6.1.1 Granularity of Forward Records
The spot balances and cash flows are available at the account level granularity.
However, the application computes forward date liquidity metrics at an aggregate level
and captures the inputs required for forward calculations at a higher level of
granularity. The granularity of forward balance and cash flow calculations, i.e. the
download dimensions, supported by the application for all assets and liabilities other
than derivatives is as follows:
- Product
- Currency
- Legal Entity
- Controlled by Treasury Flag
- Transferability Restriction
The download dimensions supported by the application for derivatives are as follows:
- Legal Entity
- Currency
- Payment Netting Flag
The forward balances and cash flows computed at a higher granularity are then allocated back to the granularity of spot calculations in order to ensure consistency between the spot and forward date calculations.