Domain 03 · Liquidity Risk
LCR, NSFR, intraday liquidity,
survival horizon.
40 functions covering the full liquidity risk management lifecycle — from LCR and NSFR computation through to intraday liquidity monitoring, stress scenarios and ILAAP frameworks. Aligned with Basel III, EBA ILAAP guidelines and PRA expectations.
40
Functions
6
Categories
Basel III
Standard
ILAAP
Compliant
Function library
40 Liquidity Risk functions
Showing all 40 functions
Key capabilities
Built for institutional precision
LCR & NSFR Computation
Full LCR and NSFR from first principles — HQLA classification (L1/L2A/L2B), runoff and inflow rates per Basel delegated regulation. Computes both daily and month-end ratios.
Intraday Liquidity Monitor
Real-time intraday liquidity tracking against peak and average positions. Flags breaches of internal limits and produces EBA intraday liquidity reporting metrics.
Survival Horizon Calculator
Stress-scenario survival horizon under idiosyncratic, market-wide and combined stress. Identifies the earliest day the liquidity buffer would be exhausted under each scenario.
Regulatory alignment
Standards covered
✓
Basel III — LCR (CRR Article 412)
LCR ≥ 100% at all times. HQLA classification, runoff rates and inflow caps per delegated regulation.
✓
Basel III — NSFR (CRR2 Part 6)
NSFR ≥ 100%. ASF and RSF factors by product type, counterparty and residual maturity.
✓
EBA ILAAP Guidelines (EBA/GL/2016/10)
Internal Liquidity Adequacy Assessment Process — stress scenarios, survival horizon and buffer sizing.
✓
PRA Supervisory Statement SS24/15
PRA expectations on liquidity risk management, stress testing and governance for UK firms.
API example
Liquidity Risk endpoint
POST /api/v1/liquidity/lcr
{
"hqla_level1": 850000000,
"hqla_level2a": 120000000,
"net_outflows_30d": 700000000
}
→ lcr_ratio: 138.57%
→ hqla_total: 970000000
→ buffer_surplus: 270000000
{
"hqla_level1": 850000000,
"hqla_level2a": 120000000,
"net_outflows_30d": 700000000
}
→ lcr_ratio: 138.57%
→ hqla_total: 970000000
→ buffer_surplus: 270000000
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