6.1.6.1 Forward Balance Allocation

The application computes forward balances based on a limited set of dimensional combinations such product, currency, customer type legal entity and facility type (refer section Granularity of Forward Records for granularity of forward records) as the information is generally not available at a very granular level for dates in the future. However, for the purpose of computing LCR, the information is required at a very granular level. To overcome this mismatch in granularity, the application allocates the adjusted forward balances to the granularity required for computing forward LCR as follows:

1. The dimensional combinations to which forward balance methods are mapped are identified.
2. The dimensional combination to which each forward balance is to be allocated is identified. The allocation granularity is the dimensions that are available as part of the FSI LRM Instrument table.
3. The application computes the current profile of all spot data, which corresponds to each download dimensional combination, at the granularity available in FSI LRM Instrument table i.e. the allocation dimension granularity.
4. The application applies the current profile percentage calculated as part of step 3 to the corresponding forward balances computed at the download dimension level to compute the allocation amount.

   The forward balance allocation process is illustrated below. Suppose the forward balance is being computed at the Product – Customer Type dimensional combination. The current balance obtained as a download and forward balance computed for this dimensional combination are follows:

   Table 5-25 Forward balance allocation process

   Product	Customer Type	Current EOP Balance (a)	Current Insured Balance (b)	Forward Balance (c)
   Deposits	Retail	1000	600	1200
   Loans	SME	2000		1500

   This illustration assumes that the most granular dimensional combination for computation is Product – Customer Type – Currency. The current balance available for this granular dimensional combination is provided below. The application computes the current profile and allocates balance to the granular combinations as follows:

   Table 5-26 Current balance available for this granular dimensional combination

   Input					Calculation
   Product	Customer Type	Currency	Current EOP Balance (d)	Current Insured Balance (e)	Current Profile - EOP Balance [f = d ¸ a]	Allocated Forward EOP Balance (c * f)	Current Profile - Insured Balance [g = e ¸ a]	Allocated Forward Insured Balance (c * g)
   Deposits	Retail	USD	800	450	80%	960	45%	540
   Deposits	Retail	GBP	200	150	20%	240	15%	180
   Loans	SME	USD	900		45%	675
   Loans	SME	GBP	1100		55%	825

   Note:

   The allocation of liquidity pool balances are based on the Fair Value and not the EOP Balance. For all other products the balance allocation is done on the basis of EOP Balance.