1. Asset Liability Management User Guide
  2. Interest Rate Risk in the Banking Book (IRRBB)
  3. Identify Intra and Inter-Company Accounts

44.5 Identify Intra and Inter-Company Accounts

IRRBB framework applies to large internationally active banks on a consolidated basis. To enable banks to identify internal and external contracts for consolidation purpose, ALM provides logic to classify each contract into the following categories based on legal entity and customer:

  • Intra: If the customer is part of legal entity hierarchy and is a child or descendent of legal entity of account.
  • Inter-company: If the customer is part of legal entity hierarchy and is not a child or descendent of legal entity of account.
  • External: All other contracts.

A simple dimension Customer Affiliate Category is available, which has the following three seeded val­ues:

  • EXTERNAL
  • INTRACO
  • INTERCO

The Customer Affiliate Category attribute is available in all instrument tables (FSI_D) and FCT_ALM_ACCOUNT_SUMMARY tables. These tableshave values 1, 2, or 3 and will be populated by T2T when data moves from staging to processing. The attribute can be used in conditional assumption and data filter wherever applicable in the application.

The Customer ID attribute in Legal Entity (LE) Dimension is used to identify the customer ID of a legal entity that is used to book contracts in the source system.