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Treasury Measures in the LCR Forecast with msg.ORRP – Liquidity management that is closer to reality

Treasury transactions often only affect the LCR once they have been processed in the portfolio. With the new functionality in msg.ORRP, the impact of planned or completed treasury transactions can be simulated and assessed even before they are formally incorporated into the portfolio.

27/08/26

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Bank Controlling, Regulatory Reporting, Risk Management, Software

Treasury Measures in the LCR Forecast with msg.ORRP – Liquidity management that is closer to reality

Contents

9th MaRisk Amendment: Three years is no free pass – why validation should now be even more risk-basedThe 9th amendment to MaRisk introduces simplifications for savings banks, co-operative banks and other smaller institutions, particularly with regard to validation. In future, a standard validation carried out every three years will suffice for risk assessment and parameterisation. An overview.

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The SCHUFA shadow database: a data protection scandal or a necessity for the credit industry?The storage of historical data by Germany's major credit bureau (SCHUFA) serves the legitimate purpose of testing new scoring methods specifically for bank customers, which would not be possible with anonymised data. Nevertheless, the GDPR compliance of this data processing and the lack of information about it remain controversial and must still be definitively clarified from a legal standpoint.

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High-NPL institution: Requirements for NPL strategy, governance and operational organisationIn view of the current economic environment and market conditions in the commercial property sector, we are currently observing a deterioration in credit quality across the portfolios of credit institutions in various instances. In individual cases, this results in the institution being classified as a “high-NPL institution”. This has prompted us to provide an overview of the specific regulatory requirements applicable to high-NPL institutions.

EBA Supervisory Reporting Simplification or ComplicationFewer templates, less complexity, less effort?The European Banking Authority’s (EBA) objectives are clear. For banks, however, the Supervisory Reporting Simplification marks the start of a comprehensive transformation of data, processes and system landscapes.

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Why Europe’s banks need to reassess geopolitical risksGeopolitical risks are having a greater impact on the eurozone than on the US. For banks, this increases inflation, market and credit risks. Geopolitics is therefore becoming a permanent factor in risk management, scenario planning and early warning systems.

Bundesbank’s Targeted Review of the design of lending guidelines in the LSI environmentThe Bundesbank is currently conducting a targeted review of the design of lending guidelines at selected institutions. This article outlines the scope of the information gathering process, provides a regulatory assessment and discusses the objectives associated with the data collection.

New opportunities for real-time LCR management using current treasury transactions

The Liquidity Coverage Ratio (LCR) is one of the key performance indicators in banks’ liquidity management.¹ At the same time, a challenge frequently arises in practice: treasury decisions are made on an intraday basis, whilst many control instruments are based on data from the most recent position processing run. This creates an information gap between current market developments and the available basis for decision-making.

The new Treasury Measures in the LCR Forecast functionality of the Open Risk & Reporting Platform msg.ORRP closes precisely this gap by enabling the effects of planned or already completed treasury transactions to be simulated and assessed even before they are formally incorporated into the portfolio.

More up-to-date information for better decisions

Reliable liquidity management relies on up-to-date information. Particularly during periods of market volatility or when actively managing the liquidity buffer, individual treasury transactions can have a significant impact on future LCR trends.

Treasury Measures in the LCR forecast make it possible to specifically include such transactions in the forecast analysis. This provides treasury and liquidity management teams with an indication, even during the trading day, of how planned measures may affect the future liquidity situation. The results complement the existing forecast figures based on the current position and provide additional transparency for decision-making.

From looking back to forward-looking management

The classic LCR forecast already provides valuable information on the future development of the regulatory liquidity ratio. Treasury Measures takes this approach a step further.

Rather than focusing solely on the impact of transactions that have already been processed, it is now also possible to analyse measures that are still in the decision-making or implementation phase. As a result, the forecast is evolving more into a tool for active management:

The focus is not only on the question ‘How is the LCR developing?’, but increasingly also on ‘What effect would a specific measure have?’.
Dr Sven HeumannLead Business Consultant, msg for banking ag

A wide range of applications for typical treasury activities

The first phase of the system already supports a wide range of relevant treasury transaction types. These include, amongst others:

repo and reverse repo transactions,
forward repos,
cash investments,
in-house issues, and
securities lending and borrowing transactions.

For these transactions, the expected liquidity effects are automatically incorporated into the forecast analysis.

This provides a consistent view of holdings and transactions, which is an important prerequisite for efficient and transparent liquidity management.

Outlook: Integrated management of measures

The introduction of Treasury Measures is more than just a one-off extension of the LCR forecast. It also forms the basis for the further integration of measures into risk and liquidity management. Internally, the function is therefore already regarded as the first building block of a more comprehensive set of measures.

For users, this means one thing above all else:

Greater transparency, more up-to-date information and better support for decision-making in an area where the quality of decisions depends largely on how up-to-date the available information is.
Dr Sven HeumannLead Business Consultant, msg for banking ag

Conclusion

Treasury Measures represents a significant functional enhancement to the LCR forecast. Banks can analyse the impact of current treasury activities at an early stage and align their liquidity management even more closely with future developments. The solution bridges the gap between day-to-day treasury operations and regulatory liquidity management – thereby making the LCR forecast more forward-looking, up-to-date and practical.

Software msg.ORRP Open Risk & Reporting Platform

Find out more about the msg.ORRP platform

With msg.ORRP, banks can combine regulatory reporting, risk management and financial controlling on a single integrated platform – ensuring consistent data, regulatory compliance and future-proof, end-to-end bank management. Further information on msg.ORRP can be found on our website.