RisKIT · Prudential models · Liquidity
RisKIT model 400 is a liquidity stress testing and ILAAP model in native Excel, built by RiskTAE for banks, building societies and other regulated firms that have to show how much liquidity they hold, how long it lasts under stress and how they would fund a gap.
It calculates the liquidity coverage ratio, the net stable funding ratio and the survival period, and runs four scenarios over three years.
You buy it once under a perpetual licence, every formula is open to your validators and your supervisor, and your treasury team can run it next year without us.
By Mark Dougherty, CPA (CAN)Updated
The models
Two model numbers, one liquidity engine.
| Model | Framework | What it is for |
|---|---|---|
| 400 | Basel III liquidity and funding, the global standard | The ILAAP engine: LCR, NSFR, lending to stable funds ratio, overall liquidity adequacy rule and survival period over three years, with gap analysis, stress and reverse stress testing and the Pillar 3 disclosure report. Also the US LCR and capital planning and stress testing report. |
| 401 | Basel II and III hybrid | For jurisdictions, often emerging and frontier markets, that apply Basel II Pillar 1 capital with some Basel III liquidity, such as the LCR only. Built on request to the mix the local regulator applies. |
There is no separate stress testing model: the scenario engine sits inside model 400 (see stress testing models). Unlike the ICAAP, the ILAAP has no formal Pillar 2A or 2B buffer: the PRA sets Pillar 2 liquidity as individual liquidity guidance, beyond the LCR buffer, after its liquidity review of the firm.
What it calculates
Model 400 is a liquidity stress testing model and an ILAAP model in one workbook.
One caution. The survival measure runs to 90 days as delivered, but the horizon is the board’s to set: SS24/15 expects the risk appetite statement to define the duration and type of stress the firm aims to survive, and the PRA’s Pillar 2 cash flow mismatch framework uses a 30-day granular LCR scenario and 90-day retail-only and wholesale-only benchmarks.
Sources: PRA SS24/15, January 2026; PRA SoP1/18 Pillar 2 liquidity, December 2023, paras 3.8 and 3.13; PRA Rulebook, LCR (CRR) Part, Article 4.
Data and set-up
The model takes its data from your own finance and treasury reporting; there is no platform to integrate.
The inputs are what the calculations need: balances and contractual cash flows by currency, the liquidity buffer, and the behavioural and stress assumptions, such as how retail deposits behave under stress. Input and output cells are colour-coded separately.
What usually breaks when a firm moves off a home-built spreadsheet is the data cut: the LCR from one extract, the maturity ladder from another, so the 30-day ratio and the survival period describe different balance sheets. Fix that before the first run, and set the model up to be re-run at short notice: in a stress the PRA expects key data on liquidity buffers, contractual and stress-tested cash flows, wholesale counterparties and FSCS balances.
Source: PRA SS24/15, January 2026, chapter 6.
Validation and audit
Every formula is visible and there is no VBA, so a validator tests the model with the tools they already use.
Governance stays with your firm, as with any internal model. The two tests a validator usually runs first, reconciling the model’s LCR to the last return and checking that stress outflow rates are not hard-coded inside formulas, can both be evidenced from the open formulas and the register.
PRA timetable
Current SS24/15 in force
The model serves the Internal Liquidity Adequacy Assessment Part of the PRA Rulebook and SS24/15, the PRA’s approach to supervising liquidity and funding risks, current since 20 January 2026.
Sources: PRA Rulebook, Internal Liquidity Adequacy Assessment Part, chapters 11 to 13, and Liquidity (CRR) Part, Article 414; PRA SS24/15, January 2026, para 2.40A; PRA PS4/26, 20 January 2026.
Licence
You pay once. The licence is perpetual, for internal use by the legal entity named in your order, with no subscription and no annual maintenance fee.
It comes with a user manual and remote support for set-up, data entry and early use. A regulatory logic error or functional defect in the model as delivered is corrected free of charge, and a regulatory update commitment covers statutory changes to the rules it is built on, for the update period in your order. Prices are on request; see the full licence terms.
Implementation and support
Our team implements the model wherever you operate: a walkthrough against your balance sheet, configuration, a first run with your own data and training for the people who will own it, typically in weeks rather than months.
The same people support it afterwards, and again when the team changes, so a new head of treasury does not start from a blank workbook.
The set-up decision that matters most is the behavioural assumption on retail deposits under stress. Use your own evidence and document why: in our experience it is the first assumption a reviewer challenges.
Risk Advisory can validate the model on your data, tailor it, or write or review the ILAAP built on it, under a separate agreement. The implementation and support page has a typical set-up.
FAQ
No. It measures one, to 90 days as delivered, and the horizon can be tailored to the duration and type of stress your risk appetite statement says the firm aims to survive. The board sets it; the model shows whether each scenario meets it.
It produces the calculations the document rests on: the ratios, gap analysis, stress and reverse stress results, contingency funding sizing and the Pillar 3 disclosure report. The narrative and the board’s conclusions are yours to write, with Risk Advisory if you want help.
Yes. Model 400 follows the Basel III global standard; each national regulator sets its own implementation dates and rules. Where a regulator applies Basel II capital with part of Basel III liquidity, model 401 is built to that mix on request.
Insights
The ICAAP is a bank’s own assessment of whether it holds enough capital for its risks; the ILAAP asks the same question of its liquidity and stable funding. The two sit in different Parts of the...
By Mark Dougherty, CPA (CAN) · 7 min read
Most UK banks and building societies that meet the nine SDDT criteria, and expect to keep meeting them, should join the strong and simple regime. From 1 January 2027 an SDDT holds one Single Capital Buffer...
By Mark Dougherty, CPA (CAN) · 6 min read
From 1 January 2027 an ICAAP has to be written on a Basel 3.1 basis. The PRA set this out in PS15/26: ICAAPs signed off by boards in 2026 should include an impact assessment of Basel...
By Mark Dougherty, CPA (CAN) · 8 min readNext step
In 45 minutes we share a screen and walk through the model closest to what you need, using sample data.
Tell us which models you want to see. We will set up a 45-minute walkthrough with sample data.
Prefer email? advisory@risktae.com or +44 20 3996 9599. We use these details only to reply to you: privacy notice.