Role, inputs, outputs
Produce, stress and project the LCR.
Inputs
Cash flowsSecurities & counterparty referencesBalance sheet projection
LCR Insight Coredeterministic engine
Outputs
LCR ratioDrill-down to the finest granularity (security)Reverse stressSimulationILAAP and CFPMulti-currency, by entity and for the groupBridge and multi-bridge between reporting datesAnalysisRegulatory, management and custom reporting
Role
LCR (liquidity coverage ratio) calculation, multi-currency and on a group consolidated basis: its components (HQLA, outflows, inflows), LCR changes between reporting dates and its projected trajectory.
Inputs
Cash flows, securities and counterparty references, balance sheet projection. All data is classified in an LCR base that can be checked, exported, corrected and re-imported.
Outputs
- Ratios by currency, by entity and for the group
- Industrialised regulatory reporting
- Management reports and custom reports
- Bridge and multi-bridge between reporting dates, with drill-down by component down to the security
- Regulatory controls on the ratio and its caps
Analysis
- LCR at N days (for example 35 days)
- LCR of a single entity or as a contribution to the group
- Quantified explanation of the ratio change between two reporting dates
- Preset and configurable analysis routines
Stress and projection
A one-sentence shock, on the LCR at the reporting date or projected.
- Quick stress in conversation: a shock described in one sentence (“−20% on retail deposits”, “security FR… downgraded to A”) and the ratio is recomputed immediately.
- LCR projection: the ratio at each horizon, computed from the projected balance sheet (PMT) or directly from the projected LCR items, with an auditable calculation.
- Reverse stress testing: the scenarios that lead to a threshold being breached.
Stress configuration
Reusable scenarios.
- Base: the reporting date or the projection.
- Nature: idiosyncratic, systemic or combined.
- Shock on one or several items, or on securities.
- Shock in %, in amount or in rating.
- Instantaneous shock, or progressive from one horizon to the next.
- Scenarios named, versioned and replayed in conversation.
Edit a stress
The scenario is saved, not computed. To get the ratio, cite it in conversation: “what is the LCR under the … stress”.
1Base
The dataset the stress is applied to. It determines the addressable items.
Spot (reporting date, 30 days)LCR base at the reporting date · full code set, by currency and entity.
ProjectedWorkbook projection at the declared horizons: shock on LCR items or on the projected balance sheet (MTP).
2Nature
Scenario qualification, for filing and reporting. No effect on the calculation.
IdiosyncraticInstitution-specific shock: counterparty default, downgrade, deposit withdrawal.
SystemicMarket shock: HQLA depreciation, closure of funding markets.
CombinedSimultaneous idiosyncratic and systemic shock.
3Granularity
Number of stressed items · checked on save.
SensitivityA single item is stressed.
ScenarioSeveral items are stressed jointly, on both assets and liabilities.
4Time profile
Specific to the projected base: the regulatory ratio is a point in time.
InstantaneousA single amplitude, applied at every horizon.
ProgressiveOne amplitude per horizon · a stress vector, entered below.
5Stressed items
One shock per horizon, in %. Type it in the item row; clearing it removes the item.
LCR itemsLCR item202620272028
HQLA4 stressed items✓✓✓
Outflows1 stressed item✓✓✓
Inflows1 stressed item✓✓✓
6Scenario name
Label
Sovereign debt crisis
Cited in conversation as
crise_de_la_dette_souveraine · will become version 4Summary
HQLA4 items · 2026 → 2028
Outflows1 item · 2026 → 2028
Inflows1 item · 2026 → 2028
Ready to save.CancelUpdate
Illustrative example · fictitious data
What is the projected LCR under the
crise_de_la_dette_souveraine stress?RIALTO · Kernel
Sovereign debt crisis · systemic stress on the projected path, 6 items shocked
- 2026 : 161.0 % → 141.3 % (−19.71 pt)
- 2027 : 162.6 % → 130.7 % (−31.86 pt)
- 2028 : 164.3 % → 131.9 % (−32.41 pt)
Projected path · central and stressedCard↗
TableChartLine ▾CopyPNG
Sovereign debt crisis · TOTAL
Central (%)Stressed (%)
Stress · shocked itemsCard↗
TableChartCopyPNG
Sovereign debt crisis · TOTAL · GROUP · GROUP
Item
Section
Code
2026 (%)
2027 (%)
2028 (%)
Sovereign and public sector securities
HQLA
HQLA_L1_PUBLIC
−10
−15
−15
Public sector securities
HQLA
HQLA_L2A_PUBLIC
−10
−15
−15
Extremely high quality covered bonds
HQLA
HQLA_L1_EHQCB_COVERED
−5
−10
−10
Deposits with the central institution (network, art. 16)
HQLA
HQLA_L1_EHQCB_CENTRAL
−5
−10
−10
Financial customer deposits
Outflows
OUT_FINANCIAL
15
25
25
Claims on financial institutions and central banks
Inflows
IN_FINANCIAL
−10
−20
−20
Stressed projected LCR · where the ratio comes fromCard↗
TableChartCopyPNG
Sovereign debt crisis · TOTAL · GROUP · GROUP · each term expands into its LCR items
Term
2026
2027
2028
Liquidity buffer (HQLA)
5 956 198 965
5 868 317 060
6 005 813 381
Total outflows
8 048 015 989
8 335 286 602
8 514 171 205
Inflows retained
3 833 808 817
3 846 592 190
3 959 491 641
Net outflows
4 214 207 171
4 488 694 412
4 554 679 563
LCR ratio
141.34 %
130.74 %
131.86 %
Illustrative example · fictitious data
ILAAP · PFU
Contribution to the ILAAP and CFP
Projection and stress of the ratios for the ILAAP (internal liquidity adequacy assessment process) and CFP.
Functional scope
What the module covers.
LCR dashboardAuditable LCR baseQuick stress in conversationStress configurationReverse stressNSFR projectionBridge and multi-bridge between reporting datesDrill-down to the finest granularity (security)Industrialised regulatory reportingConfigurable analysis routinesLCR at N daysEntity contribution to the groupMulti-currency
N days
the LCR beyond 30 days
T1…Tn
the LCR projected horizon by horizon
Group
each entity, alone or as a contribution
ISIN
stress and drill-down to the security
See RIALTO reason over your numbers.
We simulate a full analysis with your data types and the scenario of your choice.