1. Liquidity Risk Regulatory Calculations for European Banking Authority User Guide
  2. Appendix A: Data Transformations/Functions used in LRRCEBA

A Appendix A: Data Transformations/Functions used in LRRCEBA

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

  1. FN_UPD_LIQUIDITY_HORIZON

    This function updates the Liquidity Horizon to 30 days in the FCT_LRM_RUN_PARAM table for current Run Skey.

  2. TB_DATE_ASSIGNMENT

    This function performs the following actions:

    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 the FSI_LRM_TIME_BUCKET_DAYS table.
    3. The business day convention (prior, conditional prior, following, no-Adjustment) is applied, taking into account the holiday calendar applicable for a Legal Entity, and is populated in the FSI_LRM_TIME_BUCKET_DETAILS table for each Legal Entity.
  3. EBA_WHOLESALERETAIL_IDFN

    This function identifies wholesale or retail indicators for each account. It performs the following:

    1. Reads the annual sales threshold and aggregate deposit threshold amount from the SETUP_MASTER table.
    2. Populates the financial information such as balance sheet, profit, and loss statement, and ratios of various parties such as Customer, Issuer, and Guarantor in FCT_PARTY_FINANCIALS along with financial period start and end date.
    3. Identifies the retail customer in FSI_LRM_INSTRUMENT based on an aggregate deposit threshold amount.
    4. Updates the high value (EOP balance between €100000 and €500000, or local DGS amount) and very high value (EOP balance greater than €500000 or local DGS amount) indicator for each customer in FSI_LRM_INSTRUMENT. e. Identifies wholesale or retail customers in FSI_LRM_INSTRUMENT based on party type (retail or corporate).
  4. EBA_UPD_UNDERLYING_AST

    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 loan contracts for which a mitigant is received. This loan account is captured in the STG_LOAN_CONTRACTS table and the mitigant information is captured in the STG_MITIGANTS table. The link between the loan account and the mitigant is captured in the 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 the FCT_ACCOUNT_MITIGANT_MAP table and updates the attributes of the mitigant against the loan account in the 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 a repo contract where the bank has placed collateral. The repo contract is captured in the STG_REPO_CONTRACTS table and moved to the FSI_LRM_INSTRUMENT table. The collateral placed against the repo contract is captured in the STG_PLACED_COLLATERAL table. The relationship between placed collateral and the REPO contract is captured in the STG_ACCT_PLACED_COLL_MAP table and is moved to the FCT_ACCT_PLACED_COLL_MAP table.

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

    Similarly, the function updates the following attributes of the underlying asset (Mitigant/Placed Collateral) in the 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 data transformation 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 the FSI_LRM_INSTRUMENT table) and updates it against the account in the 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 the FCT_ACCT_PLACED_COLL_MAP.N_DRWN_PORTION_COLL_AMT column.
    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 columns of the 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 the FSI_LRM_INSTRUMENT table against the placed collateral records, that is, FLI.N_PERCENT_ENCUMBERED.

  5. EBA_INS_UNINS_AMT_CALC

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

    See Deposit Stability Identification for details on Insurance Calculation.

  6. 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.
  7. FN_UNDERLYING_ASSET_ASSIGNMENT

    This function computes the excess portion of SLR government securities as follows: Total Market Value of SLR Eligible Government Securities - Minimum SLR + Net CBLO Collateral Where, The market value of SLR eligible securities is computed as the sum of all securities where SLR Eligible flag = Y and Issuer or Guarantor Type = Sovereign or Government. The minimum SLR refers to the mandatory SLR which is to be excluded. The Net CBLO Collateral value is calculated as follows:

    Net CBLO Collateral = Total Collateral Received under Collateralized Lending Obligation (CLO) - Total Collateral Posted under Collateralized Borrowing Obligation (CBO).