports are actually generated.

Please note that this product is only a validating tool, not a reporting platform.

This product is designed to de-mystify the black box that surrounds Asset Liability Management and Basel III Liquidity Framework Reporting. The ILAAP, ALM, LCR, NSFR report validator is an EXCEL spreadsheet that takes in the financial statement/ balance sheet data as input and then transparently shows the calculations and generates output for the following 10 reports:

Asset Liability Management (ALM)

• Price Sensitive Gap
• Liquidity Gap
• Rate Sensitive Gap
• Cost to Close
• Net Interest Income at Risk
• Earnings at Risk
• Fall in Market Value of Equity (MVE)
• Balance Sheet Duration

Basel III Liquidity Framework

Two reports that are key reforms of Basel III liquidity framework to promote a more resilient banking sector:

• Liquidity Coverage Ratio (LCR)
• Net Stable Funding Ratio (NSFR)

The EXCEL spreadsheet also includes a “Charts and Graphs” dashboard that gives an at-a-glance view of the liquidity profile of the entity – from the distribution across asset and liability categories that can be viewed for different residual maturity buckets.

The STEP BY STEP GUIDE is a detailed guide to entering data, report parameters and using the EXCEL Spreadsheet and lists the caveats and limitations to using the EXCEL spreadsheet.

Product Specifications

• Input:
  • 500 rows of assets & 500 rows of liabilities
  • Report parameter definition
  • Asset & liability category dropdown definition
  • 262 days revaluation rates for 21 tenors
• Working: 10 working tabs with exposed calculations including an individual transaction calculator
• Output: 11 reporting tabs consisting of the 10 reports & 1 charts and graphs dashboard
• Supporting document: ILAAP, ALM & Liquidity Report Validator - How to guide

Prerequisites

Some familiarity with EXCEL, financial statements, local markets and asset liability management.

Target Audience

This product is aimed primarily at banking professionals and individuals responsible for asset liability management and risk management within banks, insurance companies and mutual funds who depend on purchased software or legacy systems for ALM report generation and analysis as well as for those who rely on reports generated by the ALM function of the bank.