Table of Contents
- Title and Copyright Information
- 1.1 Document Control
- 2 About the Guide
- 3 Introduction to Oracle Financial Services Liquidity Risk Solution
- 4 Introduction to Oracle Financial Services Liquidity Risk Measurement and Management
- 5 Application Preferences
- 6 Holiday Calendar
- 7 Time Buckets
-
8
Business Assumptions
- 8.1 Overview
- 8.2 Business Assumptions Supported
- 8.3 Intraday Business Assumptions Supported
- 8.4 Impact of Assumptions on Interest Cash Flows
- 8.5 Cash Flow Assignment Methodologies
-
8.6
Business Assumption Definition
- 8.6.1 Linked To
- 8.6.2 Assumption Details
-
8.6.3
Assumption Properties
- 8.6.3.1 Assumption Category
- 8.6.3.2 Assumption Sub-category
- 8.6.3.3 Assumption Intraday Sub-category
- 8.6.3.4 Based On
- 8.6.3.5 Assumption Legs
- 8.6.3.6 Assignment Method – Leg 1
- 8.6.3.7 Assignment Method – Leg 2
- 8.6.3.8 Intraday Assignment Method – Leg 1 and 2
- 8.6.3.9 Assumption Unit
- 8.6.3.10 Assumption Currency
- 8.6.3.11 Ratings Downgrade
- 8.6.3.12 Transaction Legs
- 8.6.3.13 Charge Penalty
- 8.6.3.14 Specify Collateral/Underlying
- 8.6.3.15 Sale Specification By
- 8.6.3.16 Reporting Line Classification
- 8.6.4 Filter Selection
- 8.6.5 Dimension Selection
- 8.6.6 Time Bucket Definition Selection
- 8.6.7 Cash Flow Interval Selection
- 8.6.8 Assumption Parameter Specification
- 8.7 Understanding Business Assumption Summary
- 8.8 Defining a New Business Assumption
- 8.9 Business Assumption Approval Process
- 8.10 Editing a Business Assumption
-
9
Run Management
-
9.1
Run Definition Parameters
- 9.1.1 Linked To
- 9.1.2 Run Definition Details
-
9.1.3
Run Parameters
- 9.1.3.1 Purpose
- 9.1.3.2 Run Type
- 9.1.3.3 Contractual Run
- 9.1.3.4 NSFR Ratio
- 9.1.3.5 Time Bucket Definition
- 9.1.3.6 Time Buckets Based On
- 9.1.3.7 Consolidation Type
- 9.1.3.8 Consolidation Level
- 9.1.3.9 Payment System Consolidation Type
- 9.1.3.10 Business Day Convention
- 9.1.3.11 Include Interest Cash Flows
- 9.1.3.12 Approximate Interest
- 9.1.3.13 Forward Rate Interpolation Method
- 9.1.3.14 Assumptions Applied To
- 9.1.3.15 Include Forward Date Calculations
- 9.1.3.16 Forward Balance Method Mapping Rule
- 9.1.3.17 Forward Cash Flow Method Mapping Rule
- 9.1.3.18 Exclude Holidays
- 9.1.3.19 Balance Sheet Adjustment
- 9.1.3.20 Balance Sheet Adjustment Method
- 9.1.3.21 Balance Sheet Adjustment Rule
- 9.1.3.22 Fixed Interval Forward Date
- 9.1.3.23 First Forward Date Interval
- 9.1.3.24 Forward Date Frequency
- 9.1.3.25 Number of Forward Calculations
- 9.1.3.26 Time Bucket Type
- 9.1.4 Legal Entity Selection
- 9.1.5 Business Assumptions
- 9.2 Understanding Run Management Summary
- 9.3 Defining a run
- 9.4 Run Definition Approval Process
- 9.5 Adding a Custom Task to a Run
- 9.6 Preparing for Execution
- 9.7 Run Execution Parameters
-
9.1
Run Definition Parameters
- 10 Counterbalancing Strategies
- 11 Metadata Lineage
- 12 Viewing LRS objects in Metadata Browser
- 13 Cash Flows
- 14 Liquidity Gaps and Cumulative Gaps
-
15
Bank for International Settlements
Basel III Liquidity Ratio Calculation
- 15.1 Processing Granularity for Secured Transactions
-
15.2
Liquidity Coverage Ratio
Calculation
- 15.2.1 Inputs
-
15.2.2
Liquidity Ratio Calculation
Process Flow
- 15.2.2.1 Asset Level Identification
- 15.2.2.2 Identification of Eligible HQLA
- 15.2.2.3 Calculation of Stock of High Quality Liquid Asset
- 15.2.2.4 Determination of the Maturity of Cash Flows
- 15.2.2.5 Deposit Stability Identification
- 15.2.2.6 Classifying Operational Account
- 15.2.2.7 Calculation of Contractually Required Collateral
- 15.2.2.8 Calculation of Excess Collateral
- 15.2.2.9 Calculation of Downgrade Impact Amount
- 15.2.2.10 Calculation of Net Derivative Cash Inflows and Outflows
- 15.2.2.11 Calculation of Twenty Four Month Look-back Amount
- 15.2.2.12 Calculation of Operational Amount
- 15.2.2.13 Calculation of HQLA Transferability Restriction
- 15.2.2.14 Calculation of Net Cash Outflows
- 15.2.2.15 Consolidation
- 15.2.2.16 Alternative Liquidity Approaches
- 15.2.2.17 Calculation of Liquidity Coverage Ratio
- 15.2.2.18 Significant Currency Liquidity Coverage Ratio Calculation
- 15.2.2.19 Computation of Funding Concentrations
- 15.2.3 Pre-configured Regulatory LCR Scenario
- 15.3 Net Stable Funding Ratio Calculation
-
16
Intraday Liquidity Management
-
16.1
Intraday Metrics
Calculation
- 16.1.1 Consolidated Payment System Run
- 16.1.2 Daily Maximum Intraday Liquidity Usage
- 16.1.3 Available Intraday Liquidity at the Start of the Business Day
- 16.1.4 Total Payments
- 16.1.5 Time-specific Obligations
- 16.1.6 Value of Payments Made on Behalf of Correspondent Banking Customers
- 16.1.7 Intraday Credit Lines Extended to Customers
- 16.1.8 Intraday Throughput
- 16.2 Real Time Monitoring
-
16.1
Intraday Metrics
Calculation
- 17 User Roles and Access
- 18 Approval Work Flow
- A Functional Details
-
B
Technical Details
- B.1 OFS ALM – OFS LRM Cash Flow Integration
- B.2 Create/Execute LRM Batch from Command Line
- B.3 Updating Port Changes in OFS LRM
- B.4 Setup Master Table Configuration
- B.5 Business Assumption Data Maintenance
- B.6 Run Management Data Maintenance
- B.7 Executing Intraday Post Load Batch and Intraday Real Time Run
- B.8 Migrating LRM Objects
- B.9 Performance Improvement Guidelines
- B.10 Generating Download Specifications
- B.11 Adding a Custom Run Purpose
- B.12 Performance Related Configurations for RBI and HKMA Contractual
- B.13 Audit Logging
- C Data Transformations Functions used in LRMM
- D User Configuration and Settings
- E Glossary
- F OFSAA Suport