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Basel III LCR Reporting Products and Risk Module Needs

Article Quant Q&A · Author: athos
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Summary

The document names vendor systems reported to support Basel III liquidity coverage ratio reporting. It identifies Moody’s RiskAuthority, formerly Fermat CAD, as a planned LCR solution, and cites OneSumX from Wolters Kluwer and SunGard’s Ambit Focus Liquidity Risk module as other options. Ambit Focus is described as supporting both LCR and net stable funding ratio reporting under Basel III liquidity rules.

The answer also explains why reporting may require more than a liquidity module: LCR can affect market risk through contracts created from liquidity lines and credit risk through negative exposures. Depending on the institution’s needs, market and liquidity reporting modules or a broader package may be required. These are brief, historical product mentions rather than an independent comparison; the document gives no evidence on product quality, pricing, implementation, or current availability.

Key ideas

  • Several vendor products are identified as supporting or planning to support Basel III LCR reporting.
  • OneSumX may require market and liquidity reporting capabilities because LCR affects both risk areas.
  • Ambit Focus Liquidity Risk is described as covering both LCR and NSFR reports.
  • The discussion gives no comparative evidence on pricing, quality, or present-day product status.

Tags

Risk managementFixed income
Full text
# which product supports Basel III LCR (liquidity coverage ratio) reporting?


# which product supports Basel III LCR (liquidity coverage ratio) reporting?












After Jan 2013 change, now the main reporting changes requested from Basel III is LCR, Liquidity Coverage Ratio.

Moody's has a product named RiskAuthority (previously Fermat CAD) that is going to support LCR, or that's what they say.

Does any one know of any other products on the market? and if so how is it (quality, pricing etc)?

## Answer by user7056 (score 1, accepted)

https://quant.stackexchange.com/a/8162

OneSumX (FRS Global - now officially Wolters Kluwer Financial Services).

Due to the impact on market risk (explicit creation of new contracts from available liquidity lines, firstly affected by interest rate risk) and on credit risk (negative exposure to be considered in the LCR, and not simply floored to zero) you might need both the market and liquidity reporting modules, if not the full package.

http://www.frsglobal.com/solutions/basel-iii.html

## Answer by athos (score 3)

https://quant.stackexchange.com/a/8159

So far I only know that SunGard has a product named "Ambit Focus", where its module "Liquidity Risk" supports the LCR and NSFR reports according to Basel III liquidity rules.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.