Liquidity Requirements under Basel Framework and CRR (LCR & NSFR)

Liquidity Requirements under Basel Framework and CRR (LCR & NSFR)

About this course

Learn regulatory liquidity requirements, including the Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) under the Basel capital framework and Capital Requirements Regulation (CRR), and how to apply them effectively in liquidity risk management and reporting.

  • Explain the concepts, purpose, and regulatory significance of liquidity prudential requirements under the Basel Capital Framework and CRR.
  • Describe the step-by-step methodology used to calculate the Liquidity Coverage Ratio (LCR).
  • Identify and understand the components of High-Quality Liquid Assets (HQLA) used in LCR calculations.
  • Analyze how total net cash outflows are determined under regulatory stress scenarios for LCR.
  • Demonstrate the formula and computation process for the Net Stable Funding Ratio (NSFR).
  • Examine the classification of Available Stable Funding (ASF) and Required Stable Funding (RSF) in NSFR calculations.
  • Interpret regulatory thresholds and understand how calculated ratios reflect a bank’s liquidity position.
  • Provide practical examples illustrating the calculation process for both LCR and NSFR.

  • Understanding how to calculate LCR and NSFR
  • Identifying key components used in both ratios
  • Interpreting liquidity ratios for decision-making
  • Supporting regulatory compliance
  • Improving liquidity risk awareness

Course Curriculum

1. Overview of Liquidity Coverage Ratio (LCR) Requirements

20 min.
  • Liquidity coverage ratio (LCR) minimum requirements
  • Liquidity coverage ratio (LCR) components
  • Defined thresholds for High-Quality Liquid Assets (HQLA) reserve components

Designed for:

Target Audience

  • Treasury and Liquidity Management Teams
  • Risk Management Professionals
  • Finance and Regulatory Reporting Teams
  • Internal Audit Professionals
  • Senior Management and Decision Makers

Course materials

Videos and Seminar Notes

Access comprehensive seminar videos and notes that cover topics delivered during the sessions, helping you review and deepen your understanding at your own pace.

Quiz

Test your knowledge with interactive quizzes designed to reinforce learning and ensure you're on track with the course material.

Certificate of Completion

Receive a certificate of completion to showcase your achievement and enhance your professional credentials upon finishing the course.

165,00 
Enrollment is now paused

Rate this course

4.7
Total 13 Ratings
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9 Ratings
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IA
3 weeks ago
Kopumā ļoti noderīgas macibas. Ļoti patīk piedavatais apjomigais materials, atsauces uz EBA un citiem dokumentiem, viedokliem, atbildēm. Neieliku 5 zvaigznes, jo gribejas varbut vairak praktisku darbošanos pašam, it sevišķi man, kas ikdiena pats reportu negatavo. Ļoti noderīgi ir, ka var turpinat iesniegt jautajumus, ja tādi rodas, pārdomajot kursā dzirdēto. Paldies!
VV
3 weeks ago
Kopumā seminārs bija lietderīgs, jo uzmanība tika pievērsta arī pāris punktiem, kurus banka interpretē nedaudz savādāk, līdz ar ko ir jēga šos punktus salīdzināt ar bankas interpretāciju.
Sapratu, ka tika prezentēta EBA interpretācija par LCR regulu, ko var uzskatīt par "labo praksi", taču banka savā darbībā vadās pēc CRR & LCR regulu prasībām un LB Likviditātes riska noteikumiem, un EBA vadlīnijas tai nav tieši saistošas.
Varbūt seminārs varēja būt vairāk orientēts uz medium-advanced līmeņa klausītājiem, kuri saskaras ar šo rādītāju aprēķināšanu, modelēšanu un interpretēšanu, un neiekļaut LCR un NSFR "pamata informāciju", lai gan NSFR aprēķina metodika dažiem var būt mazāk zināma, un noskaidrojās, ka dalībnieki izmanto NSFR pilno pieeju...
Seminārā minētā tēze, ka, no teorētiskā viedokļa, var būt ok, ja LCR tiek nodrošināts ~100% līmenī, var nebūt laba pieeja no bankas praktiskā viedokļa, jo pastāv riski saistībā ar LCR rādītāja uzturēšanu tik zemā līmenī, arī reputācijas riski, un noguldījumu tālākas samazināšanās riski, kas var būt saistīti ar tik zemu LCR rādītāja līmeni.
Paldies!
Liels paldies par šo kursu! Bija ļoti noderīgi. Daudz piemēru no prakses. Ir lietas, par kuram iz vērts padomāt.
Ļoti vērtīgas apmācības! Kurss palīdzēja padziļināti izprast LCR un NSFR rādītāju ietekmi un uzraudzības prasības. Sarežģītas regulatīvās tēmas tika izskaidrotas saprotami un ar praktiskiem piemēriem. Paldies par iespēju mācīties!
Ļoti labi un kvalitatīvi
EV
4 weeks ago
Daudz vērtīgas informācijas. Pasniegts vienkāršā, viegli uztveramā valodā. Paldies!
IL
4 weeks ago
Kurss bija ļoti informatīvs.
Tika padziļināti jautājumi, kuri ir aktuāli darbā, kā arī devāt plašāku redzējumu par atbilstību regulējumam un kopsakarībām.
Liels paldies!
AZ
4 weeks ago
Paldies! Kurss bija noderīgs, informācija tika pasniegta saprotami. Ļoti pozitīvi tiek novērtēts, ka ir pieejams mācību materiāls, kurš ir ļoti apjomīgs un satur svarīgu informāciju. Noteikti tas tiks izmantots darba vajadzībām. Labprāt apmeklētu arī citus kursus, būtu noderīgas apmācības par procentu likmju risku u.c.
AT
4 weeks ago
Generally good training, although a focus could be shifted to stylized examples typical for local banks rather than providing an exhaustive LCR/NSFR overview
OR
4 weeks ago
Tiešām ļoti lietderīgi!
AG
4 weeks ago
Daudz vielu pārdomām.
AS
4 weeks ago
Kurss man ļoti patika — tas bija skaidrs, labi strukturēts un noderīgs. Tēmas par LCR un NSFR tika izskaidrotas saprotami, ar praktiskiem piemēriem, kas palīdzēja labāk izprast šo rādītāju nozīmi ikdienas darbā. Kopumā vērtēju kursu ļoti pozitīvi.
ML
4 weeks ago
Thanks for the course - it was thorough and detailed. As someone who is not doing the calculations myself though, I would appreciate a bit more by way of a general introduction to the logic of both ratios, just before getting into the details. But - highly useful anyway, thanks!

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