1. User Guide
  2. Functional Details
  3. LRS Data Flow and Dimensions

A.1 LRS Data Flow and Dimensions

This section provides details on the movement of data from staging area or tables to the processing area or tables. The application supports multiple pre-configured table-to-table (T2T) definitions and Data Transformations (DT) for moving data from the staging tables to the processing tables.
This section details the movement of the cash flow data.
  1. When OFS ALM is installed:
    The data related to the cash flows generated by the ALM cash flow engine is present in the FSI O Process Cash Flow table. In order to use these cash flows in the LRM system these cash flows are moved to the Fact Process Cash Flow table as part of the ALM – LRM Integration batch execution.
    Data moves from Fact Process Cash Flow table to Fact Account Cash Flow table. The cash flows in Fact Process Cash Flow table are bucketed, that is aggregated at an account- time bucket combination, as they are moved to Fact Account Cash Flow table. This is done as part of the following T2T’s:
    • LRM Time Bucket Process Account Cash flow Population
    • LRM Open Maturity Time Bucket Process Account Cash flow Population

      Note:

      Cash flows are stored at the granularity of account and time bucket in the Fact Account Cash Flow table whereas they are stored at the granularity of account and cash flow date in the Fact Process Cash Flow table.
  2. When OFS ALM is not installed:
    Data on cash flows is expected as an input in the Stage Account Cash Flows table which also contains cash flow dates for all the accounts. The cash flows in Stage Account Cash Flows table are moved to Fact Account Cash Flow table. The cash flows are time bucketed, that is aggregated at an account- time bucket combination, as they move from Stage Account Cash Flows table to Fact Account Cash Flow table. This is done as part of the following T2T’s:
  3. Cash flows from Fact Account Cash Flow table move into Fact Aggregate Cash Flow table based on user selected aggregation dimensions and the mandatory dimensions. The aggregation dimensions supported by the application are as follows:
    Sl No. Name Description
    1 Basel Risk Weight This dimension stores the Basel Risk Weight.
    2 Brokered Deposit Type This dimension stores the broker deposit type. A broker is an individual or party (brokerage firm) that arranges transactions between a buyer and a seller for a commission when the deal is executed. There are several kinds of brokers, each of whom deals in specific types of transactions. Each broker provides different levels or type of service. List of Values for this table is "Reciprocal", "Sweep" and "Other".
    3 Brokered Transaction Flag This dimension indicates if there is a broker involved in the account acquisition. Financial institutions may use the services of a broker in acquiring high value accounts.
    4 Business Unit This dimension stores the data representing a particular Line of Business
    5 Cash Comingling Flag This dimension stores whether the cash flows are comingled of an SPV with its parent Legal entity or not. SPV is a special purpose vehicle that is structured for structured instruments such as Credit derivatives, Mortgage backed securities and so on.
    6 Collateral Covering Short Position Flag This dimension stores the asset level that indicates if collateral of the account is used for covering the short position.
    7 Control By Treasury This dimension indicates if asset is controlled by treasury or not. The stock should be under the control of the function charged with managing the liquidity of the bank (for example, the treasurer), meaning that the function has the continuous authority, and legal and operational capability, to monetize any asset in the stock. Refer Para 33 of Basel III The Liquidity Coverage Ratio and liquidity risk monitoring tools - January 2013 - bcbs238, for more details.
    8 Covering Banks Own Short Position This dimension stores the indicator, if underlying asset is utilized for covering short positions of bank. If the flag is yes then its covering banks short position.
    9 Credit Line Purpose This dimension stores the unique identifier for the credit purpose.
    10 Customer Child Flag This dimension indicates if customer is a legal entity which is a descendent to the legal entity of account in the bank’s organization structure.
    11 Customer Financial Entity Flag This dimension stores the flag that indicates if customer type is a financial entity or not.
    12 Domestic Customer Indicator This dimension indicates if customer is a domestic customer.
    13 Downgrade Trigger This dimension stores whether an account has downgrade trigger associated to it. If 'Y' then yes, else it is no.
    14 Effective Deposit Insurance Scheme Flag This dimension stores if insurance qualifies as effective insurance as per supervisory criteria. An “effective deposit insurance scheme” refers to a scheme (1) that has the ability to make prompt payouts, (2) for which the coverage is clearly defined and (3) of which public awareness is high.
    15 Effective Residual Maturity Bands This dimension stores the effective maturity band surrogate key.
    16 Escrow Account Flag This dimension stores the flag which states if the account is an escrow account or not. An escrow account can be used in the sale of a house. For example, if there are conditions to the sale, such as the passing of an inspection, the buyer and seller may agree to use escrow. In this case, the buyer of the property deposits the payment amount for the house in an escrow account held by a third party. This assures the seller - in the process of allowing the house to be inspected - that the buyer is capable of making payment. Once all of the conditions to the sale are satisfied, the escrow transfers the payment to the seller, and title is transferred to the buyer.
    17 Established Relationship Account Flag This dimension indicates whether the customer is holding more than one non-transactional account with the bank.
    18 Exposure of One to Four Family This dimension indicates if the exposure is in the form of one- to four family residential construction loans if the residences have been pre-sold under firm contracts to purchasers who have obtained firm commitments for permanent qualifying mortgages and have made substantial earnest money deposits, and the loans meet the other underwriting characteristics established by the agencies in the general risk-based capital rules.
    19 Facility Type This dimension stores the purpose of facility line available for liquidity, credit, both or other.
    20 Forward Starting Flag This dimension stores the flag indicating if the account is going to start in the future date or not. For example this flag will be "Y" for forward starting repos, forward starting options, and so on.
    21 Fully Covered Insurance Flag This dimension stores the flag which states if account is fully covered under insurance scheme.
    22 Guarantor Us Flag This dimension stores the flag to identify if the guarantor of the account is "US" or no. This is specifically required for US Federal Reserve classification.
    23 Highly Stable Flag This dimension stores the high stability indicator of an account.
    24 Home Jurisdiction Flag This dimension states if liquidity risk is taken in home jurisdiction.
    25 Hqla Collateral Substitution This dimension stores the flag, whether received collateral for this account is High Quality Liquid Asset (HQLA) and if it can be substituted for non-HQLA assets without the banks consent.
    26 Hqla Collateral Substitution Asset Level This dimension stores the asset level, whether received collateral for this account is HQLA, and it can be substituted for non-HQLA assets without the banks consent.
    27 Institutional Network Flag This dimension indicates if the banks are members of institutional networks of cooperative banks. Institutional networks of cooperative banks are legally autonomous banks with specific functions. This is required for application of run-off as specified in BCBS238.
    28 Insurance Coverage Type This dimension stores the unique surrogate key for insurance scheme coverage type.
    29 Intra Bank Identifier This dimension stores the intra bank identifier. Indicator is "Y" if customer of an account is within the organization structure of legal entity.
    30 Issuer Us Flag This dimension stores the flag to identify if issuer of the account is "US" or no. This is specifically required for US Federal Reserve classification.
    31 LRM - Affiliated Brokered Sweep Deposit Flag This dimension is used to identify if the brokered sweep deposit is deposited in accordance with a contract between the retail customer or counterparty and the bank, a controlled subsidiary of the bank, or a company that is a controlled subsidiary of the same top-tier company of which the bank is a controlled subsidiary.
    32 LRM - Customer Affiliated to Legal Entity Flag This dimension indicates if customer is an affiliate of legal entity of account.
    33 LRM - Customer Consolidated Subsidiary of Financial Sector Entity Flag This dimension indicates whether customer is a consolidated subsidiary of a financial sector entity. A consolidated subsidiary means an entity that is owned by the parent company and whose financial statements are included in the consolidated financial state.
    34 LRM - Customer Depository Institution Flag This dimension stores whether the customer is a depository institution.
    35 LRM - Customer Financial Entity Or Consolidated Subsidiary Of Financial Entity This dimension stores whether the customer of an account is Financial Entity Or Consolidated Subsidiary of Financial Entity Flag.
    36 LRM - Customer is Sovereign or MDB or US GSE with 20 Percent Risk Weight This dimension stores whether the customer is Sovereign or MDB or US GSE.
    37 LRM - Deposit Institution Or Consolidated Subsidiary Of Depository Institution This dimension stores whether the customer of an account is a depository institution, or Consolidated Subsidiary Of Depository Institution Flag.
    38 LRM - HQLA Collateral Substitution Asset Level by Entity This dimension stores the substitutable collateral asset level surrogate key by the reporting entity.
    39 LRM - HQLA Eligibility Flag This dimension stores the flag whether the asset is HQLA Eligible or not.
    40 LRM - Issuer Subsidiary Flag This dimension is used to identify if the issuing entity is consolidated with the covered company or not.
    41 LRM - Mitigant Rehypothecation Maturity Greater than Original Maturity Flag This dimension indicates, if the underlying (received) rehypothecation maturity greater than asset exchange original maturity date and asset exchange maturity date is within liquidity horizon.
    42 LRM - Non Maturity Account Flag This dimension indicates whether the account product is non maturing or not.
    43 LRM - Non-Operational Deposit and Non-Brokered Deposit of a Wholesale Customer This dimension stores the Non-Operational Deposit and Non-Brokered Deposit of a wholesale Customer.
    44 LRM - Sold Exclusively In Retail Market Flag This dimension stores the flag that indicates if the account is sold exclusively in retail market.
    45 LRM - Third Party Placed Account Flag This dimension stores non brokered retail Third Party Deposits.
    46 LRM - Underlying Mitigant Hqla Eligibility Flag This dimension stores whether underlying received collateral is an hqla eligibility flag.
    47 LRM - Underlying Mitigant Segregated Flag This dimension indicates whether the underlying client pool asset or underlying asset received from counterparty is segregated, that is kept aside from the other assets including the bank's own assets.
    48 Large Customer Flag This dimension identifies whether the customer is a large customer.
    49 Netting Agreement This dimension stores indicator to identify if there is netting agreement associated with the record.
    50 Non Performing Asset This dimension states if account is fully performing. The loan has not defaulted in the past and thereby the bank has no reason to expect a default within the 30-day time horizon.
    51 Operational Deposit Flag This dimension indicates if the nature of the account is operational. An account where a clearing, custody or cash management relationship exists between the bank and its customer is classified as an operational account.
    52 Option Embedded Flag This dimension indicates if the security has an embedded option within it. Embedded option refers to a provision in a security that is an inseparable part of the instrument. An embedded option is a special condition attached to a security, and in particular, a bond that gives the holder or the issuer the right to perform a specified action at some point in the future. An embedded option is a part of another security, and as such does not trade by itself. Nevertheless, it can affect the value of the security of which it is a component. A security is not limited to one embedded option, as there may be several embedded options in one security.
    53 Option in or out of the Money Indicator This dimension stores the identifier to know if option is in the money (I), out the money (O) or at the money (A). These are terms associated with derivative options.
    54 Primary Market Issuer Flag This dimension indicates if the covered company is the primary market maker for issued securities.
    55 Rehypothycated Flag This dimension indicates the rehypothecation status of asset.
    56 Residual Maturity This dimension indicates the residual maturity.
    57 Residual Maturity Less than Liquidity Horizontal Flag This dimension indicates whether residual maturity period is less than liquidity horizon.
    58 Residual Maturity Time Bucket Skey This dimension stores the residual maturity time bucket surrogate key.
    59 Revocability Status This dimension stores the revocable status surrogate key. The values can be, "Conditionally Revocable" or "Unconditionally Revocable".
    60 Secured Status This dimension identifies the secured or unsecured borrowings Y=secured, N=unsecured.
    61 Segregated Collateral Flag This dimension indicates if the collateral received is from a pool of assets or posted individually for a specific purpose.
    62 Sell Flag This dimension is a sell/buy indicator for products such as euro, dollar and fed funds.
    63 Standard Customer Type This dimension stores the standard customer type.
    64 Structured Flag This dimension indicates if the issued product is structured.
    65 Trade Finance-Related Obligations

    This dimension indicates if trade related obligations are associated with the account. Trade finance instruments consist of trade-related obligations directly underpinned by the movement of goods or the provision of services, such as: (1) documentary trade letters of credit, documentary and clean collection, import bills, and export bills (2) guarantees directly related to trade finance obligations, such as shipping guarantees.

    Value is "Y" if instrument is having trade related obligations and "N" if such trade obligations are not associated with the instrument.
    66 Transactional Account Flag A transactional account is a deposit account held at a bank or other financial institution, for the purpose of securely and quickly providing frequent access to funds on demand, through a variety of different channels. Transactional accounts are meant neither for the purpose of earning interest nor for the purpose of savings, but for convenience of the business or personal client.
    67 Transferability Restriction This dimension stores the transferability restriction. Sometimes, due to regulatory rules or other market conditions, excess liquidity available in a given legal entity is “trapped”. It is not available for use at the parent entity or the consolidated legal entity.
    68 US HQLA Asset Level This dimension stores the US asset level.
    69 Underlying Asset Level This dimension stores the underlying asset's asset level.
    70 Underlying Asset To Cover Bank'S Own Short Position This dimension stores the flag indicating if account underlying is used for covering the bank short position of different transaction.
    71 Underlying Collateral Received Asset Level This dimension stores the Collateral Received asset level.
    72 Wholesale Retail Category This dimension stores the wholesale and retail code.
    73 BIS HQLA Asset Level This dimension stores the Asset Level Surrogate key.
    74 LRM - Early Withdrawal Flag This dimension indicates whether customer can withdraw before the maturity of the deposit.
    75 LRM - Significant Early Withdrawal Penalty Flag This dimension stores the Flag that indicates if the Withdrawal penalty is significant.
    76 LRM - Withdraw Notice Period Greater Than Liquidity Horizon This dimension stores the Flag that indicates if Withdrawal Notice period is greater than the Liquidity Horizon (selected by user at run time)
    77 LRM - Self Investment This dimension stores the flag that indicates if the account is a self-investment account or not.
    78 LRM - Placed at Central Institution or Service Provider

    This dimension identifies whether the deposit is placed by a member of an institutional network of cooperative banks with the central institution, or specialized central service providers that are placed (a) due to statutory minimum deposit requirements, which are registered at regulators, or (b) in the context of common task sharing and legal, statutory or contractual arrangements so

    long as both, the bank that has received the money and the bank that has deposited participate in the same institutional network’s mutual protection scheme against illiquidity and insolvency of its members.

    This is as per BCBS238 para 105 to 106.
    79 LRM - Counterparty Risk Weight This dimension captures the risk weight of the counterparty to, or the customer of a particular transaction with the bank. In case of LCR computation as per BCBS 238, this attribute is used to define appropriate run-off rates to secure funding transactions with counterparties or customers based on their risk weight.
    80 Underlying collateral covering Customer Short Position This dimension stores the indicator stating if the underlying asset is utilized for covering short positions of customer. If the flag is yes, then it’s covering customer short position.
    81 Underlying collateral covering Bank Short Position This dimension stores the indicator stating if underlying asset is utilized for covering short positions of bank. If the flag is yes then its covering banks short position.
    82 Underlying Asset Level Received This dimension stores the underlying asset category key corresponding to QIS for securities received in swap transaction.
    83 Mitigant Rehypothecation Rights Flag This dimension indicates whether the bank has re-hypothecation rights on a mitigant. This indicates an asset received as a collateral. 'Yes' indicates rehypothecation rights are present on the mitigant received.
    84 Collateral Substitution Asset Level This dimension stores the Asset Level Surrogate key.
    85 Correspondent Banking Flag This dimension indicates whether correspondent banking relationship is present dimension the bank and the counterparty.
    86 Customer Regulated Financial Entity Indicator This dimension captures whether the counterparty is a financial entity which is regulated by the regulator in the jurisdiction. A value of ‘Y’ indicates that the counterparty is regulated financial entity. In the context of BIS BCBS 238, this flag is used to identify whether a customer is subject to prudential regulation or not.
    87 Committed Facility Flag This flag indicates if the facility is committed or not. In committed facilities, the borrowing companies must meet specific requirements set forth by the lending institution in order to receive the stated funds. If the value is updated as Y indicates that the facility is committed. If the value is updated as N indicates that the facility is not committed.
    88 Downgrade Trigger Activated Flag This dimension indicates if downgrade trigger for account is active or not.
    89 Cash Flow Type This dimension contains the surrogate key for each cash flow type identifier.
    90 LRM - Instrument Position Indicator This dimension indicates whether this position is short or long. List of values: S stands for Short Position, and L stands for Long Position
    91 LRM - Covering Position Type

    This dimension stores the source for the delivery into the sale for covering short positions. As per BCBS 238 requirements, the list of values are:

    CUB - Covered by unsecured borrowing

    CSB - Covered by secured borrowing

    COS - Covered by Other Sources

    UNCOV - Uncovered

    This column is applicable for short positions.
    92 LRM - Held By Client

    This dimension indicates that a client pool asset or asset received from counterparty is segregated i.e. kept aside from the other assets including the bank's own assets. Segregated client pool securities are not freely available to meet all the liquidity needs of the bank and are set aside to be utilized for some specific purpose. Such segregated assets are not considered eligible HQLA as they do not meet the generally applicable criteria for HQLA. Only an HQLA that meets operational and generally applicable criteria is considered eligible to be included in the stock of HQLA. Client pool securities that are not segregated are allowed to be included as part of HQLA.

    US Final Rule Page 113
    93 Account Defaulted Flag This dimension indicates whether the account has defaulted. If the value is updated as Y= the account has defaulted & if the value is updated as N= the account has not defaulted. This is an account that is under prolonged delinquent state.
    94 LRM - BIS - NSFR Cashflow Interval This dimension refers to the residual maturity band of the cash flows in NSFR calculation.
    95 LRM - Buy Sell Dimension This dimension indicates if the investment is a Buy or Sell. Buy indicates a Long position in the instrument/security. Sell indicates a Short position in the instrument/security.
    96 LRM - Encumbrance Status Flag This dimension indicates if an instrument is encumbered, either by pledging, securitization or collateralization. List of values that can be updated are N=Not encumbered, Y-Fully encumbered.
    97 LRM - NSFR Encumbered Band This dimension refers to the Encumbrance band to which the financial instrument falls in NSFR calculation.
    98 LRM - NSFR Residual Maturity Band This dimension refers to the residual maturity band to which the financial instrument falls in NSFR calculation.
    99 Margin Type This dimension indicates the type of margin kept by the counterparty with reporting bank against the default fund. The list of values will include 'IM' for initial margin, 'VM' for variation margin and 'DF' for default fund contribution.
    100 LRM - Major Component Index Flag This dimension stores if the instrument is part of a major index or not. Indices are composed of securities that are well reputed, the increase and decrease of price of these securities which are weighted decides the movement of the index itself.
    101 LRM - Deposit Primary Purpose This dimension stores the primary purpose of deposit surrogate key
    102 LRM - Settled Transaction Flag This dimension stores the indicator stating if the transaction is settled or not.
    103 LRM - Clearing Relationship This dimension stores if the account is associated with clearing relationship. Clearing denotes all activities, from the time a commitment is made for a transaction until it is settled. Clearing of payments is necessary to turn the promise of payment (for example, in the form of a cheque or electronic payment request) into actual movement of money from one bank to another. Such accounts are considered as operational account.
    104 LRM - Cash Management Relationship This dimension stores if the account is associated with cash management relationship. Cash management refers to a broad area of finance involving the collection, handling, and usage of cash. Such accounts are considered as operational accounts.
    105 LRM - Custody Relationship This dimension stores if the account is associated with custody relationship. Custodian is a specialized financial institution responsible for safeguarding a firm's or individual's financial assets and is not necessarily engaged in "traditional" commercial or consumer/retail banking such as mortgage or personal lending. Such accounts are considered as operational account.
    106 LRM - Correspondent Account Type This dimension stores the type of correspondent account type. The values can be Nostro, Vostro, Cash Advances to other banks.
    107 LRM - Cancelled Deposit Agreed Payout within 30days This dimension stores whether the deposit has been cancelled and its payout has been agreed to be paid within 30 days to another institution. The list of values are "Y" or "N", where a value of "Y" indicates payment has been agreed to be paid to other institution within 30 days for cancelled deposit.
    108 LRM - Level 1 Underlying Sub Asset Level This dimension stores the Sub Asset Level Surrogate key of the Underlying posted.
    109 LRM - Level 1 Underlying Sub Asset Level Received This dimension stores the Sub Asset Level Surrogate key of the Underlying received.
    110 LRM - Meets Group Lower Outflow Criteria Flag This dimension stores the lower outflow criteria for credit facility and liquidity facility. The list of values are "Y" or "N", where a value of "Y" indicates that the institution meets lower outflow criteria and hence lower runoff rates can be applied for outflows from credit facility and liquidity facility.
    111 LRM - Underlying Standard Product Type This dimension stores the underlying standard product type surrogate key
    112 LRM - Meets Group Higher Inflow Criteria Flag This dimension stores the higher inflow criteria for credit facility and liquidity facility. The list of values are "Y" or "N", where a value of "Y" indicates that the institution meets higher outflow criteria and hence higher runoff rates can be applied for inflows from credit facility and liquidity facility.
    113 LRM - Promotional Lending Purpose Flag This flag indicates whether a party or issuer is a promotional lender. A promotional lender is any credit institution whose purpose is to advance the public policy objectives of the Union or of the central or regional government or local authority in a Member State predominantly through the provision of promotional loans on a non-competitive, not for profit basis. The list of values are Y and N.For Example1 in BOT, it captures the soft loan program of Bank of Thailand. Example 2 it is also used in the context of EBA DA, where at least 90% of the loans that the party grants must be directly or indirectly guaranteed by the central or regional government or local authority.
    114 LRM - Qualifying Term Funding Flag This dimension stores if insurance scheme has adequate means of ensuring ready access to additional funding in the event of a large call on its reserves. This column is required for identifying the highly stability criteria of accounts as per regulator (BCBS 238). If the indicator is 'Yes' it qualifies as one of the criteria for stability.
    115 LRM - Customer Domicile Flag This dimension indicates whether the customer is domiciled in the country of regulation under which calculations are being done, the legal entity's home country or in a country where the legal entity has a foreign branch. A value 'Y' indicates that the customer is domiciled in the country of regulation as defined above. A value 'N' indicates that the customer is not domiciled in the country of regulation as defined above. This attribute would be derived using application specific rules. In the case of BOT guidelines, the country of regulation will be Thailand.
    116 LRM - Intra Bank Flag This dimension stores the intra bank identifier. indicator will be "Y" if customer of an account is within the org structure of legal entity
    117 LRM-Issued For Public Offering This dimension captures whether securities of a company are issued to the public wherein all the guidelines of securities regulator are followed. The list of values are 'Y' and 'N'. A value of 'Y' indicates that the securities are publicly offered. A value of 'N' indicates that the securities are not publicly offered.
    118 LRM - Significant Withdrawal Penalty on Principal Flag This dimension indicates if there is a significant penalty on early withdrawals which impacts the principal. This column is required to determine whether the account will be withdrawn within the LCR horizon as per BOT guidelines. If there penalty significantly impacts the principal, it will not be withdrawn prior to maturity. The list of values are 'Y' and 'N'. A value of 'Y' indicates that there would be a significant penalty impacting the principal for early withdrawals. A value of 'N' indicates that there would not be a significant penalty impacting the principal for early withdrawals.
    119 LRM - Mutual Fund Scheme Type This dimension stores the unique key identifying the mutual fund scheme type.
    120 LRM - Mutual Fund Type This dimension stores the unique key identifying the mutual fund type.
    121 LRM - Customer Domicile Flag This dimension captures whether the settlement days is within liquidity horizon or not.
    122 LRM - Settlement Days Less Liq Hz This dimension captures whether the issuer is a financial entity or not.
    123 LRM - Issuer Financial Entity This dimension captures whether the issuer is a consolidated subsidiary of financial entity or not.
    124 LRM - Issuer Consolidated Subsidiary of Financial Entity Flag This attribute captures whether the instrument is publicly traded or not.
    125 LRM - Exchange Traded Flag This dimension is to identify whether the legal entity has Liquidity Risk in account's country. If account's country is equal to one of the Legal Entity's country in Legal entity organization structure then this will be considered as liquidity risk has been taken in account's country and this flag will be "Y" else it will be "N".
    126 LRM - Country Liquidity Risk Flag This dimension captures whether the settlement days is within liquidity horizon or not.
    127 LRM - Basel Credit Rating This dimension captures the Basel credit rating.
    128 LRM - Issuer Domestic To Account Flag This dimension stores flag to indicate if the issuer's currency is equal to the account's currency.
    129 LRM-Settlement Type This dimension stores the settlement mechanisms used for secured and foreign exchange products
    130 LRM - Listed on a Recognized Stock Exchange This dimension stores to identify if the instrument is listed on a recognized exchange.
    131 LRM - Liquefiable Asset Flag This dimension indicates if an asset is Liquefiable or not. If an asset is liquefiable then it is 'Y' else 'N'
    132 LRM - LMR Qualifying Liability This dimension indicates if a liability is a qualifying liability or not. If it is qualifying the it is marked as 'Y' else 'N'
    133 LRM - LMR Category Skey This dimension stores the Category surrogate key
    134 LRM - Marketability Indicator This dimension stores the flag that indicates if the security is marketable or not. Marketable securities are very liquid securities that can be converted into cash quickly at a reasonable price
    135 LRM - Fund This dimension stores the unique identifier of the fund.
    136 LRM - Fully Invested in Liquid Assets This dimension indicates if the fund amount is fully invested in Liquid Assets.
    137 LRM - Central Counterparty Clearing Flag This dimension stores the central counterparty clearing flag and indicates whether the party is a qualified central counterparty for clearing trades or not.
    138 LRM - SIB Type Indicator This dimension stores the Systemically Important Institution Banking type and it is set to yes if the party is either a Globally Systemically Important Bank, Domestic Systemically Important Bank or Other Systemically Important Institutions.
    139 LRM - Zero Percent RSF Factor Flag This dimension stores the Zero Percent RSF Factor Flag and indicates whether the value for the country receiving the RSF factor is equal to zero or not.
  4. As part of the contractual Run execution, data flows from Fact Aggregate Cash Flow table to the reporting tables and the liquidity gap report based on the contractual cash flows is generated from reporting tables. Contractual Run execution assesses the current liquidity status of the organization purely under contractual terms, without the application of any business assumption.
    In a BAU or stress Run execution, the data which was loaded into Fact Aggregate Cash Flow table as part of the underlying contractual Run is re-inserted in the same table against a new execution skey and currency conversion module is re-executed as reporting currency of the contractual Run and the BAU or stress Runs may be different. User-defined BAU or stress business assumptions are executed on the aggregated cash flows in Fact Aggregate Cash Flow table. Once the assumptions are applied, the cash flow in the reporting currency rules for assumptions are adjusted. Currency conversion is re-executed to convert the adjusted cash flows from reporting currency to local and natural currency.
  5. Once cash flows are adjusted in the Fact Aggregate Cash Flow table based on the business assumptions applied, data is moved into the reporting tables and Gap reports of Adjusted Cash flow can be generated from these reporting tables.
    Based on the purpose selected in the Run Definition window for the BAU Run,
    • When Liquidity Ratio Calculation is selected, LCR is calculated.
    • When FR2052 a and b is selected, the reporting line reclassification occurs and the reporting measures are aggregated across the reporting lines and moved to the reporting table (Fact Liquidity Reporting table).