1. Liquidity Risk Regulatory Calculations for Reserve Bank of India User Guide
  2. Data Transformations/Functions used in LRRCRBI

A Data Transformations/Functions used in LRRCRBI

This section provides information about the Data Transformations (DTs) or functions used in LRRCRBI application.

  • TB_DATE_ASSIGNMENT

    This function performs the following:

    1. Identifies the dates between the bucket start day and bucket end day.
    2. Populates the intermediate dates based on the chosen FIC-MIS date, in FSI_LRM_TIME_BUCKET_DAYS.
    3. The business day convention (prior, conditional prior, following, no-Adjustment) gets applied, taking into account the holiday calendar applicable for a Legal Entity, and gets populated in FSI_LRM_TIME_BUCKET_DETAILS for each Legal Entity.
  • BOT_INS_UNINS_AMT_CALC

    This function calculates the insured and uninsured amounts, and updates this information at an account-customer combination in the UPD_PROCESS_SCENARIO_KEY.

  • UPD_PROCESS_SCENARIO_KEY

    This function updates the process scenario Skey in DIM_FCST_RATES_SCENARIO tables. It performs the following:

    1. Reads the current Run information from FCT_LRM_RUN_PARAM and DIM_RUN tables.
    2. Populates the Contractual/Business as usual Run name, Run type, Run description into DIM_FCST_RATES_SCENARIO table from DIM_RUN.
    3. Updates the process key for current Run in FCT_AGG_BASE_CCY_LR_GAP table storing liquidity risk gap measures in base currency.
    4. Updates the process key for current Run in FCT_AGG_BASE_CCY_LR_GAP table storing liquidity risk gap measures in consolidated currency.
    5. Updates both local and natural, inflow and outflow amount columns in FCT_AGG_CASH_FLOWS using exchange rate conversion.
    6. Updates both inflow and outflow local currency amount columns in FCT_ACCOUNT_CASH_FLOWS using exchange rate conversion.
    7. Updates both local and natural currency amount columns in FCT_LRM_LE_SUMMARY using exchange rate conversion.
  • UPDATE_UNDERLYING_ASSETS

    This function updates all the attributes of the underlying assets, mitigants or placed collateral of an account such as asset level, fair value, market value, and so on, in the FSI_LRM_INSTRUMENT table. For example, consider a loan contracts for which a mitigant is received. This loan account is captured in STG_LOAN_CONTRACTS table and the mitigant information is captured in STG_MITIGANTS. The link between the loan account and the mitigant is captured in STG_ACCOUNT_MITIGANT_MAP table. From STG_ACCOUNT_MITIGANT_MAP table, data moves to FCT_ACCOUNT_MITIGANT_MAP table.

    The function identifies the account mitigant mapping from FCT_ACCOUNT_MITIGANT_MAP and updates the attributes of the mitigant against the loan account in FSI_LRM_INSTRUMENT table. For example, if the market value of the mitigant is $500, then the function updates the column FSI_LRM_INSTRUMENT.N_UNDERLYING_RECV_LEG_MKT_RCY as $500 for the loan contract account.

    Similarly, consider another example of repo contract where the bank has placed collateral. The repo contract is captured in STG_REPO_CONTRACTS and moved to FSI_LRM_INSTRUMENT table. The collateral placed against the repo contract is captured in STG_PLACED_COLLATERAL table. The relationship between placed collateral and the REPO contract is captured in STG_ACCT_PLACED_COLL_MAP and is moved to FCT_ACCT_PLACED_COLL_MAP.

    The function updates the asset level of the placed collateral against the repo contract in FSI_LRM_ISNTRUMENT table, which indicates that the FSI_LRM_INSTRUMENT.N_UNDERLYING_ASSET_LEVEL_SKEY is updated.

    Similarly, the function updates the following attributes of the underlying asset (Mitigant/Placed Collateral) in FSI_LRM_ISNTURMENT table:

  • N_UNDERLYING_ASSET_LEVEL_SKEY
  • N_UNDERLYING_MKT_RCY
  • N_UNDERLYING_FAIR_RCY
  • F_UNDERLY_QUALIF_UNENCUMB
  • N_UNDERLY_RISK_WEIGHT_SKEY
  • N_UNDERLY_STD_ISSUER_TYPE_SKEY
  • N_UNDERLY_STD_PROD_TYPE_SKEY
  • N_UNDERLYING_INST_BASEL_RATING
  • F_UNDERLY_COLL_COVER_SHORT_POS
  • F_UNDRLY_COVER_BANK_SHORT_POS
  • F_UNDRLY_COVER_CUST_SHORT_POS
  • F_UNDERLY_ISSUER_FINAN_ENTITY
  • F_UNDERLY_REHYPOTHECATED_FLAG
  • F_UNDERLYING_ISSUER_US_FLAG
  • F_UNDERLYING_GUARANTOR_US_FLAG
  • F_UNDRLYNG_PLACED_HQLA_FLAG
  • F_UNDERLYING_HELD_BY_CLIENT
  • F_UNDRLYNG_ASST_SEGREGATED_IND
  • N_HQLA_MIT_VAL_RCY
  • N_NON_HQLA_MIT_VAL_RCY
  • N_EXP_NOT_COV_BY_HQLA_MIT_RCY

These columns are used for calculating the adjustments to be performed in the stock of HQLA process and also in business as usual assumptions.

This DT identifies the underlying asset of an account from the mapping tables (FCT_ACCOUNT_MITIGANT_MAP and FCT_ACCT_PLACED_COLL_MAP), reads the attributes of the underlying asset (mitigant from FCT_MITIGANTS and placed collateral from FSI_LRM_INSTRUMENT) and updates the same against the account in FSI_LRM_INSTURMENT table using the following steps:

  1. Assigns the used portion of a placed collateral in FCT_ACCT_PLACED_COLL_MAP table, that is, updates FCT_ACCT_PLACED_COLL_MAP.N_DRWN_PORTION_COLL_AMT.
  2. Assigns the underlying asset level.
  3. Assigns the underlying asset level Skey of SUBSTITUTABLE COLLATERAL to:
    • Derivative Products
    • Non-Derivative Products

    Updates the N_COLL_SUBSTITU_ASSET_LVL_SKEY and N_SBSTBL_ASST_LVL_ENT_SKEY of FSI_LRM_INSTRUMENT table.

  4. Assigns revised maturity date Skey for ('CS','REVREPO','DRB','SECBORR') product, that is FLI.N_REVISED_MATURITY_DATE_SKEY. Updates the encumbrance percent in FSI_LRM_INSTRUMENT against the placed collateral records, that is, FLI.N_PERCENT_ENCUMBERED.