B.5 Setup Master Table Configuration
The setup master table must be configured for calculating LCR Option 2. The setup master table configuration is as follows.
Table B-2 Setup Master Table Configuration
| Column Name | Component Description | Example Component Value | Comment |
|---|---|---|---|
| LCR_OPT2_MAX_THRESHOL D_EXEMPT_HAIRCUT_PCT | Maximum threshold percent which is exempt from haircut for LCR option 2 | 25 | The maximum threshold haircut percentage which needs to be exempted must be entered and this should be a whole value and not a percentage. |
| LRM4G_HOL_CODE | US 4G Holiday Code | 1 | The holiday code which needs to be used for "US FR2052a Run" and "US FR2052a Run" Runs. |
| LRM_STD_CCY_CD | Standard Currency used in currency conversion | USD | If reporting currency is not selected, then the default value provided here is used. |
| OPTION3_HAIRCUT | Additional Haircut required for option 3 LCR | 0.1 | This setup parameter is used for BIS run. This is the haircut percent for option type 3 specified in decimals. (10% will be given as 0.1). |
| DIM_PRODUCT_BALANCE_S H EET_CATEGORY_ASSET | Place Holder for Asset | ASSET |
This parameter is to identify the ASSET products in the balance sheet. This should be same as the balance category of assets which is given as download in STG_PRODUCT_MASTER. These values will be used in DTs to identify ASSET products. |
| DIM_PRODUCT_BALANCE_S H EET_CATEGORY_LIABILITY | Place Holder for LIABILITY. | LIABILITY |
This parameter is to identify the LIABILITY products in the balance sheet. This should be same as the balance category of liabilities which is given as download in STG_PRODUCT_MASTER. These values will be used in DTs to identify LIABILITY products. |
| DIM_PRODUCT_BALANCE_S H EET_CATEGORY_OFF_BAL_S HEET | Place Holder for OFF BALANCE SHEET. | OFF BALANCE SHEET |
This parameter is to identify the OFF BALANCE SHEET products in the balance sheet. This should be same as the balance category of off-balance sheet items which is given as download in STG_PRODUCT_MASTER. These values will be used in DTs to identify OFF BALANCE SHEET products. |
| DT_ALLOC_HINT_MATERIAL I ZE |
Appends /*+ materialize */ hint in the SELECT statement of the Allocation Engine Merge Query. |
N | This is an optional performance enhancement parameter. If this parameter is set to ‘Y’ then the /*+ materialize */ hint will be added to the backend query. |
| DT_ALLOC_HINT_USE_HASH |
In Allocation Engine Merge Query , whether to use /*+ USE_HASH */ to merge in FCT_AGG_CASH_FLOWS table. |
Y | This is an optional performance enhancement parameter. If this parameter is set to Y, then the /*+ USE_HASH */ hint will be added to the backend merge query. |
| DT_FSI_EXCHANGE_RATE_H I ST |
The entry decides which lookup exchange rates table to be used in Aggregate Cash Flows Population. Y = FSI_EXCHANGE_RATES and N = FCT_FCST_EXCHANGE_R ATES |
Y |
A setup entry which will decide if the spot exchange rates or forecast exchange rate must be used. If the parameter is set to Y spot exchange rate will be used (from FSI_EXCHANGE_RATES) else the forecasted exchange rate will be used (from FCT_FCST_EXCHANGE_RATES). |
| DT_PARALLEL_DOP | Degree of parallelism to be used in DML and Queries statements in data transformations. | 8 |
This is a performance enhancement parameter given as an option to the user. The number specifies the degree of parallelism to be set for the session when the backend query is executing. This parameter will be considered only if DT_PARALLEL_ENABLE parameter is set to Y. |
| DT_PARALLEL_ENABLE | Enables parallel sessions for DML and Queries statements in data transformations. | Y | This is a performance enhancement parameter given as an option to the user. If the parameter is set to Y parallel execution will be enabled for the backend query. This parameter along with DT_PARALLEL_DOP will decide the parallelism. |
| LRM4G2A_TIME_BKT_SYS_ID | Time Bucket Definition sys ID for US 4G 2A. | -1234567 |
For 4G 2A reporting, the time bucket selected must be specified here. The time bucket sys ID must be given here. -1234567 is the out of the box time bucket sys ID. If you choose to customize it with a new time bucket, the corresponding time bucket sys ID mustbe specified here. |
| LRM4G2B_TIME_BKT_SYS_ID | Time Bucket Definition sys ID for US 4G 2B. | -1234568 |
For 4G 2B reporting, the time bucket selected must be specified here. The time bucket sys ID must be given here. -1234568 is the out of the box time bucket sys ID. If you choose to customize it with a new time bucket, the corresponding time bucket sys ID must be specified here. |
|
LRM_24_MONTH_LOOKBACK_HIST |
Contains a boolean value to specify if it is a historical load. 1 specifies historical. Default 0. | 1 | This parameter is used while computing 24-month look back for maximum 30-day net cash flows. If the parameter is set to 1 then 24 months population (historical) will be done. If the parameter is 0 then only the maximum cash flow for the last 30 days will be populated to FSI_MTM_COLL_VAL_CHANGE. |
| LRM_PROD_LIST_FOR_ESTAB LISHED_REL | This entry specifies the list of products to be considered for established relationship identification. The standard product type code (Level 1 Code) should be given comma separated like LOANS, DEP, ANNUITY. | LOANS, DEP | This parameter specifies the list of products to be considered for established relationship identification. The standard product type code (Level 1 Code) should be given comma separated like LOANS, DEP, ANNUITY. |
| OPTION3_HAIRCUT | Additional Haircut required for option 3 LCR. | 0.1 | This setup parameter is used for BIS run. This is the haircut percent for option type 3 specified in decimals. (10% will be given as 0.1). |
| LRM_CASHFLOW_PROCESS_ SCEN_SKEY |
Surrogate Key for the Process Scenario (N_PROC_SCEN_SKEY) of table FCT_PROCESS_CASHFLO W. |
-1 |
If user wants to use OFS ALM cash flows for LRM processing then user has to enter the scenario skey of ALM cash flows which needs to be considered for LRM processing. LRM will filter the records based on scenario filter and process on these records. |
| STRUCTURED_OUTFLOW_C O MP | Credit Line purpose to be consider for computing Structured Outflow Amount Computation. | SPONS |
This parameter takes the V_STANDARD_PRODUCT_TYPE_ C ODE to identify the products which are considered as Credit Line Purpose for computing the Structured Outflow Amount. |
| FR2052A_REPORTERS_DESCR IPTION | This signifies the total consolidated assets and on-balance sheet exposures of the reporting firm. | 1 |
The values for this column name must be based on the U.S. firms asset size and 1, 2, 3 signifies the following respectively. U.S. firms with ≥ $700 billion in assets or ≥ $10 trillion in assets under custody; FBOs identified as LISCC firms. U.S. firms with ≥ $250 billion in assets or ≥ $10 billion in foreign exposure; FBOs with ≥ $250 billion in U.S. assets U.S. firms with < $250 billion in assets and < $10 billion in foreign exposure; FBOs with < $250 billion in U.S. assets. |
| FR2052A_REPORTING_SI10 |
U.S. firms with less than $700 billion in total consolidated assets and less than $10 trillion in assets under custody and FBOs with less than $250 billion in U.S. assets have the option of not reporting this product. |
Y | To report S.I.10, this flag must be Y, otherwise set it as N. |
| FR2052A_REPORTING_SI12 |
U.S. firms with less than $700 billion in total consolidated assets and less than $10 trillion in assets under custody and FBOs with less than $250 billion in U.S. assets have the option of not reporting this product. |
Y | To report Supplemental S.I.12, this flag must be Y, otherwise set it as N. |
| FR2052A_REPORTING_SI14 |
U.S. firms with less than $700 billion in total consolidated assets and less than $10 trillion in assets under custody and FBOs with less than $250 billion in U.S. assets have the option of not reporting this product. |
Y | To report Supplemental S.I.14, this flag must be Y, otherwise set it as N. |
| FR2052A_REPORTING_SI7_SI 8 |
If the total amount reported is related to distinct disputes over the previous year for products S.I.7 and S.I.8 is less than $500 million, the reporting firm need not report this product. |
Y | To report Supplemental S.I.7, S.I.8, this flag must be Y, otherwise set it as N. |
| BIS_REP_CRY | BIS_REP_CRY. | EUR | This parameter captures the regulatory limit for the total aggregated funding raised from small business customers who are to be treated similar to the retail customers while identifying deposit stability and applying run-off rates within LCR computations. Any SME customer providing an aggregate funding up to the limit specified as part of this attribute is accorded the same treatment as a retail customer for the purposes of LCR computation. Any SME customer providing an aggregate funding greater than this limit is treated as a wholesale customer. The seeded value for this is 1 million as per BCBS 238. |
| BIS_SMALL_BUIS_LIMIT | BIS Small Business EOP Balance Limit. | 1000000 |
This parameter captures the currency code in which the regulatory limit for the total aggregated funding raised from small business customers who are to be treated similar to the retail customers, that is, BIS_SMALL_BUIS_LIMIT is captured. The seeded value for this is EUR as per BCBS 238. |
| SIGNIFICANT_CURRENCY_LI A BILITY | Currency Significance Percentage. | 0.05 | This attribute indicates the definition of a significant currency in terms of the percentage of the aggregate liabilities denominated in that currency over the total liabilities of the bank. A currency is considered “significant” if the aggregate liabilities denominated in that currency amount to 5% or more of the bank's total liabilities. The default value provided for this field is 0.05 (5%) as per the regulatory definition. |
| CASHFLOW_NSFR_BANDS | Hierarchy for NSFR Cash Flow Interval. | HLRMNS02 | The entry for cash flow interval dimension into the setup master table consists of the Hierarchy code related to the bands pertaining to NSFR. The hierarchy code HLRMNS02 contains the NSFR cash flow interval bands. |
| BIS_GAAP_CODE | This entry captures the GAAP code to be considered while moving data from STG tables to processing table for BIS jurisdiction. | INGAAP |
This entry captures the GAAP code to be considered while moving data from STG tables to processing table for the purpose of regulatory computations as per the BIS jurisdiction. DIM_GAAP is the corresponding dimension table. However, DEFAULT_GAAP entry from the setup_master table continues to be considered for DIM_ACCOUNT population. |
|
LRM_APP_PREF_BASEL_RUN _ID |
Basel Regulatory Run Id Selected in Application Preference. | -1 |
The component value stores the executed basel run skey which is used during the population of Standard Accounting head information for NSFR computation. |
| EBA_GAAP_CODE | This entry captures the GAAP code to be considered while moving data from STG tables to processing table for EBA jurisdiction. | UKGAAP |
This entry captures the GAAP code to be considered while moving data from STG tables to processing table for the purpose of regulatory computations as per the EBA jurisdiction. DIM_GAAP is the corresponding dimension table. However, DEFAULT_GAAP entry from the setup_master table continues to be considered for DIM_ACCOUNT population. |
| RBI_GAAP_CODE | This entry captures the GAAP code to be considered while moving data from STG tables to processing table for RBI jurisdiction. | INGAAP |
This entry captures the GAAP code to be considered while moving data from STG tables to processing table for the purpose of regulatory computations as per the RBI jurisdiction. DIM_GAAP is the corresponding dimension table. However, DEFAULT_GAAP entry from the setup_master table continues to be considered for DIM_ACCOUNT population. |
|
CALC_USED_PORTION_PLCD _COLL_USING_MKT_VALUE |
This entry captures the run purposes where used portion of placed collaterals is calculated using market values. Any new run purpose should be added, separated by comma. | 3,7,16,18 |
This entry captures the list of Run purposes where the used portion of placed collaterals is calculated using market values. The default values for these are the Run Purpose codes corresponding to the Run Purposes Basel III Liquidity Ratios Calculation, and RBI Basel III Liquidity Ratio Calculation, EBA Delegated Act Liquidity Ratio Calculation, and BOT Liquidity Ratio Calculation. If this calculation is to be done for any new run purpose, its Run Purpose code should be added to this list, separated by commas. |
| CALC_SLR_PLCD_COLL | This entry captures the run purposes where the SLR amount from placed collaterals is calculated. Any new run purpose should be added, separated by comma. | 7 | This entry captures the Run purposes where the SLR eligible placed collaterals are to be identified and the SLR eligible amount is calculated. Currently the default value is 7, which corresponds to the RBI Run Purpose. If any other Run Purpose needs this calculation, its Run Purpose Code should be added, separated by comma. |
| HIST_OPERATIONAL_BAL_C A LC_UPD | Operational Balance value calculation through the historical balance approach. | Y |
This entry captures the approach for identifying operational portion of accounts classified as operational deposits. A value of Y indicates that the operational balance is calculated by the application using the historical balance approach where the historical time window to be considered is specified as part of the setup_master parameter DAYS_HIST_OPER_BAL_CALC_UP D . A value of N indicates that such operational balance is available as a download. |
|
DAYS_HIST_OPER_BAL_CALC _UPD |
Number of Days considered for calculating Operational Balance value through the historical balance approach. | 90 | This entry captures the historical time window to be considered while calculating the operational portion of accounts classified as operational deposits based on the historical balance approach. This value is captured in terms of days. |
| LRM_RBI_SME_AGG_FUNDI N G_AMT | Funding Limit. | 50000000 | This entry captures specifies the aggregate funding threshold for identifying the counterparties as SME’s based on limit specified by the regulator. The amount mentioned here is considered in INR. |
| SIGNIFICANT_COUNTERPAR T Y_LIAB | Significant Counterparty - Percentage of Total Liability. | 0.01 | This entry captures the minimum threshold, as a percentage of the total liability amount, for a counterparty to be considered significant. The default value is 0.01 which implies that if the total liabilities from a given counterparty are in excess of 1% of the total liabilities of the legal entity, the counterparty is considered significant. |
| CALC_ESLR_COLL | This entry captures the run purposes where the market value for the ESLR staging types with net CBLO collaterals are calculated. Any new run purpose should be added, separated by comma. | 7 | This entry captures the run purposes where the market value for the ESLR staging types with net CBLO collaterals are calculated. Any new run purpose should be added, separated by comma. |
|
DAYS_HIST_OPER_BAL_CALC_UPD |
Number of Days considered for calculating Operational Balance value through the historical balance approach. |
90 | Number of Days considered for calculating Operational Balance value through the historical balance approach. |
| EBA_AGG_DEPOSIT_THRESH OLD | This attribute captures the deposit threshold for treating the deposits from an SME equivalent to retail deposits as per EBA guidelines. As per the EBA Delegated Act, liabilities from an SME would be treated similar to retail deposits where the aggregate deposits by such SME or company on a group basis do not exceed EUR 1 million. | 1000000 | This attribute captures the deposit threshold for treating the deposits from an SME equivalent to retail deposits as per the EBA guidelines in terms of Euros. This relates to the threshold for aggregate deposits from a given customer, beyond which an SME would not be treated similar to retail deposits. For instance, if the value is specified as 1000000, any SME whose aggregate deposits do not exceed EUR 1000000 is treated similar to a retail customer. |
| EBA_CUST_EMPLOYEES_LIMI T |
This attribute captures the employee threshold for considering a particular party as an SME as per EBA guidelines. The EBA SME definition states that an enterprise must employ fewer than 250 employees to be classified as a small and medium-sized enterprise (SME). |
250 | This attribute captures the employee threshold for considering a particular party as an SME as per EBA guidelines. This relates to the EBA SME definition which provides the employee threshold for an enterprise beyond which an enterprise is not eligible to be classified as an SME. For instance, if the value is provided as 250, then the application will consider only enterprises that employs less than 250 employees as an SME. |
| EBA_HQLA_ISSUE_SIZE_THR ESHOLD_1 |
This attribute captures the first issue size threshold for classifying a covered bond or debt security as an HQLA in terms of Euros. For a non-Euro denominated security, the application will convert the issue size to Euros prior to comparing it with this value. |
500000000 | This attribute captures the first issue size threshold for classifying a covered bond or debt security as an HQLA in terms of Euros. For a non- Euro denominated security, the application will convert the issue size to Euros prior to comparing it with this value. |
| EBA_HQLA_ISSUE_SIZE_THR ESHOLD_2 |
This attribute captures the second issue size threshold for classifying a covered bond or debt security as an HQLA in terms of Euros. For a non-Euro denominated security, the application will convert the issue size to Euros prior to comparing it with this value. |
250000000 | This attribute captures the second issue size threshold for classifying a covered bond or debt security as an HQLA in terms of Euros. For a non- Euro denominated security, the application will convert the issue size to Euros prior to comparing it with this value. |
| EBA_TOTAL_CUSTOMER_AN NUAL_SALES |
This attribute captures the annual turnover threshold for considering a particular party as an SME as per EBA guidelines. The EBA SME definition states that an enterprise should have an annual turnover not exceeding EUR 50 million to be classified as a small and medium-sized enterprise (SME). |
50000000 | This attribute captures the annual turnover threshold for considering a particular party as an SME as per EBA guidelines in terms of Euros. This relates to the EBA SME definition which provides the threshold for the annual turnover beyond which an enterprise is not eligible to be classified as an SME. For instance, if the value is provided as 50000000, then the application will consider only enterprises whose annual turnover is up to this value as an SME. |
| EBA_TOTAL_CUSTOMER_ASSETS | This attribute captures the annual balance sheet threshold for considering a particular party as an SME as per EBA guidelines. The EBA SME definition states that that an enterprise should have an annual balance sheet total not exceeding EUR 43 million to be classified as a small and medium- sized enterprise (SME). | 43000000 | This attribute captures the annual balance sheet threshold for considering a particular party as an SME as per EBA guidelines in terms of Euros. This relates to the EBA SME definition which provides the threshold for the annual balance sheet total beyond which an enterprise is not eligible to be classified as an SME For instance, if the value is provided as 43000000, then the application will consider only enterprises whose annual balance sheet total is up to this value as an SME. |
| FALLCR_PERCENT | SLR Securities Allowable under FALLCR in Percentage. | 15 | This attribute captures the SLR eligible securities allowed to be included in the stock of HQLA under the Alternative Liquidity Approach allowed by RBI, the Facility to Avail Liquidity for Liquidity Coverage Ratio (FALLCR), as a percentage of the Net Demand and Term Liabilities (NDTL). |
| HIST_OPERATIONAL_BAL_C A LC_UPD | Operational Balance value calculation through the historical balance approach. | Y | The attribute identifies whether users want to compute the operational portion of the deposits classified as operational as per the regulatory criteria using the historical balance approach or provide it as a download. A value Y indicates that the operational balance is to be computed by the application. |
| MSF_PERCENT | SLR Securities Allowable under Marginal Standing Facility in Percentage. | 2 | This attribute captures the SLR eligible securities allowed to be included in the stock of HQLA under the Marginal Standing Facility, as a percentage of the Net Demand and Term Liabilities (NDTL). |
| NSFR_ENABLED | This enables NSFR option in Run Management screen for mentioned purposes. | 3, 7, 18 | This attribute enables the NSFR option in the Run Definition window for the Run Purpose Codes provided. |
| RBICASHFLOW_NSFR_BANDS | Hierarchy for RBI NSFR Cash Flow Interval. | HLRMNS08 | This hierarchy is setup parameterized as part of the requirement of the development of the UI screen for configurations of NSFR assumptions. This is because hierarchy is with respect to the cash flows intervals which is normally time bucket definitions for the other assumptions. This hierarchy contains the cash flow maturity bands as per RBI requirement. |
| ADDI_DER_LIA_RSF | This attribute captures the percentage factor for the additional portion of derivative liabilities to be included as part of RSF assumption. | 20 | This attribute captures the percentage factor for the additional portion of derivative liabilities to be included as part of RSF assumption. |
| SEC_TRANS_TREATMENT_PU RPOSE_VAL | Secured Transactions Treatment Purpose Value. |
-1: Off 3: On |
The secured transactions treatment purpose feature can be turned ‘ON’ to update the secured and unsecured calculations at account- collateral level. |
| LRM_BOT_SME_AGG_FUND I NG_AMT | BOT Funding Limit. | 50000000 | This entry captures specifies the aggregate funding threshold for identifying the counterparties as SME’s based on limit specified by the regulator. The amount mentioned here is considered in THB. |
| LRM_REPLINE_TABLE |
The entry for LRM_REPLINE_TABLE is added in the setup_master table. The dimensions defined in the table FSI_LRM_REP_LINE_ATT R_DETAILS are displayed in the user interface along with the nodes of each hierarchy. |
FSI_LRM_R E P_LINE_AT T R_DETAILS | |
| BACK_DATED_RUN_PURPOS E | This entry captures the run purposes where the back dated functionality is available. |
16, 7, 4, 13, 8, 9, 19 |
This entry captures the run purpose for which backdated is required. Currently it is available for the values:
|
| LRM_SELF_APPROVAL_CAP ABILITY_FOR_MAKER | This parameter determines if an individual with the roles of both Analyst and Approver can self-approve the records they created. | Y |
List of Values are:
|