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Oracle Financial Services Liquidity Risk Management User Guide

1. O Select AN Lines of Business 1 331 360Days Product f AUS yollar Lines of Business 1 361 390Days Product Australian Dollar y US Dollar Lines of Business 2 331 360Days Product Lines of Business 2 361 390Days Product Lines of Business 1 331 360Days Product Lines of Business 1 361 390Days Product Lines of Business 2 331 360Days Product f O Lines of Business 2 361 390Days Product Aud Ls S Ok Cancel Created i Lo Creation Date Last Modified By Last Modified Date Figure 26 Business Assumption Add Additional Collateral Rating Downgrade Increase in Cash flow Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application Assumption This text box allows you to specify the Assumption Description Description This button allows you to select the pre defined Rule Name Rule which is associated with the assumption This dropdown allows you to select the type of Assumption Type assumption you want to define When the rule and assumption type is selected all the dimensions which are available in the Rule are displayed in this section Each dimension will Dimension Member appear with its selection button which allows you Selection to select the nodes of the dimension member which will participate in defining the assumption By clicking the button the respective Dimension Member Selection browser pops up This button gives you the option of specif
2. Business Unit Product Outflow Amount Offset Leg C Lines of Business 1 es of Business 1 Dlrimnes of Business 1 Product Product E Lines of Business 2 Product 7 7Days Product 22 22Days Product Product Product ENG Product y Audit Trail KS Ok Cancel Ir Created By ox _Cancel_ Creation Date Last Modified By Last Modified Date Figure 41 Business Assumption Add EOP Asset Balance Growth Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application Assumption This text box allows you to specify the Assumption Description Description This button allows you to select the pre defined Rule Name Rule which is associated with the assumption This dropdown allows you to select the type of Assumption Type assumption When you have selected the Rule and Assumption Type all the dimensions which are available in the Rule is displayed in this section Each dimension Dimension Member appears with its own selection button which allows Selection you to select the nodes of the dimension member which will participate in defining the assumption By clicking the button the respective Dimension Member Selection Browser pops up This button gives you the option
3. Currency Business Unit LR Time Bucket Product Ilow Amownt 391 420Days Fixed Deposits 250000 ES Australian Dolla 421 450Days Fixed Deposits 500000 41 41Days v L Y US Dollar ls 2 391 420Days Fixed Deposits 250000 37 37Days v E is 2 421 450Days Fixed Deposits 000000 Overnight v ES TA Save Cancel Created Creation Date Last Mod Last Modified Date i Ok Cancel O 6 Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application Assumption This text box allows you to specify the Assumption Description Description This button allows you to select the pre defined Rule Name Rule which is associated with the assumption which you are defining This dropdown allows you to select the type of Assumption Type Assumption When you have selected the Rule and Assumption Type all the dimensions which are available in the Rule is displayed in this section Each dimension Dimension Member appears with its selection button which allows you Selection to select the nodes of dimension member which will participate in defining the Assumption By clicking this button the respective Dimension Member Selection Browser will popup This button gives you the option of specifying the Assumption Unit assumption in percentage or value This button is enabled if you have selected the Value as the option in Assumption Unit Equivalent Currency is to be selected if you want to give value of the
4. LRM Business Assumption Asset Book y Dimension Member Selection Business Unit Currency LR Time Bucket Product Ca y Assumption Specification ES gt ee Assumption Unit Yalue Percentage O Assumption Currency Equivalent Currency Natural Currency Currency S Unit one SE LR Time Bucket Product Inflow Amount Revised Time Bucket Offset Leg dl Select All 331 360Days Personal loans R O Australian Dollar Dollar 421 450Days Personal loans ES Et US Dollar 331 360Days Personal loans ES DE 421 450Days Personal loans By Wl Dollar 331 360Days Personal loans ES IR Dotar 421 450Days Personal loans ES da 331 360Days Personal loans ES 421 450Days Personal loans ES Cancel Audi j ERA Ok Cancel 8 e SS Seege SS Created Lo Cancel Creation Date f Last Modified By Last Modified Date Figure 38 Business Assumption Add Asset Book Growth Business Assumption Definition Screen allows you to define a new Assumption in Liquidity Risk Management Application Business Assumption Definition Screen allows you to define a new Assumption in Liquidity Risk Management Application This text box allows you to specify the Assumption Description Description ame This button allows you to sele
5. Sale of Marketable Assets The list of instruments displayed in the Instrument Selection Browser screen is taken from the table FCT_COMMON_ACCOUNT_SUMMARY where Marketability Indicator is set to Y You can alternatively search for the instrument by selecting the various filter options in the Advanced Filter field The following information 1S auto populated from the FCT_COMMON_ACCOUNT_SUMMARY table when you select the instrument in the Instrument Selection Browser Screen o Asset o Natural Currency o Asset Maturity Date o Units Available o Market Value per Unit NCY o Market Value per Unit Converted o Number of Days for Liquidation The following information is to be updated by you o Units to be sold State the number units of the instrument to be sold o Discount in Discount provided on the price of the instrument is to be entered in percentage o Revised Inflow Bucket Select the inflow bucket where the above stated cash inflow will occur If an additional instrument is to be added then click ES and repeat the above stated procedure Sale of Other Assets The list of assets displayed in the Instrument Selection Browser screen is taken from the table FCT_COMMON_ACCOUNT_SUMMARY where encumbrance status 1s set to N You can alternatively search for the instrument by selecting the various filter options in the Advanced Filter field The following information 1S auto populated from the FCT_COMMON_ACCOUNT_SUMMARY tab
6. 4 Dimension Member Selection Assumption Currency Revised Time Bucket Select Check B If you click this button then the corresponding acres Assumption Row is selected 2 This button deletes all the records from the Grid where Select Check Box button is selected If an additional amount for one more bucket for the Add same combination is to be added then you can click 3 the Add button to insert one or more rows for the same combination If you want to delete the row added for the same Delete combination then you can click the Delete button to Delete row of the same combination This button allows you to save the defined 4 Save E assumption This button allows you to discard all changes made Table 37 Business Assumption Add Asset Book Growth pd pd pd O Business Assumption Definition Webpage Dialog Business Assumption Definition Y Assumption Details Assumption Description Rule Name Y Dimension Member Selection Currency Business Unit LR Time Bucket Product Y Assumption Specification Assumption Unit Assumption Currency US Dollar Equivalent Currency Natural Currency hit LR Time Bucket Product Outflow Amount siness 5 91 120Davs xe eposits zB d Select All of Business 51 91 120Days Fixed Deposits 400000 V Euro European EMN of Business 51 37 37Days Fixed Deposits 400000 Y Indian Rupee Y US Dollar
7. Outflow 3 3 7 6 3 31 18 16 6 78 3 31 14 26 3 3 3 31 3 31 35 3 3 652 95 3 31 3 31 3 31 Gap E 8 25 8 25 8 25 8 25 8 25 8 25 E y 1 972 65 0 93 Sale of Marketable Assets y f 0 00 0 00 0 00 0 00 i y i E 7 19 0 00 0 00 Sale of Other Assets f t 0 00 0 00 0 00 i 1 0 00 0 00 Rollover of Existing Repos E f 0 00 0 00 l f i 0 00 New Repos i i 0 00 0 00 f y 0 00 New Funding l 0 00 0 00 0 00 New Gap h 8 25 S 1 1 1 972 65 Amounts in US Dollar Save Cancel Audit Trail Created By LRMUSER Creation Date 20 09 2011 Last Modified By LRMUSER Last Modified Date 27 09 2011 Once you have defined the Counterbalancing Apply Strategy this button allows you to generate a Gap Counterbalancing Report of the selected Run after applying the Counterbalancing Strategy This section displays the Post Counterbalancing Gap Report of the selected Run This grid is populated once you click the Apply Counterbalancing Button This button saves the defined Counterbalancing Strategy This button discards all the changes made in this screen and takes you to Counterbalancing Summary Screen Table 54 Counterbalancing Strategy Definition Screen 2 Liquidity Gap Report Post Counterbalancing e Add Counterbalancing Positions Webpage Dialog Add Counterbalancing Positions Liquidity Gap Report Liquidity Position Time Bucket Overnight 1 1Days 2 2Days 3 3Days
8. Figure 31 Business Assumption Add Rollover of Liabilities Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application Assumption This text box allows you to specify the assumption Description description This button allows you to select the pre defined Rule Name Rule which is associated with the assumption This dropdown allows you to select the type of Assumption Type assumption When you have selected the Rule and Assumption Type all the Dimensions which are available in the Rule is displayed in this section Each Dimension Dimension Member appears with its selection button which allows you Selection to select the nodes of the dimension member which participate in defining the assumption By clicking the button the respective Dimension Member Selection Browser pops up This button gives you the option of specifying the Assumption Unit assumption in percentage or value This button is enabled if you select value as the option in the Assumption Unit Equivalent Currency is to be selected if you want to give value of the Assumption as the common currency Natural Currency is to be selected if you want to give the values of the assumption in the natural currency of the record Assumption Currency Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application This button is activated if Equivalent Currency is selected in the As
9. 0 93 0 93 0 93 1 972 65 1to1of1 No of Units to be Sold 1 572 12 Discount in ae of Assets to be Sold Discount in 1 to 10f1 Market Value per Instrument Maturity Date 07 01 2014 http 10 184 74 70 19191 OFSAA4I Irst CounterBalancing counterbalancingPos jsp runT ype Baseline amp baselineRunID 1 308697428037 amis a Local intranet Figure 56 Counterbalancing Positions Add 1 Counterbalancing Position Add Screen allows you to add Counterbalancing Strategy in the LRM Application Delete Units to be Sold Discount in Revised Inflow Bucket Delete Percentage of Assets to be Sold Discount in This link allows you to add Sale of Marketable Assets Counterbalancing Strategy By clicking this link the Instrument Selection Browser screen is displayed where you can select the Instrument over which Sale of Marketable Asset Counterbalancing Strategy is to be applied This button allows you to delete the selected Strategy State the number units of the instrument to be sold Provide information on the discount on the price of the instrument Discount should be entered in Percentage Select the inflow bucket where the stated cash inflow will occur This link allows you to add Sale of Other Assets Counterbalancing Strategy By clicking this link the Non Marketable Asset Selection Browser screen appears where you can select the Non Marketable Asset
10. Adding New Dimension to the Assumption The steps for configuring new dimension in the assumption are as follows 1 New dimensions can be added by including the new dimensions table or creating an alias over the existing dimension table 2 Create a hierarchy on the Dimension table or alias If it s a cash flow Attribute then a column needs to be added to the following tables STG_ACCOUNT_CASH_FLOWS FCT_PROCESS_CASHFLOW FCT_ACCOUNT_CASH_FLOWS FCT_AGG_CASH FLOWS Ss TEMP_AGG CASH FLOWS FSI BEHAVIOR_ASSUMPTIONS TEMP_FSI_BEHAVIOR_ASSUMPTIONS FSI BEHAVIOR_ASSUMPTIONS_FD data type should VARCHAR2 500 TEMP_FSI BEHAVIOR_ASSMPT_FD o Column_NAME data type should be VARCHAR2 500 as it holds a hierarchy unique code o Column_NAME_DSC data type should be VARCHAR2 500 oa Column Name should be the same across the following tables oFCT_PROCESS_ CASHFLOW oFCT_ACCOUNT_CASH_ FLOWS oFCT_AGG_CASH_FLOWS oTEMP_AGG CASH FLOWS oFSL BEHAVIOR_ASSUMPTIONS oTEMP_FSIBEHAVIOR_ASSUMPTIONS If it s an account attribute then a column needs to be added to the following tables FCT_COMMON_ACCOUNT_ SUMMARY FCT_AGG_CASH_ FLOWS TEMP AGG CASH FLOWS FSI BEHAVIOR_ASSUMPTIONS TEMP_FSI_BEHAVIOR_ASSUMPTIONS FSI BEHAVIOR_ASSUMPTIONS_FD data type should be VARCHAR2 500 TEMP_FSI_BEHAVIOR_ASSMPT_FD Column_NAME data type should be VARCHAR2 500 as it holds hierarchy unique code Column_NAME_D
11. EOP e Growth Assets LRM Business Assumption EOP T FOP Balance Growth Assets EOP Balance Growth of Asset CH Business Assumption EOP Bal 0 LRMIUTUSER 10 06 2011 LNA NA Assumption Growth Asset Multi Prod E EOP Balance Run Off EOP Balance Run off RI EENEG EE EOP eee 0 LRMIUTUSER 10 06 2011 LNA _NA Emerging Delinquency non Emerging Delinquency Other LRM Business Assumption Emr Dek e 0 LRMIUTUSER 10 06 2011 LNA NA Large customers Customers Non Large Customer Emerging Delinquency large Emerging Delinquency Large LRM AE Emr Dek Y 9 LRMIUTUSER 10 06 2011 NA NA customers Customers Large Customer A Recovery Assumption Recovery LRM Business Assumption Recovery Y 0 LRMIUTUSER 10 06 2011 NA NA M Prepayments Assumption Prepayments LRM Business Assumption Prepayment Y 0 LRMIUTUSER 10 06 2011 NA NA 1 Rollover of Liabilities Rollover of Liabilities LRM Business Assumption Rollover 0 LRMIUTUSER 10 06 2011 LNA NA Assumption Liabilities O Rollover of Asset Assumption Rollover of Assets Peer Assumption Rolover Y 0 LRMIUTUSER 10 06 2011 NA NA _ Haircut Assumption Haircut LRM Business Assumption Haircut Y 0 LRMIUTUSER 10 06 2011 NA NA LRM Business Ass Ass y i F Asset Book Growth Assumption Asset Book Growth serte Assumption Asset Book Y 0 LRMIUTUSER 10 06 2011 NA NA v Done Kr Local intranet E 100 Figure 23 Business Assumption Summary Business Assumpt
12. Rate required 1 Rate between JPY to INR e Check 3 If INR to USD and USD to JPY is available then Rate required Rate between INR to USD Rate between USD to JPY e Check 4 If USD to INR and USD to JPY is available then Rate required 1 Rate between USD to INR Rate between USD to JPY 9 Check 5 If INR to USD and JPY to USD is available then Rate required Rate between INR to USD 1 Rate between JPY to USD e Check 6 If USD to INR and JPY to USD is available then Rate required 1 Rate between USD to INR 1 Rate between JPY to USD Else fail no data available For spot the rate is obtained on a combination of currencies and for forward the rate is obtained on a combination of currencies and time bucket 2 6 Contractual Run Definition and Execution A contractual run allows you to estimate liquidity gaps based on the contractual cash flows received as a download from the bank All inflows and outflows of cash are assumed to be generated based on the terms of the contract The liquidity gaps are estimated on a standalone Solo basis for each selected legal entity or on a consolidated basis at the level of the selected legal entity The gap report enables the analysis of the current liquidity gaps in each time bucket purely based on contractual terms Contractual Execution caters to the as of date liquidity status of the organization without the application of any business assumption A Contractual Run
13. 4 4Days 5 5Days 6 6Days 7 7Days Inflow 11 56 89 36 11 56 9 91 1 47 11 56 6 01 11 56 Outflow 3 31 97 60 3 31 Gap 8 25 8 24 8 25 8 25 8 25 8 25 8 25 58 25 2 Sale of Marketable Assets Sale Unit Units of Marketable Asset Percentage of Marketable Asset Market Value per Instrument Maturity Units Date Available 18 01 2012 2 Natural Instrument Currency Legal Entity Bank Shanghai S 3 E InsT10031 HK Chinese Yen 303434 435 2 Sale of Other Assets Sale Unit Units of Underlying Instrument Percentage of Underlying Instrument Asset Natural Currency Legal Entity Asset Value NCY O Land Building Fixed Assets LE3 Indian Rupee Bank Shanghai HK 393111 2 Rollover of Existing Repos Rollover Unit Units of Underlying Instrument Percentage of Underlying Instrument Repo Repo Counterparty Maturity Maturity Date Amount Repo Maturity Amount Natural Currency Legal Entity Bank INST10035 Indian Rupee Shanghai HK Underlying pann Instrument 12528 31 CMP INR CUST0021 13 01 2012 1 23 2011 566203 371 lt 8 8Days 11 56 18 16 6 78 3 31 14 26 3 31 3 31 Market Value per Asset Value Converted 8703 8707 5226 90 10 9 9Days 10 10Days 11 11Days 12 12Days 13 13Days 14 14Days 15 15Days 16 16Days 17 17D 11 56 4 24 652 02 1 969 34 4 24 4 24 1 568 81 16 42 3 31 17 35 3 31 652 95 3 31 3 31 3 31 3 31
14. 5 32 y 6 12 47 6 12 346000 348937 5 Months Months 346000 1250000 5 47 y 8 8 15 Days 1 3 112 1 3 Years 421000 458721 6 Years 421000 421000 8 112 H Table 14 Asset Book Growth 2 7 16 Liability Book Growth Liability Book Growth refers to the growth in the value of deposits which are maintained by the bank s customers or borrowings that have been taken by the bank The growth in the value of deposits results in an additional cash outflow in the maturing time bucket Old outflow will be replaced by new outflows This assumption also accounts for both the outflows and corresponding inflows occurring due to the growth in business represented by Leg 1 and Leg 2 Cash flow assignment is done in the following manner Cash F low for Bucket n Cash flow Amount Percentage Specified OR Amount Specified An example of the assumption applied to product type fixed deposit legal entity LE 1 and currency USD is as follows 118750 125000 1 7 Days 125000 125000 5 175000 21 8 15 Days 175000 421000 8 3 224687 5 1 3 223000 Months 223000 125000 5 27 200000 6 3 6 198000 Months 32 Months 198000 1250000 5 32 3 1 3 6 12 6 12 346000 Months 47 Months 346000 1250000 5 47 LL Lem J 421000 Years 112 1 3 Years 421000 421000 8 112 Table 15 Liability Book Growth 2 7 17 Drawdown of Unutilized Cr
15. Counterbalancing Strategy on the basis of the Run Name Specify the Run Name here to search for the pre defined Counterbalancing Strategy This section allows you to search the pre defined FIC MIS Date Run Counterbalancing Strategy on the basis of Execution Execution Date Date Specify the Execution Date here to search for the pre defined Counterbalancing Strategy This section allows you to search the pre defined Counterbalancing Strategy on the basis of Legal n ney Entity Specify ge Legal entity to search for ge pre defined Counterbalancing Strategy This link allows you to search the Counterbalancing Search Strategy on the basis of Counterbalancing Strategy Name Run Name Execution Date or Legal Entity This link allows you to reset the screen to 1ts default Reset state where all the Counterbalancing Strategies are displayed Add This link allows you to define a new Counterbalancing Strategy This link allows you to edit the selected Counterbalancing Strategy Definition Counterbalancing Strategy Name Counterbalancing Strategy View This link allows you to view the selected Counterbalancing Strategy This link allows you to delete the selected Table 52 Counterbalancing Strategy Summary Counterbalancing Strategy Definition Windows Internet Explorer Counterbalancing Strategy Definition Details Counterbalancing Strategy Name FIC MIS Date Run Selection Currency Baseline Run Time Buc
16. Figure 35 Business Assumption Add Emerging Delinquency Non Large Customers Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application Assumption This text box allows you to specify the Assumption Description Description This button allows you to select the predefined Rule Rule Name which is associated with the Assumption which you are defining This dropdown allows you to select the type Assumption Type Assumption you have to define When you select the Rule and Assumption Type all the Dimensions which are available in the Rule is displayed in this section Each Dimension will Dimension Member appear with its selection button which allows you Selection to select the nodes of dimension member which will participate in defining the assumption By clicking the button the respective Dimension Member Selection Browser pops up Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application This button gives you the option of specifying the Assumption Unit assumption in percentage or value This button is enabled if you have selected the Value as the option in Assumption Unit Equivalent Currency is to be selected if you want to give value of the Assumption in the common currency Natural Currency is to be selected if you want to give the values of the Assumption in the natural currency of the record This button is activated if Equivalent
17. For business assumption Emerging Delinquency Large Customers you have a choice to select the combination over which the assumption is to be applied under the Inflow Amount field shown in the following figure Product inflow Amount Credi Card Outstanding w Credit Card Outstanding e Cred Card Outstanding Credi Ca standing 13 Select the Revised Time Bucket shown in the following figure This is applicable for the following Business Assumptions 1 Rollover of Assets il Rollover of Liabilities iii Run off Iv Prepayment V Asset Book Growth vi Liability Book Growth vii Drawdown of Unutilized Credit viii EOP Asset Balance Growth ix EOP Liability Balance Growth X Drawdown of Funding Line of Credit t evised Time Bucket inflow Amount Overnight w Overnight W Overnight me A Overnigh be Figure 9 Revised Time Bucket To view the respective business assumption screenshots with the relevant description of each field to be updated see Annexure A Screen Format on page 56 For more information on business assumptions data maintenance see Annexure C Business Assumptions Data Maintenance on page 123 4 Execution Once data stores are created and defined the timing and frequency of execution of data can be established The LRM application contains a Graphic User Interface GUI which contains the functionality of executing runs by selecting different run level parameters for each execution Runs ca
18. Infrastructure OFSAAI and executed using the Run Management User Interface UI of the LRM Application For more information on defining BAU Run see the OFSAAI Rule Process and Run Framework User Guide For more information on Execution of a Contractual Run see Executing a Run on page 48 2 9 Stress Assumption Definition Business assumptions as explained in the earlier section are also applied to the contractual or BAU cash flows through stress execution The definition and application of these assumptions in a stress execution 1s different from that of BAU execution as it is stressed based on historical data or user judgment A Rule is the basis of any business assumption Each rule pre configured in the LRM Application is associated with a single business assumption A rule can be defined or modified in the Rule framework of the OFSAAIT 2 10 Stress Scenario Definition Rule shocks can be easily defined by replacing an existing rule with a stressed rule Each stressed rule captures an assumption related to Asset Sale Run off Repo Rollover Collateral Haircut change and so on under a stressed or BAU scenario These rules can be easily modified and saved as new stress rules Multiple Rules can be consolidated to form a single scenario For more information on definition of Stress Scenarios see the Stress Testing Framework 2 11 Stress Run Definition and Execution A stressed scenario is mapped to a Baseline Ru
19. Run Execution Summary Screen shows the Execution History of the selected Run If you click this button then the corresponding Execution Row is selected Select Check Box Once you select the Execution using Select Check Legal Entity View Box click Legal Entity View button to view all the Legal Entities used in the Execution Click this button to close Run Execution Summary Table 51 Run Execution Summary Defining and Applying Counterbalancing Strategy gt Liquidity Risk Management Windows Internet Explorer ORACCE Hame HOME Financial Services Liquidity Risk Management User LAMUSER bout Connected to LAMSOL Segment LRMSEG vw EN Liquidity Risk E Time Buckets Business Assumption Definition k UTE Te Counterbalancing Strategy Definition Counterbalancing Strategy Summary Search Counterbalancing Strategy Name Run Execution Date List of Counterbalancing Strategies 1 to 9o0f9 Run Counterbalancing Run Creation Last Laat Strategy Name Execution Run PA Legal Entity Currency Scenario Created By Date Modified By Modified Date Date LRM BUSINESS Bank CB Strategy 5 19 05 20 XE015 S AUS 20 09 2 LRMUS 27 09 2 O CB Strategy 5 09 05 2011 pco RQEXE015 Shanghai HK US Dollar LRMUSER 20 09 2011 RMUSER 27 09 2011 CRAS env Stre S SS H Ce pg CB Strategy Stress 09 05 2011 LRM BUSINESS horxE001 Bank Central indian Rupee Mild Recession LR
20. Windows Internet Explorer Run Execution Summary Run Details Run Name BAU 1 Run ID 1307982311711 Run Type BAU RUN A n Execution Details z 1toSof9 Run Contractual Run EA Consolidation Reporting Business Day Forward Rate LCR Horizon in FIC MIS _Exectition Execution Time of Execution ID Execution ID Type Currency Convention Interpolation Method Days Date Status Date Execution LRM x XE002 S No A 3 5 09 2 A 13 2 3 06 38 RQEXE001 RQEXE002 CONTRACTUAL 2 SOLO USD No Adjustment Linear BE 05 09 2011 FAILED 06 13 2011 Kaes RQEXE002 RQEXE002 zeae a a SOLO USD No Adjustment Linear 30 05 09 2011 SUCCESS 06 13 2011 18 06 33 CONTRACTUAL 2 RQEXE003 RQEXE002 a R vu gt SOLO USD No Adjustment Linear 30 05 09 2011 SUCCESS 06 13 2011 18 06 57 CONTRACTUAL2 i LRM x XE002 S l 3 5 09 2 SUCCESS 11342 8 06 13 RQEXE004 RQEXE002 CONTRACTUAL 2 SOLO USD Prior Linear 30 05 09 2011 SUCCESS 06 13 2011 18 06 13 RQEXE005 RQEXE003 ege a a 4 O USD No Adjustment Linear 30 05 09 2011 SUCCESS 06 13 2011 18 06 22 CONTRACTUAL2 Legal Entity Selected Bank Central India Bank One US Bank Shanghai HK National Housing Finance Co Bank of China Capital Market Co Ge EX 100 Ki SP Local intranet a E i Eemere Figure 52 Run Execution Summary
21. lange E teg Dee ten E EC ix FAUT We fe FOSA AAA AAA A 37 puts Tor Time BUKENE oone ici id 13 eg ef LION Bin d ee Ee 16 L re Le reet RE ns AA AAA AAA AAA AAA AE 38 Lapi e Ee DEE 30 Viability BOOK GrOWtA C ICa HO e E 30 Haudi Covera re Rato ASA EAS AA 36 37 40 Liquidity Gap Report Post Counterbalancing ina A A AAA AAA 60 A cu acon sare va nc ehh pct spc nc tm vaunted E ud ea ad ea uma Reade a ea 35 LIGUIGIEY Risk Management LIAM EE EE 63 IRM Cash eelere 39 re Ee Bled OW COMPUT Te Nini ASA AAA SAA AAA AA A AAA AAA ARAS 39 LRM Liquidity Coverage Ratio Gomputation A S 40 LRM NCOF Computation VE Ee Be Le te 39 IRM Net Stable Funding Ratio Computatio hs isis AAA AAA AA 42 LRM SHOLA EENEG EE ANA ad 39 Bel e tege ie Funcionales caca SNA As 10 LRVEECR Ren ie COMPUTO Mad ad 40 LRM ECR Regele EEN 40 rh e Ree Tele COMDUTI e E 41 LRM EGR DATA POPULATION cu A AAA A AAA A di 38 41 LRMBACOTE tario 44 ERMBAADD E 44 ERMBA DEL omar att 44 PRVMBAMOD tds id tds 44 Ee 44 ERMEBAD Ds EE 44 ERMEBDE Ls SS a ea oes 44 URMEBMOD EE 44 ERMCBVIW A EA AA EE EE 44 ERMRUNADD td tedio 45 TORR EC RTE EE 45 ERMRUNEXP EE 45 ENEE EE 45 EI ESSN KEE 45 M Modit Counter TEE ut aa 44 Mod BR EE 45 WModule d Setup Data Mag Menta ia 45 Multi Level Time Bucketing tevel bevels Level 2 Mme Buckets EE 14 N Net Cash Outrlow NC a a a 39 NE Stable TUM GIS if BEC E 37 NEE Sta bie Fundine RaO ss stieciz a 41 BN SFE IC Ve 43 60 New Repo Deal EE 42 59
22. y Dimension Member Selection Business Unit Currency LR Time Bucket Product y Assumption Specification Business Assumption Definition Drawdown of unutilized Credit LRM Business Assumption Drawdown Is Assumption Type Drawdown of Unutilized Credit Assumption Unit Cash Flow Assignment Method Leg 1 Business Unit es of Business 50 Lines of Business 50 3 of Business 50 E Lines of Business 50 Audit Trail Created By Last Modified By Product Product Product Product Product Ok Cancel Save Cancel Creation Date 12 12Days 1 1Days Overnight Last Modified Date Figure 40 Business Assumption Add Drawdown of Unutilized Credit Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application Assumption Description Rule Name Assumption Type Dimension Member Selection Assumption Unit Assumption Currency Currency This text box allows you to specify the Assumption Description This button allows you to select the pre defined Rule which is associated with the assumption you are defining This dropdown allows you to select the type of assumption Once you have selected the Rul
23. AA 37 Conditional EOMOW IGG sets EE 14 Conditional Prior Day CONVENIO A sa 14 Configuring Behaviour ASSUMPTIONS varones ici atleti adds irradia 130 CONTISUFING le DIMENSION e 126 CONSONCA ION DE io DS 54 CONTACTA ARAS AAA AAA AA AAA AAA AAA AAA eves viaes 16 Contractual Run Parameters Selection screens A 111 Counterbalahicine Positions Add AS 119 Counterbalancine Positons Add Z SPC AA SEAS AAA AA AAA AA AS 120 Belleg EE ETag 42 Counterbalaneine Straterplessde ION Er Sii EE 60 Beleg EEN AGR di ee EE 56 Counterbalancing Strategy Definition Screen 1 SCreen scarann E AE E REANO EEEE NAA 116 Counterbalancine Strategy Definition Screen 2 Screen eben 118 Counterbalancine Strategy Name E 56 Counterbalancing Strategy Summary SCEE SAA AAA AA AAA 115 Create Batea maradona 56 Cuprency Conversion ug TE 15 MIER CON Version IA PUES a ii nia 15 Currency Conversion PLOCESS Un Wisin AAA A A E 15 D Data ANAIS AAA AAA A A R viii DACA HEI 123 Data STEIN EE 47 Data Quality Checks on SiG ACCOUNT CASH FLOWS ee der dee A AAA AA 47 Data Quality FEMME WO rei E AS AAA SAA AAA AA IS ears 47 Data REQUEST iio ade Core et 44 Defining BUSINESS ASSUMPTIONS Screen puts aa di 47 Delete Behaviout Assumption EE 44 Delete Counter Banlancine Method EE 44 Delete sR D 45 Deposit Balance Growth e E EE 18 DEPOSES Balance ll OWN d sad ads 18 DIM RESUEL BUERE EE 13 Dimension Member SELECTION EE 48 Dimensions tor Casi TOW dee ree ON AA A 123 AMC US ton rd 15 DOCG A E TA
24. Add Additional Collateral Valuation Changes Asset Value Decrease Currency Business Assumption Definition y Assumption Details E Rolloverof Asset Assumption Description i i Rule Name Dimension Member Selectio H Cur e Currency i Bueineee Link DUSINESS Unt LK 1IMe SUCKET a Tin E r x Assumption Specification Assumption Currency sijas ess Unit LR Time Bucket WE e fBusiness 1 331 360Days Los n kl Australian Dollar pf Business 1 361 390Days a O O US Dollar O r Business 2 331 360Days bf Business 2 361 390Days bf Business 1 331 260Days pf Business 1 361 390Days pf Business 2 331 360Da bf Business 2 361 390Da FVAUO dp Ok Cancel y Created Creation Date d Last Modified By Last Modified Date Figure 30 Business Assumption Add Rollover of Assets Business Assumption Definition Screen allows you to define a new assumption in Liquidity Risk Management Application Assumption This text box allows you to specify the Assumption Description Description This button allows you to select the pre defined Rule Name Rule which is associated with the Assumption This dropdown allows you to select the type of Assumption Type Assumption When you have selected the Rule and Assumption Type all the dimensions which are available in the Rule is displayed in this section Each dimension Dimension M
25. Bucket Assumption Type Product 1to5o0f5 y Assumption Specification Assumption Currency Equivalent Currency Ka Natural Currency gt Bustyess Unit LR Time Bucket Product infig Select All Lines of Business 1 331 360Days Others Australian Dollar Lines of Business 1 361 390Days Others US Dollar Lines of Business 2 361 390Days Others Lines of Business 1 361 390Days Others Lines of Business 2 361 390Days Others Co Save Cancel Ge Creation Date Last Modified Date Figure 24 Business Assumption Add Deposit Balance Growth Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application 1 Assumption This text box allows you to specify the Assumption Description Description This button allows you to select the pre defined 2 Rule Name Rule which is associated with the assumption which you are defining 3 Assumption Type This dropdown allows you to select the type of assumption you want to define When the Rule and Assumption Type has been selected by you all the dimensions which are available in the Rule are displayed in this section Each dimension will appear with its selection button which allows you to select the nodes of the dimension member which will participate in defining the assumption By clicking the button the respective Dimension Member Selec
26. Currency is selected in the Assumption Currency This button Currency allows you to provide the Currency of the amount entered for assumptions Fil For each dimension of the rule Filter is provided for mee ease of defining the Assumption This section allows you to enter the Assumption Amount Assumption Currency Assumption Value Select Check B If you click this button then the corresponding EE Assumption Row is selected 11 This button deletes all the records from the Grid Delete row where Select Check Box button is selected This button allows you to save the defined 12 Save Assumption This button allows you to discard all changes made Table 34 Business Assumption Add Emerging Delinquency Non Large Customers Business Assumption Definition y Assumption Details Assumption Description Rule Name Assumption Type Recovery from Delinquent Accounts y Dimension Member Selection Currency Ca Business Unit LR Time Bucket Product y Assumption Specification Assumption Unit Kalue Percentage O Assumption Currency Equivalent Currency O Natural Currency Currency Ys Unit LR Time Bucket Product Inflow Amount is of Business 1 421 450Days Credit Card Outstanding s of Business 1 451 480Days Credit Card Outstanding is of Business 2 421 450Days Credit Card Outstanding is of Bus
27. LOW for Overnight Bucket Cas h F LOW overnight Bucker Cash F LOW original gege An example of the assumption applied to product type product 01 legal entity LE 1 and currency USD 1s as follows Productor LEI USD Ste oas D Cie Il 50180 days 1000 Table 7 Emerging Delinquency Large Customers 2 7 12 Emerging Delinquency Non Large Customers Emerging Delinquency Non Large Customers is a business assumption where the bank anticipates an emerging loss due to delinquency of its customers and applies the business assumption on the future cash flows In order to define this based on the data selected in the dimensions the customers that are expected to be delinquent are to be specified by you Percentage of the cash flows of the customer marked as delinquent would be placed in the time bucket selected by you Cash flow assignment is done in the following manner Cash Flow for Original Bucket 1 e Cash F LOW original Bucket Percentage Specified OR Amount Specified Cash F LOW for Overnight Bucket Cash F LOW overnight jacka Cash F Low original Bucket Percentage Specified OR Amount Specified An example of the assumption applied to product type loan legal entity LE 1 and currency USD is as follows 60 180 100 100 days Last Bucket 100 100 180 Table 8 Emerging Delinquency Non Large Customers 2 7 13 Recovery from Delinquent Accounts In this assumpti
28. Level 2 Asset Amount Unused is as follows Total Level 2 Asset Amount Unused A E MTM Liquidity Haircut i m i 40 Minimum gt MTM Liquidity Haircut VE Zi A se Y MTM Liquidity Haircut i i where n Total Number of Assets assigned as Level 1 Asset where m total Number of Assets assigned as Level m Asset Stock of High Quality Liquid Asset SHOLA computation SHQLA is calculated at legal entity and currency granularity This is performed by the rule LRM SHQLA Computation The formula for calculating SHQLA is as follows Stock of High Quality Liquid Asset Total Level 1 Amount Total Level 2 Amount Used Cash inflow computation Cash inflow is the sum of all the cash inflows that occur within the specified liquidity horizon and for all the accounts which are marked as other assets This process is performed by the rule LRM Cash Inflow Computation The formula for calculating cash inflow is as follows Cash tnflow gt Cash inflow i where n All the account which are marked as Other Asset and their cash flow date is less than the liquidity horizon Cash outflow _ computation Cash outflow is the sum of the all cash outflows that occur within the specified liquidity horizon and for all the accounts which are marked as Other Assets This process is performed by the Rule LRM Cash Outflow Computation The formula for calculating Cash Outflow is as follows Ca
29. Liquid Assets e Option 3 Additional Use of Level 2 Assets Option 1 Option 1 increases the Stock of HQLA For currencies in which sufficient HQLA is not available the bank can add the amount to Stock of HQLA from Product Type Contractual Committed Liquidity Facilities from the Central Bank This computation happens in LRM LCR Option1 Computation Process Data is first inserted in the table with Option Type as Option 1 and then a set of Rules are executed which updates the Option 1 Amount the Stock of HQLA and then recalculates the Liquidity Coverage Ratio post Options 1 Option 2 Option 2 increases the Stock of HQLA For currencies in which sufficient HQLA is not available the bank can add the amount to Stock of HQLA from foreign currency Stock of HQLA from foreign currencies can only be added if there is extra Stock of HQLA available in foreign currency This computation happens in LRM LCR Option2 Computation Process Data is first inserted in the table with Option Type as Option 2 and then a set of Rules are executed which brings in the extra Stock of HQLA from foreign Currency and adds it to the Stock of HQLA of the currency where the funds are insufficient Once the Option amount and New Stock of HQLA is updated then Liquidity Coverage Ratio is recalculated Option 3 Option 3 increases the Stock of HQLA for currencies in which sufficient HQLA is not available banks can take the additional amount from Asset 2 if available This comp
30. Liquidity Risk Management Release 2 0 1s designed to address liquidity risk of banking institutions across the world It allows institutions to comply with the Individual Liquidity Adequacy Standards ILAS or similar standards issued by other regulators The objective of the LRM Application is to provide a control system to financial institutions to help them identify measure monitor and manage liquidity risk 1 1 Scope of the Application Oracle Financial Services Liquidity Risk Management Release 2 0 supports the following functionalities Supports storage and reporting of cash flows BAU Stress across natural local and reporting currencies Liquidity Gap Calculation Calculate liquidity gaps under the following scenarios Contractual where cash inflows and outflows are considered to take place on contractual terms For more information on Contractual Execution see Contractual Run Definition and Execution on page 13 Business as Usual BAU In a BAU scenario various business assumptions are applied to the contractual cash flows and gaps are re calculated For more information on BAU Execution see BAU Run Definition and Execution on page 32 Stress Scenario In a Stress Scenario certain stressed business assumptions are applied to the BAU cash flows and gaps are re calculated For more information on Stress Scenario see Stress Scenario Definition on page 33 There are 24 pre configured busin
31. Row is selected If an additional amount for one more bucket for the Add same combination is to be added then you can click the Add button to insert one more rows at the same combination If you want to delete the row added for the same Delete combination then you can click the Delete button to Delete row at the same combination Save Assumption This button allows you to discard all changes made Table 29 Business Assumption Add Rollover of Assets 12 This button deletes all the records from the Grid Delete row where Select Check Box button is selected Business Assumption Definition Webpage Dialog Business Assumption Definition 9 A eg LRM Business Assumption Rollover Lia Y Assumption Details Assumption Description Rule Name Rollover of Liabilities v Assumption Type Y Dimension Member Selection Currency Business Unit LR Time Bucket Product Y Assumption Specification Assumption Unit Assumption Currency value Percentage Currency Business Uit LR Time Bucket Product OutfloyA y Select All pf Business 1 361 390Days Others 14 1 1300Days Y Australian Dollar pf Business 1 721 1080Days Others 1801 2160Days v Y US Dollar pf Business 1 361 390Days Others 511 540Days v pf Business 1 721 1080Days Others 1301 2160Days v Save Cancel ED Gor Audi Created Creation Date Last Mog Last Modified Date Lol Cancel
32. Rule Name LRM Business Assumption RSFF Ger Dimension Member Selection aim Product Secured Status Residual Maturity Band y Assumption Specification Assumption Unit Val Percentage Assumption Currency 1 to 1 of 1 Equivalent Currency Natu me Jar C gie e Status Residual Maturity Band Co RSF Factor Sele e No Band 0 0 5 Years ia Balances with Banks SCH Save Cancel CED Created Creation Date Last Mod Last Modified Date Ok Cancel Figure 47 Business Assumption Add Required Stable Funding Factor Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application 1 Assumption This text box allows you to specify the Assumption Description Description 2 This button allows you to select the pre defined l Rule Name Rule which is associated with the Assumption which you are defining Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application A on T This dropdown allows you to select the type of Upon Pe Assumption you want to define When you have selected the Rule and Assumption Type all the dimensions which are available in the Rule is displayed in this section Each dimension Dimension Member appears with its selection button which allows you Selection to select the nodes of dimension member which will participate in defining the assumption By clicking the button t
33. Specified Selected cash flow assignment methodology is similar to the selected cash flow assignment methodology supported by the business assumption EOP Balance Run off 2 7 19 EOP Liability Balance Growth EOP Liability Balance Growth assumption estimates new businesses based on the EOP balance of assets and liabilities It accounts for both legs of the transactions that is inflows as well as outflows Growth is applied to the EOP balance and assigned to time buckets in multiple ways Various options for cash flows assignment available are as follows e Decreasing In decreasing order to all time buckets up to and including the selected time bucket e Equal Equally to all time buckets up to and including the selected time bucket Proportional In proportion to the time bucket size e Selected Selected time bucket only Decreasing Cash flow assignment is done using the following formula Cash FLOW for Bucket n EOP amount Percentage Specified 1 Percentage Specified bei where n number of time bucket Decreasing cash flow assignment methodology is similar to the decreasing cash flow assignment methodology supported by the business assumption EOP Balance Run off Equal Cash flow assignment is done using the following formula Cash Flow for Bucket n _ EOP amount Percentage Specified OR Amount Specified Total number of time buckets Equal cash flow assignment methodology is simil
34. a a EEN 13 Tie pucker Tel ys SA es 18 Timne Bucket SUMINISTRA AAA AAA AAA EA AA A A AA AA 64 TIME BUCKEUNE AS AAA EA AAA ASA AA 13 THme Bucketine Process FOW cureranno ada ia 13 V e Te Ee Ee A4 View een mio E A4 Vew ERM RUN EE 45 W eet 37 ORACLE Oracle Financial Services Liquidity Risk Management Release 2 0 User Guide September 2013 Version number 1 0 Oracle Corporation World Headquarters 500 Oracle Parkway Redwood Shores CA 94065 U S A Worldwide Inquiries Phone 1 650 506 7000 Fax 1 650 506 7200 http www oracle com us industries financial services index html Copyright O 2013 Oracle and or its affiliates All rights reserved No part of this work may be reproduced stored in a retrieval system adopted or transmitted in any form or by any means electronic mechanical photographic graphic optic recording or otherwise translated in any language or computer language without the prior written permission of Oracle Financial Services Software Limited Due care has been taken to make this Oracle Financial Services Liquidity Risk Management User Guide and accompanying software package as accurate as possible However Oracle Financial Services Software Limited makes no representation or warranties with respect to the contents hereof and shall not be responsible for any loss or damage caused to the user by the direct or indirect use of this User Manual and the accompanying Software System Furthermore Oracle Fi
35. allows you to specify the amount in percentage only Percentage specified will be applied to the selected combination in order to calculate the Stock of High Quality Liquid Assets This business assumption is an assignment assumption and there are no calculations involved The assigned percentage is used in calculating Liquidity Coverage Ratio LCR For more information on Liquidity Coverage Ratio see Liquidity Ratio and Funding Concentration Calculation Process Flow on page 33 2 7 23 Available Stable Funding Factors Available stable funding factors are the multiplication factors specified for liabilities and equities for the purpose of calculating the Net Stable Funding Ratio NSFR This assumption does not affect the cash flows for the purpose of computing liquidity gaps but is used only for calculating the total available stable funding This business assumption allows you to specify the amount in percentage only The percentage specified is applied to the selected combination in order to calculate the NSFR This business assumption is an assignment assumption and there are no calculations involved This assigned percentage is used in calculating Net Stable Funding Ratio For more information on Liquidity Coverage Ratio see Liquidity Ratio and Funding Concentration Calculation Process Flow on page 33 2 7 24 Required Stable Funding Factors Required stable funding factors are the multiplication factors specified for assets for
36. based on 48 dimensions which are as follows Accounting Classification Asset Level e Basel Customer Type e Basel II Risk Weight e Basel Issuer Type e Basel Rating e Callable Period e Collateral Used to Cover Short Positions Commitment Status Component of a Major Index Country Currency Customer Customer Chanel Customer Financial Entity Flag Customer Type Delinquency Period Domestic Currency Indicator Effective Maturity Effective Residual Maturity Encumbrance Status Guarantor Type Mliquidity Status Instrument Type Interest Rate Type Issuer Issuer Financial Entity Flag Legal Entity Line of Business Listing Status Loan Renewable Status Loan Status Marketability Indicator Maturity Operational Relationship Product Product Type Rating Residual Maturity Revocability Status Secured Status Sold Exclusively in Retail Market Stability Time Bucket Underlying Asset Level Withdrawal Notice Period Withdrawal Penalty Cash flow Type These dimensions are either attributes of a Cash flow or are attributes of an Account Dimensions which are attributes of account are fetched from FCT_COMMON_ACCOUNT SUMMARY and dimensions which are attributes of cash flows are fetched from FCT_ACCOUNT_CASH_ FLOWS Once data is loaded in the FCT_AGG_ CASH_FLOWS then currency conversion module is executed which converts the cash flows from its Natural currency to the Local and Reporting Currency For more information
37. button is enabled if you have selected the value as the option in Assumption Unit Equivalent Currency is to be selected if you want to give value of the assumption as the common currency Natural Currency is to be selected if you want to give the values of the assumption in the natural currency of Business Assumption Definition Screen allows you to define a new assumption in the LRM Application ithe record This button is activated if Equivalent Currency is 7 Cen selected in the Assumption Currency This button y allows you to define the Currency of the amount entered for assumptions Fil For each dimension of the rule Filter is provided for me ease of defining the Assumption This section allows you to enter the Assumption Assumption Value Amon 10 Select Check B If you click this button then the corresponding SICUE CEEE BOX Assumption Row is selected 11 Del This button will delete all the records from the Grid SSES where Select Check Box button is selected Co This button allows you to copy the assumption and 12 PY save as new mapping This button allows you to save the defined Assumption This button allows you to discard all changes made Table 45 Business Assumption Add Available Stable Funding Factors Business Assumption Definition y Assumption Details Required Stable funding factor Assumption Description lt a Assumption Type Required Stable Funding Factofs v Save
38. day time bucket the forward exchange rate will be calculated by interpolating the spot rate and the 30 days forward exchange rate using the Linear and Log Linear Interpolation method based on your selection If interpolation is to be done on the 95 day which does not have any upper forward exchange rate available then the 95 day forward exchange rate will be calculated by extrapolating 60 and 90 forward exchange rates 57 o Assigning a cash flow to a particular time bucket is important for computing forward exchange rate If a cash flow is not assigned to a particular time bucket then forward exchange rate for that cash flow will not be computed oFor each currency you can select the spot rate or forward exchange rate to be used for currency conversion however the interpolation method is selected while defining the parameters of a Run oFor interpolation of a day the two forward exchange rates obtained are the ones which is closest to the lower tenor forward exchange rate available or higher tenor forward exchange rate available If higher tenor forward exchange rate is not available then using the two nearest lower tenor forward exchange rates available an extrapolation is done 2 5 3 Calculation The steps to obtain the exchange rate of currencies are as follows For rate between INR to JPY e Check 1 If INR to JPY is available then Rate required Rate between INR to JPY e Check 2 If JPY to INR is available then
39. defining the assumption By clicking the button the respective Dimension Member Selection Browser pops up This button gives you the option of specifying the 5 Assumption Unit assumption 1n percentage or value For this assumption Assumption unit selected can be in percentage only Assumption This button is disabled for this assumption Currency This button is disabled for this assumption For each dimension of the rule Filter is provided for Filter ne ease of defining the Assumption Assumption Valine This section allows you to enter the Assumption Amount Select Check Box If you click this button then the corresponding Assumption Row is selected ta eg This button deletes all the records from the Grid where Select Check Box button is selected This button allows you to save the defined Save assumption This button allows you to discard all changes made Table 24 Business Assumption Add Haircut Business Assumption Definition y Assumption Details Assumption Description Rule Name RM Business Assumption Add ColkRa Assumption Type Additional Collateral Rating Downgrade Increase in Cashflow y Dimension Member Selection Currency Business Unit LR Time Bucket Product y Assumption Specification Assumption Unit Va Assumption Currency Currency Downgrade Currency Business Unit LR Time Bucket Product
40. is applicable for the following business assumptions 1 Drawdown of Unutilized Credit li EOP Asset Balance Growth iii EOP Liability Balance Growth Iv Drawdown of Funding Line of Credit Cas NOTE oWhen Leg 1 and Leg 2 Cash Flow assignment selections are made the Assumption Value for Legl and Leg2 are to be entered in the Outflow or Inflow Amount field and Offset Leg field respectively as shown in the following figure Cash Flow Assignment Method Leg 1 Decreasing e Cash Flow Assignment Method Leg 2 Selected v Business Unit Currency LR Time Bucket Product Outflow Amount Revised Time Sech d Select All 37 37Days v 15 Lines of Business 50 Australian Dollar EH nding 10 Vd 36 36Days 38 38Days v 20 d 37 37Days en E ai Lines of Business 50 Australian Dollar d 9 9Days nding 25 38 38Days v 15 42 42Days v 10 41 41Days v 5 Lines of Business 50 Yuan Chinese Renminbi nding 20 42 42Days v 10 Figure 7 Outflow or Inflow Amount selection oFor assumption EOP Balance Run Off a single field for Cash Flow Assignment Method selection is available olf decreasing has been selected then assumption unit should be in percentage and not value 12 Enter the Assumption Value or Amount under field Inflow Amount or Outflow Amount depending on the type of assumption LR Time Bucket Product Qutflow Amount 361 390Days Others f21 1080Days Others 361 390Days Others 21 1080Days Others Figure 8 Assumption Value Selection Eg NOTE
41. of Limit Definition System ID is generated while the LRM limit created defining Limit through Limit Management Application Details of the Limit Definition System ID are available FSI LIMIT_DEFINITION_DETAILS and FSI_LIMIT_DEFINITION_VALUES n_limit_template_sys_id Limit template ID of the Limit Definition Template ID is generated while LRM limit created defining Limit template through Limit Management Application Details of the Limit Definition Template ID are available FSI_LIMIT_DEFINITION_DETAILS and FSI_LIMIT_DEFINITION_VALUES v_appl_name LRM This field stores the Application name for LRM Application value of this field will be LRM AASF Available Amount of Stable Funding A zz E N Y po e BCBS Basel Committee for Banking Supervision Basel III International framework for liquidity risk measurement BCBS 188 standards and monitoring HQLA High Quality Liquid Asset ILAS Individual Liquidity Adequacy Standards LCR Liquidity Coverage Ratio Level 1 Assets as per Basel III Guidelines are as follows Cash Central bank reserves to the extent that can be drawn down during times of stress Marketable securities which satisfy the following conditions Issuer type or Guarantor Type is one of the following o Sovereign o Central Bank o Non Central Government Public Sector Entity Multi lateral Development Bank The Bank For International Settlements Level 1 Assets l o The Internati
42. of Business 51 36 36Days Fixed Deposits 500000 V Yuan Chinese Renminbi el of Business 51 9 9Days Fixed Deposits 800000 Copy Save Cancel ES Au di Created Ok Cancel SER Creation Date Last Modified By M Last Modified Date Figure 39 Business Assumption Add Liability Book Growth Business Assumption Definition Screen allows you to define a new Assumption in Liquidity Risk Management Application Assumption This text box allows you to specify the assumption Description description This button allows you to select the pre defined Rule which is associated with the assumption which you are defining This dropdown allows you to select the type of assumption When you have selected the Rule and Assumption Type all the dimensions which are available in the Rule is displayed in this section Each dimension Dimension Member appears with its selection button which allows you Selection to select the nodes of the dimension member which will participate in defining the Assumption By clicking the button the respective Dimension Member Selection browser pops up This button gives you the option of specifying the assumption in percentage or value Assumption Unit This button is enabled if you have selected the Assumption Value as the option in Assumption Unit Equivalent Currency Currency is to be selected if you want to give value of the assumption as the common currency Natural Business Assump
43. on currency conversion see Currency Conversion on page 11 For Contractual Execution data flows from FCT_AGG_CASH_FLOWS to the reporting tables and Gap reports of Unadjusted Cash flows is generated from reporting tables For BAU or Stress Execution the data which was loaded into FCT _ AGG CASH FLOWS is re inserted in the same table against a new execution skey and currency conversion module is re executed as Reporting Currency of the Contractual run and BAU or Stress run may be different For more information on currency conversion see Currency Conversion on page 11 Business Assumptions as defined by you are executed in FCT_AGG CASH FLOWS where the aggregated cash flows are stored Once the assumptions are applied rules for assumptions will adjust the cash flow in the reporting currency hence currency conversion is re executed which will convert adjusted cash flows from reporting currency to local and natural currency Once cash flows are adjusted in the FCT_AGG CASH FLOWS data is moved into the reporting tables and Gap reports of Adjusted Cash flow can be generated from these reporting tables Annexure C Business Assumptions Data Maintenance Adding Existing Dimension to the Assumption The steps for configuring an existing dimension in the assumption are as follows 1 Add existing dimension in the source hierarchy of the assumption rule 2 Change ANSI Join in the associated dataset to include the newly added dimension table
44. pops up which will allow you to select the Run Baseline Run This dropdown allows you to select the Reporting Currency or Local Currency as an option This will be executed on the selected Currency Type over the selected Run Currency Counterbalancing Strategy Definition Screen allows you to define Execute a new Counterbalancing Strategy Description a Description IA section allows you to specify the description of the Counterbalancing Strategy This dropdown allows you to select the Run Run Execution ID Execution ID of the selected Run over which Counterbalancing Strategy needs to be executed This dropdown allows you to select the type of Run Gegen on which you want to apply the Counterbalancing Strategy Options available in the dropdown are Baseline or Stress If you have selected Stress run for executing the Counterbalancing Strategy then this dropdown Stress Scenario i e allows you to select the Stress scenario over which Counterbalancing Strategy needs to be executed in Multiples of in multiples of thousands millions and billions This dropdown allows you to select the Legal Entity Legal Entity over which the Counterbalancing Strategy needs to be executed This button allows you to generate the Gap report of the selected Run before the Counterbalancing Strategy is applied This section displays the Counterbalancing Gap Liquidity Gap Report Report of the selected Run This grid is populated once you click Go Butto
45. the Selected Bucket Cash flow assignment for this methodology is done using the following formula Cash F low for Bucket a EOP amount Percentage Specified 1 Percentage Specified Y where n number of time buckets If a run off is specified for more than one time bucket then the cash flow value is calculated based on the first run off percentage assigned in decreasing order to all time buckets up to the first selected time bucket For all subsequent time buckets cash flow values are calculated based on the respective run off percentages and assigned in decreasing order to the time buckets immediately succeeding the time bucket selected previously up to the selected time bucket as follows Nil Overnight 20000 2200000 10 1 10 1 7 Days 18000 200000 10 1 10 7 Demand Deposits a e 10 oy a SE Nil 8 15 Days 16200 2200000 10 1 10 Nil 16 30 14580 GE 200000 10 1 10 4D 3000 Overnight 28000 2000 500000 5 1 Seed 8000 1 7 Days 31750 16 30 8000 500000 5 1 2 1 Time Deposits Days 5 5 5000 8 15 Days 27562 5 5000 500000 5 1 5 10000 16 30 31434 375 Geh 10000 500000 5 1 LL LL JI 1 3 15000 65000 ees 15000 500000 10 1 3 6 10 Time Deposits 10 Months 25000 3 6 70000 SES 25000 500000 10 1 10 Table 10 Decreasing as
46. this button then the corresponding EE Assumption Row is selected This button deletes all the records from the Grid Delete row where Select Check Box button is selected This button allows you to save the defined assumption This button allows you to discard all changes made Table 43 Business Assumption Add Change in Value of Asset Save This section allows you to enter the Assumption Assumption Value Amon Business Assumption Definition Webpage Dialog Business Assumption Definition E Assumption Details Assumption Description Rule Name LRM Business Assumption Liquidity Hai Assumption Type Y Dimension Member Selection Asset Level E Basel Credit Rating Basel Issuer Type Assumption Specification SS Assumption Unit Value Percentage Assumption Currency Equivalent Currency Natural Currency emer A O Basel Credit Rating Basel Issuer Type Amount Select All A 1 Equivalent Missing Issuer Type 2 HQLA Level 1 A 1 Equivalent Others HQLA Level 2 A 1 Equivalent Sovereign others A 1 Equivalent Special Purpose Entity J A 2 Equivalent Missing Issuer Type A 2 Equivalent Others A A 2 Equivalent Sovereign A 2 Equivalent Special Purpose Entity AAA Equivalent Missing Issuer Type AAA Equivalent Others Copy Save Cancel Audit Trail wm Created By LRMIUTUSER Creation Date 2011 6
47. to be executed olf Consolidated Run is selected you are allowed to select the parent node only and all the legal entities under this parent node is automatically selected for execution You have successfully defined a Run The procedure for executing a run is as follows l Click to select a Run under section List of Runs in the Run Management Summary Screen 2 Click Ge in the List of Runs section to open the Run Execution Parameter Selection screen to define the execution parameters shown in the following figure Run Execution Parameter Selection Run Name LRM CONTRACTUAL LRM 2 0 Consolidation Type SOLO Reporting Currency US Dollar Business Day Convention No Adjustment Forward Rate Interpolation Method Linear LCR Horizon in Days 30 FIC MIS Date o Run Execution Description Legal Entity Selection 1to5of5 National Housing Finance Co Bank One Uz Bank Shanghai HK Bank Central India Bank of China Capital Market Co Create Batch Figure 12 Run Execution Parameter Selection All fields except FIC MIS Date and Run Execution Description are non editable fields 3 Enter the FIC MIS Date which is the execution date in which the data is to be available in the stage table shown in figure 13 4 Enter the Run Description under the field Run Execution Description shown in figure 13 5 Click Execute to execute the Run immediately or else click Create Batch to schedule a batch to a later da
48. used in LRM Code Column Mapping E Hal BEHAVIOR_ASSUMPTIONS FSI BEHAVIOR _ASSUMPTIONS_FD Table 59 Add entry in SETUP_MASTER e Add dimension in the source hierarchy of the assumption s Rule e Change ANSI Join in the associated dataset to include the newly added dimension table Annexure D Configuring Pre and Post Process steps in a BAU run The entries which explain the configuration of pre and post processing steps in a Business as Usual BAU Execution are as follows e Update entry in SETUP_MASTER Entries should be as follows For post processing update process code of new post process where V_COMPONENT_CODE equals to RM_POSTPROCESS_CODE For pre processing update process code of new pre process where V_COMPONENT_CODE equals to RM_PREPROCESS_CODE Annexure E Best Practices in Configuring Behaviour Assumptions The best practices in configuring Behaviour Assumptions are listed as follows The Rules Framework of OFSAAI is the framework in which the Behaviour Assumption s are executed The Behaviour Assumption screen displays only those hierarchies which are selected in the underlying Rule In other words a filter at the UI level helps to display only those hierarchies that are already selected in the underlying Rule In Rules include only those hierarchies on which you want to configure the Behaviour Assumptions Adding hierarchies in the Rule and not using them in the Behaviour Assumptions is a
49. where the LRM Application is l Infodom E installed gt Liquidity risk Click this link to access LRM Application Screens Management Link Table 20 Liquidity Risk Management Link Defining Time Buckets Liquidity Risk Management Windows Internet Explorer n A ORACLE Liquidity Risk Management Segment LRMSEG e i i Time Bucket Summary 4 Bucket Start Bucket End Bucket Size In Days Fy Overnight 0 0 1 IE 1 30Days 1 30 30 EEE 1 15Days 1 15 15 DE 16 30Days 16 30 15 Elf 31 S0Days 31 60 30 BB 31 45Days 31 45 15 GE 46 50Days 46 60 15 hBi 46 46Days 46 46 1 HBN 47 47Days 47 47 1 51 48 48Days 48 48 i al 49 49Days 49 49 1 al S0 SODays 50 50 1 81 1 S1Days 51 51 1 31 52 52Days 52 52 1 51 52 S3Days 53 53 1 ai 54 54Days 54 54 1 gq 55 SsDays 55 55 1 use zeters 56 56 1 gq 57 S7Days 57 57 1 3q 58 S8Days 58 58 1 5 59 S9Days sg 59 1 3d 60 6oDays 60 60 1 E E151 90Days 61 90 30 E BB61 75Days 61 75 15 G8 76 90Days 76 90 15 Ei fy91 360Days 91 260 270 BB 91 180Days 91 180 90 G8 181 270Days 181 270 90 G8 271 360Days 271 360 90 Elf 261 720Days 261 720 260 EEH 361 540Days 361 540 180 EEE 541 720Days 541 720 180 E E 721 2600Days 721 2600 2880 BD 721 2520Days 721 2520 1800 D 2521 3600Days 2521 3600 1080 EE 2601 26000Days 3601 36000 32400 D 3601 260000k s 3601 36000 32400 at 3601 36400Days 2601 36000
50. you the option of specifying the assumption in percentage or value This Radio button is enabled if you have selected Value as the option in the field Assumption Unit Equivalent Currency is to be selected if you want to give value of the Assumption as the common currency Natural Currency is to be selected if you want to give the values of the Assumption in the natural currency of the record Business Assumption definition screen allows you to define a new assumption in the LRM Application This button is activated if Equivalent Currency is de ueno selected in the field Assumption Currency This d Button allows you to define the Currency of the amount entered for Assumptions For each dimension of the rule Filter is provided for ease of defining the Assumption This section allows you to enter the assumption amount You can select the Revised Time bucket from the dropdown Revised Time buckets in the dropdown will be at the same level at which the Time Bucket Hierarchy has been created Revised Time Bucket If you click this button then the corresponding assumption row 1s selected This button deletes all the records from the Grid where Select Check Box button is selected If an additional amount for one more bucket for the Add same combination is to be added then you can click the Add button to insert one more rows at the same combination If you want to delete the row added for the same Delete combination then you c
51. 0000 18 18Days 26 26Days Date Figure 43 Business Assumption Add Drawdown of Funding Line of Credit Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application Assumption Description Rule Name Assumption Type Dimension Member Selection Assumption Unit Assumption Currency This text box allows you to specify the Assumption Description This button allows you to select the pre defined Rule which is associated with the Assumption you are defining This dropdown allows you to select the type of assumption When you have selected the Rule and Assumption Type all the dimensions which are available in the Rule is displayed in this section Each dimension appears with its selection button which allows you to select the nodes of the dimension member which participates in defining the assumption By clicking the button the respective Dimension Member Selection Browser pops up This button gives you the option to specify the assumption in percentage or value This button is enabled if you have selected the Value as the option in Assumption Unit Equivalent Currency is to be selected if you want to give value of the Assumption in the common currency Natural Currency is to be selected if you want to give the values of the Assumption in the natural currency of the recor
52. 1 This button deletes all the records from the Grid Delete row where Select Check Box button is selected 12 Save This button allows you to save the defined assumption This button allows you to discard all changes made Table 33 Business Assumption Add Emerging Delinquency Large Customers Business Assumption Definition l y Assumption Details rging Delinquency Non Large Cus LRM Business Assumption Emr Delg Nc Assumption Description Rule Name Assumption Type y Dimension Member Selection Currency Business Unit LR Time Bucket Ke Product lt gt y Assumption Specification y e 6 emm mm Assumption Unit Value Percentage N Assumption Currency quivalent Currency Natural Currency Business Unit LR Time Bucket Product Inflow Amount Lines of Business 1 331 360Days Vehicle Loans Lines of Business 1 361 390Days Vehicle Loans Lines of Business 2 331 360Days Vehicle Loans Lines of Business 2 361 390Days Vehicle Loans Lines of Business 1 331 360Days Vehicle Loans Lines of Business 1 361 390Days Vehicle Loans Lines of Business 2 331 360Days Vehicle Loans Lines of Business 2 361 390Days Vehicle Loans Save Cancel Ok Cancel Es SIS Saal Ce Creation Date Last Modified By Last Modified Date
53. 16 11 58 24 0 Last Modified By NA Last Modified Date NA Figure 45 Business Assumption Add Liquidity Haircut Business Assumption Definition Screen allows you to define new Assumption in Liquidity Risk Management Application Business Assumption Definition Screen allows you to define new Assumption in Liquidity Risk Management Application This text box allows you to specify the Assumption Description Description ame This button allows you to select the pre defined Rule Name Rule which is associated with the assumption you are defining 3 This dropdown allows you to select the type of When you have selected the Rule and Assumption Type all the dimensions which are available in the Rule is displayed in this section Each dimension appears with its selection button which allows you to select the nodes of the dimension member which will participate in defining the Assumption By clicking the button the respective Dimension Member Selection Browser pops up 5 D on Un This button gives you the option to specify the SE assumption in percentage or value This button 1s enabled 1f you have selected the value as the option in Assumption Unit Equivalent Currency is to be selected if you want to give value of the Assumption as the common currency Natural Currency is to be selected if want to give the values of the Assumption in the natural currency of the record This button is activated if Equivalent Curren
54. 32400 S Local intranet A 100 Figure 22 Time Bucket Time Bucket Definition Screen allows you to edit or define the Time Buckets used in the LRM Application Time bucket Click this link to view the defined Time Buckets Definition To view the time bucket definition click this link Bucket Name Time bucket definition is shown as a tree structure as shown in the preceding figure Table 21 Time Bucket Defining Business Assumptions Liquidity Risk Manage ment Windows Internet Explorer Liquidity Risk Management A Segment LRMSEG v Business Assumption Summary eg 5 Search o Assumption Type a g Last Last Assumption Description Assumption Type Rule Name Date Modified By GE a S LRM Business Assumption Additiong p Additional Collateral Downgrade Additional Collateral Rating Katstergt Rating Downgrade Decren LRMIUTUSER 10 06 2011 LRMIUTUSER 16 06 2011 Bere Decrease in Asset Downgrade Decrease in Asset p in Value of Asset LRM Business As f A Liquidity Haircut AssumptionS Liquidity Haircut esata iness Assumption Liquidity LRMIUTUSER 16 06 2011 LNA NA B Drawdown of Funding Line of Drawdown of Funding Line of LRM Business Assumption Drawdo LRMIUTUSER 10 06 2011 LRMIUTUSER 13 06 2011 Credit Assumption Credit of Funding LC EOP Balance Growth Liabities o Balance Growth of pot as dienen LRMIUTUSE
55. 34 Business Assumption Add Emerging Delinquency Large Customers Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application Assumption This text box allows you to specify the Assumption Description Description This button allows you to select the pre defined Rule Name Rule which is associated with the Assumption This dropdown allows you to select the type of Assumption Type Assumption When you have selected the Rule and Assumption Type all the dimensions which are available in the Rule is displayed in this section Each dimension Dimension Member appears with its selection button which allows you Selection to select the nodes of dimension member which will participate in defining the Assumption By clicking the button the respective Dimension Member Selection Browser pops up This button is disabled for this assumption Assumption Unit Assumption This button is disabled for this assumption Currency O own This button 1s disabled for this assumption Currency Fil For each dimension of the rule Filter is provided for gc ease of defining the assumption Assumption This section allows you to select the combination Selection over which the assumption is to be applied Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application 10 Select Check B If you click this button then the corresponding greene Assumption Row is selected 1
56. A E N E EA EA A viii Download Specitications ee leie e CT EEN viii Drawdownror Fundine Line Ol CROC EE 34 Drawdown or UMUtINZEd Ke EE 30 E Emerging Delinquency Ee Een 22 Emerging Delinquency Large Customers Calculation cccccccssssccecsesscceteesccecsuenececsueseceesueeceesaeseceeseeseceesueeeceesauasceesaeaeseesaganses 23 Emerging Delinquency Non Large Customers non rn rre r nn nn r nn RR nn rn nn enn nn nn nn nnnrnnnnnnnrnnnnnnnrnnnnrnannnnnnnanos 23 Emerging Delinquency Non Large Customers Calculation cccccccssssececeessccceceesccecseeseceeeaeseccesaeseceesueseceesauneceesaueseeesauaeeeessagsees 24 EOP A TE te Re EE 31 EOP Balance RUN Mauri AAA AR 25 EOP Hability Balance Grow E 32 Exchange rate CO OU E 16 Eege ee 56 CCUG LRM AAA A A E 45 ee id alec ia e HE 53 EXECUTION GE 53 EXECUTIVE AAA AAA eile aed EIA IAS EIA AAA AA eae 13 F FET EEN EE 123 FET ACCOUNT CASH ELO WS AAA A EA 13 FCT AGO CASH Re TEE EE 14 123 FET CONIMON ACCOUNT SUMIMAR cata 125 FET PROCESS CASH FLOW Siorr 13 123 HE ON 55 56 Following Day CONVENIO Nissan aa 14 Forelen Currency Liquidity Coveraee RAI a ia 37 Forward Exchange Ra da A AA EEE an 15 EE DET Miss EE 13 ESCHER a O O A AA acosiacaambedteceeene ates 13 Funding Concentration by Counterparty Currency and Product 42 Fundine Concentration CaleUl AGO EE 37 H ee e EE ad it 18 Har ot CCU UI NE EAS 19 AIESEC AS ADA EA AA A A TA 15 lenger Ei ar SAS ASADAS EAS AAA AAA AAN 51
57. Application the next step is to define the parameters of the business assumption before executing a Run Business Assumptions can be defined by you in the Business Assumptions Definition screen of the LRM Application This section provides a step by step explanation of the process of defining the parameters of business assumptions Eilen Certain fields appearing in the Business Definition Screen are unique to specific business assumptions To view the respective business assumption screenshots with the relevant description ofeach field to be updated see Annexure A Screen Format on page 56 Follow the steps given below to define a Business Assumption L y Assumption Details Assumption Description Assumption Type Click Business Assumption Definition Link under Liquidity Risk Management to open the Business Assumptions Summary screen Click D I to open the Business Assumption Definitions screen to add and define new business assumptions Enter the description of the Assumption in the Assumption Description field under Assumption Details shown in the following figure Select e Rule Name Figure 1 Assumption Details Section Select the Business Assumption from the Assumption Type dropdown shown in figure 2 Click Les to select the relevant Rule Name as shown in the preceding figure yore OAI the rules for selected assumption type will be displayed This mapping of assumption type and rule is maintained in S
58. Assumption for Leg 1 Amount for Leg 1 You can select the Revised Time bucket from this 2 Dropdown Revised Time buckets in the Dropdown Revised Time Bucket will be at the same level at which the Time Bucket Hierarchy has been created 4 Select Check Box If you click this button then the corresponding Assumption Row is selected 5 This button deletes all the records from the Grid Delete row where Select Check Box button is selected If an additional amount for one more bucket for the same combination is to be added then you can click 6 the Add button to insert one more rows for the same l combination If you want to delete the row added for the same Delete combination then you can click the Delete button to Delete row at the same combination 7 save as new mapping l This button allows you to save the defined Assumption Cancel This button allows you to discard all changes made Table 39 Business Assumption Add Drawdown of Unutilized Credit Save 13 Assumption Value This section allows you to enter the Assumption for Leg 2 Amount for Leg 2 Business Assumption Definition y Assumption Details OP Asset Balance Growth Assumption Description Rule Name y Dimension Member Selection LRM Business Assumption EOP Bal Gr Assumption Type EOP Asset Balance Growth Business Unit Currency LR Time Bucket Product y Assumption Specification
59. Assumption in the common currency Natural Currency is to be selected if you want to give the values of the Assumption in the natural currency of the record Assumption Currency Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application This button is activated if Equivalent Currency is selected in the Assumption Currency This button allows you to provide the Currency of the amount entered for Assumptions Cash flow Use this link to select the Cash flow Assignment Assignment Method Method as Decreasing Equally Proportional or Leg 1 Selected Cash flow Use this link to select the Cash flow Assignment Assignment Method Method as Decreasing Equally Proportional or Leg 2 Selected 0 Fil For each dimension of the rule Filter is provided for nie ease of defining the Assumption Assumption Value This section allows you to enter the Assumption for Leg 1 Amount for Leg 1 Currency 3 Assumption Value This section allows you to enter the Assumption for Leg 2 Amount for Leg 2 4 If you click this button then the corresponding Select Check Box Assumption Row is selected De This button deletes all the records from the Grid Delete row where Select Check Box button is selected If an additional amount for one more bucket for the same combination is to be added then you can click 6 the Add button to insert an additional row at the l same combination If you want to d
60. AusNalian Dollar 19 19Days v 1100000 GE Validate Created By LRMUSER Creation Date 20 09 2011 Audit Trail Last Modified By LRMUSER Last Modified Date 27 09 2011 4 ill http 10 184 74 70 19191 OFSAAT Irst CounterBalancing counterbalancingPos jsp runT ype Baseline amp baselineRunID 1308697428037 amp mis e Local intranet Figure 57 Counterbalancing Positions Add 2 This link allows you to add New Repos Counterbalancing Strategy By clicking this link the Instrument Browser screen 1s displayed where you can select the instrument over which New Repos Counterbalancing Strategy is to be applied Don This button allows you to Delete the selected Delete Strategy No and Units to be Specify the number of units to be repo d Repo d Haircut in Provide the Haircut in Specify the Revised Inflow Bucket that is in which bucket you are going to purchase the Instrument Revised Inflow Bucket Revised Maturity Specify the Revised Maturity Bucket Bucket This link allows you to add New Funding Counterbalancing Strategy By clicking this link Add the Product Browser screen is displayed where you can select the Product over which the New Funding Counterbalancing Strategy is to be applied This button allows you to Delete the selected Delete Strategy You need to specify the Inflow Bucket that is in Inflow Bucket which bucket you are going to purchase the
61. Days Sale Limit Value of Assets to be Sold Discount in Revised Ir _ Land Building Fixed Assets LE3 indian Rupee Bank Shanghai HK 393111 8703 8707 4 10045 2269 10000 110 20 21 2 Rollover of Existing Repos 3 1 to 1 0f1 Rollover Unit Units of Underlying Instrument Percentage of Underlying Instrument Repo Repo Repo Market Market d i e Underlying Instrument No of n e Wi Counterparty Maturity Maturity Maturity a Maturity Date Units Value Value Units to be Rolled over Haircut in Date Amount Amount Der Der Bank CMP INR 7 INST1003Slindian Rupee Shanghai CUSTOO21 13 01 2012 566203 371 12536 31 P 07 01 2014 7 ze 1 23 2011 Natural Legal oe Currency Entity 80886 196 1790 90115 5 aNew Repos 3 1 to 10f1 Repo Unit units of Underlying Instrument Percentage of Underlying Instrument Market Market Value Value pe per Natural Legal Availability Availability Units Currency Entity Start Date End Date Available Beta Instrument ene Revised Inflow Revised Maturity Counterparty No of Units to be Repo d Haircut in Bucket Bank Shanghai 18 03 2011 03 12 2011 1009175564 1216 84017187033 JED 5 5 17 17Days sl 19 19Days 150 HK Chinese en O InsT10016 amp New Funding Product Legal Entity Line of Business Y GAR pa nflow Bucket Inflow Amount E New Debentures Bank Shanghai HK Lines of Business 63
62. EMPLATE_DETAILS FSI_LIMIT_DEFINITTION FSI_LIMIT_DEFINTTION_DETAILS FSI_LIMIT_DEFINTTION_VALUES SETUP_ADVANCE_FILTERS SETUP_BA_ALIAS_FLAG_MAP SETUP_MASTER SYS_STG_JOIN_MASTER SYS_TBL_MASTER DQ_CHECK_MASTER DQ_GROUP_MAPPING SETUP_ASSUMPTION_RULE_MAP For more information on the specific columns to be populated within each table see the Download Specifications DL Specs document 3 1 3 Run Data Management Run or Execution data management details the staging data to be populated that change with each execution This section refers to the set of data which can be categorized as input data in the LRM Application It provides information about the various staging tables required to be populated in the LRM Application The list of staging tables to be populated in the LRM Application is as follows STG_ACCOUNT_CASH_FLOWS STG_FORWARD_EXCHG_RATES STG_CUSTOMER_MASTER STG_INSTRUMENT_CONTRACT_MASTER STG_LOB_MASTER STG_PRODUCT_MASTER STG_PRODUCT_TYPE_MASTER STG_SALES_ CHANNEL MASTER TMP_INT_ORG_STRUCTURE_MASTER STG_FOREIGN_CCY_UTIL_DETAILS FS TIME BUCKET STG_CUSTOMER_TYPE_MASTER STG_GUARANTOR_TYPE STG_ISSUER_TYPE FSI_HOLIDAY_MASTER FSI_HOLIDAY_LIST FCT_REG_CAP_ACCOUNT_SUMMARY For more information on the specific columns to be populated within each table see the Download Specifications DL Specs document 3 2 Data Ouality Checks In order to maintain the integrity and accuracy of the data populated into the LRM Applicatio
63. ETUP_ASSUMPTION_RULE_MAP setup table If new rule is created then SETUP_ASSUMPTION_RULE_MAP should be updated with the mapping of rule code and assumption type There are two ways to select a Rule oEnter the name of the assumption or rule in the search field and click Mi oSelect the relevant Rule from the list of Rules and click m 6 Click Le against each dimension to select one or multiple members nodes of the dimension required to define the business assumptions under the Dimension Member Selection field shown in the following figure Dimensions displayed in this section are the ones which are selected as the source hierarchy in the associated rule x Dimension Member Selection Currency Business Unit LA Time Bucket JEJEJE Product Figure 2 Dimension Member Selection oThe Business Assumption Definition screen provides you with the flexibility to apply filters in the columns Once all the nodes in the dimensions are selected then a Cross Grid of the dimensions is created in the Assumption Specification section You can select the required combination of the nodes and slice the grid to define the business assumption using the filter option based on the dimension columns as shown in the following figure Currency Business Unit LR Time Bucket O d Select Al Lines of Business 1 351 390Dayz O II Australian Dollar Lines of Business 1 721 1080Days d US Dollar Lines of Business 1 361 390Days Lines of Business 1 f21 1080Day
64. Edit Additional Collateral Rating Downgrade Decrease in Asset screen 72 Business Assumption Edit Asset BOOK Growth screen 89 90 Business Assumption Edit Available Stable Funding Factors screen 104 Business Assumption Edit Drawdown of Funding Line of Credit screen 99 Business Assumption Edit Drawdown of Unutilized Credit screen 93 94 Business Assumption Edit Emerging Delinquency Large Customers screen 83 Business Assumption Edit Emerging Delinquency Non Large Customers screen cccccsseccceeececeeececeeececeuececauececeueceseuecetseesetens 84 Business Assumption Edit EOP Asset Balance Growth screen 95 Business Assumption Edit EOP Balance Run OtFSCreen xiii EENEG 87 Business Assumption Edit EOP Liability Growth screen 97 Business Assumption Edit Liability Book Growth screen 91 92 Business Assumption Edit Liquidity Haircut screen EE 102 Business Assumption Edit Recovery from Delinquent Accounts screen 86 BUSINESS ASSUMPLION Summary SC Ma eaaa Ri NAAN N NN ss 65 Business Assumptions Data enn Le 126 BUSINESS assumptions E 17 B siness Cay CONVENON E 14 EREM 13 Business Metadata DOCUMENTS EE viii C as IOWA SOS D EE 14 Cash Flow Assignment Method tor Leg 1 and Leg Zur 50 EE E dee 12 CIMON era 13 CASIO WAN ON 39 BE e ee EE 37 39 Chana Valle OVAS A ENERO 35 Concentration by Significant COUNTERS 37 Concentration Dy Significant CUENCA 37 Concentration by Significant Prod UCSI
65. Entities and Datasets in the LRM Application Oracle Financial Services Liquidity Risk Management V2 0 Rule Metadata xls This document contains the definitions of Rules Pooling Optimizer and Processes Download Specifications The format and structure of the RDBMS tables is specified in the Download Specifications DL Specs Document Download Specifications document contains details of the attributes required for processing the LRM Application OFSAAI Infrastructure documents The set of OFSAAT documents packaged in the installer to help you understand the functions of the various components of the Oracle Financial Services Analytical Application Infrastructure OFSAAI e Oracle Financial Services Liquidity Risk Management Release 2 0 Installation Manual How to use this User Guide The information in this User Guide is divided into the following chapters Chapter 1 Introduction The main objective of this chapter is to introduce you to Oracle Financial Services Liquidity Risk Management Release 2 0 and explain the scope of the LRM Application Chapter 2 Understanding the LRM Application The main objective of this chapter is to provide a detailed explanation of the various functionalities of Oracle Financial Services Liquidity Risk Management Release 2 0 Chapter 3 Preparing for Execution The main objective of this chapter is to provide a detailed explanation on the activities to be performed b
66. F Low por PE Sarg EOP amount Percentage Specified OR Amount Specified Number of days in Time bucketn De lt A ee Total number of days in all the considered Time buckets For proportionate assignment the cash outflow is assigned to all time buckets up to the first selected time bucket in proportion to the number of days in each time bucket divided by the total number of days up to the selected time bucket For all subsequent time buckets the number of days in each subsequent set of time buckets is divided by the difference between the total number of days up to the selected time bucket and the total number of days up to the time bucket immediately preceding the selected time bucket as follows Time 16 30 Days 5 3000 Overnight 3000 Deposits 3000 500000 5 0 30 8000 1 7 Days 13833 8000 500000 5 7 30 5000 8 15 Days 11667 5000 500000 5 8 30 10000 16 30 Days 22500 10000 500000 5 15 30 Time 3 6 Months 10 15000 1 3 Months 35000 Deposits 15000 500000 10 60 150 25000 3 6 Months 55000 25000 AA AAA Table 12 Proportional assignment of cash flows 2 7 14 4 Cash Flow Assignment to Selected Time Bucket Onl Cash flow assignment is done in the following manner Cash Flow go aoe ee EOP amount Percentage Specified OR Amount Specified For selected assignment the cash outflo
67. INITION gege Ee in ER 2 10 STRESS SCENARIO DEFINAN arta db oSO 33 Zo Es STRESS RUN DEFINITION AND EXECUTION cdi tos 33 2 12 LIQUIDITY RATIOS AND FUNDING CONCENTRATION CALCULATIONS cccecececcccececececcccecececececececsaccecececsceceeeeeaeaces 33 ZAZA POPU ae eee ea eee eee 33 2 12 2 Liquidity Ratio and Funding Concentration Calculation Process FIOW ooooccccooononoconnonocanonnonanononos 33 2 12 2 1 Elquidity Coverage Ram mad da id 33 2 12 2 2 Net Stablefundine Raras aa 37 2 12 2 3 Funding Concentration by Counterparty Currency and Product oooccccccnoccnnnnnnccnnncnanonnncnanonononanononenanonoos 38 2 13 COUNTERBALANCING gt TRATEG ES il Ee e 38 Se PREPARING FOR EXECUTION a a ee 40 DATA REQUIREMENTS eene 40 3 1 1 SCTUD ROC MARIE Menta 40 32 setup Dota Mandge menl EE 40 3 1 3 R N DatE Mandge Ment arois na E EIRE ds 42 3 2 DATA OA KE AEO AEN 42 3 3 DEFINING PARAMETERS OF BUSINESS ASSUMPTIONS SCREEN INPUTe 43 A Ce tS BAIS Da EE 48 4 1 A e E EE 48 4 2 APPLYING COUNTERBALANCING STRATEGIES ccsccecoreccseccevesvesccesevvevessserecvesceecetvestectevectescsuseteevceuesveetescecsevesesosceves 51 ANNEXURE we SEET Ee E 56 ANNEXURE B UNDERSTANDING THE LRM DATA FLOW e ssseesssoessscsesscosesscoesssocesssoesssscoesssoeessooes 115 ANNEXURE C BUSINESS ASSUMPTIONS DATA MAINTENANCE o 0occcccccccoconcnccncncnnccncoccncnccncccncccncononos 118 ANNEXURE D CONFIGURING PRE AND POST PROCESS STEPS IN A BAU RU
68. Instrument You need to specify the amount you are going to purchase in a given bucket You need to specify the Maturity Bucket in which Maturity Bucket Maturity Bucket TE y instrument is maturing You need to specify the Maturity Amount of the Maturity Amount Ee d instrument This button allows you to save Counterbalancing Strategy and return to Counterbalancing Strategy Screen This button allows you to discard all the changes made in the current screen and return to Counterbalancing Strategy Screen Table 56 Counterbalancing Positions Add 2 2 Validate Counter Balancing Positions Webpage Dialog Validate Counter Balancing Positions Validations itoSofS Exceeds Sale Repo c nterbalancing Available Limit Limit Counterparty Sale Repo Counterparty Legal Ept i Units Asset Units Sold m z l ponina Limit Breach Limit Limit Limit i j Available Value Over Method Units Breach Breach NST10016 rege O OF NEW 94195 968821710 7033 40731 505 Ba cusTo013 wl Chine 1081841 6592 15 5 2 New wear FUNDING N A N A N A Bank Shanghai HK CUSTOO1S sl Australian Dollar NIA WAIN A Debentures SALE OF INST10031 MARKETABLE 83728 427459924 7653 42074442 E THERS 2 50905 2611 ROLL OVER OF A A S 35 69647 269667619 4066 39124 857 7 84315 6088 INST100 EXISTING REPOS 9647 269667619 40 9124 3 84315 6088 ASSETS Land Building SALE OF OTHER GE O 204 enge
69. MUSER 21 09 2011 LRMUSER 27 09 2011 1 ASUSUAL India Geck LRM gt Bank Central x a a O puc 1 09 05 2011 Geer PORS sie ndian Rupee LRMUSER 21 09 2011 LRMUSER 21 09 2011 S LRT LRM BUSINESS y Bank Ge Seen O cB Strategy 4 09 05 2011 REIAL RQEXE015 Shanghai ue US Dollar 2 LRMUSER 19 09 2011 LRMUSER 19 09 2011 S SS r Ce O CB Strategy 2 09 05 2011 LRM BUSINESS AN Bank Central us Dolar S LRMUSER 19 09 2011 LRMUSER 19 09 2011 ASUSUAL India SINESS z EI cB Strategy 3 09 05 2011 pla NESS ROEXED1S oc yg US Dollar LRMUSER 19 09 2011 LRMUSER 19 09 2011 4 O CB Strategy 1 09 05 2011 A RQEXE043 Bank One US US Dollar 2 LRMUSER 16 09 2011 LRMUSER 16 09 2011 O STRI 09 05 2011 ge RQEXE041 _ US Dollar E RMUSER 15 09 2011 RMUSER 15 09 2011 CONTRACTUAL Shanghai HK 3 8 i 8 a See O str2 09 05 2011 hr ROEXE041 era US Dollar a RMUSER 15 09 2011 RMUSER 15 09 2011 CONTRACTUAL i Shanghai HK S i Figure 53 Counterbalancing Strategy Summary Counterbalancing Summary Screen allows you to define execute a Counterbalancing Strategy in the LRM Application By clicking this link you can define edit execute the Counterbalancing Strategy in the LRM Application This section allows you to search the pre defined Counterbalancing Strategy on the basis of the Counterbalancing Strategy Specify the Counterbalancing Strategy Name to search for the pre defined Counterbalancing Strategy This section allows you to search the pre defined
70. Member Selection Browser pops up This Radio Button gives you the option of specifying the assumption in Percentage or Value This Radio button is enabled if you have selected the Value as the option in Assumption Unit Equivalent Currency is to be selected if you want to give value of the Assumption as the common currency Natural Currency is to be selected if you want to give the values of the Assumption in the natural currency of the record This button is activated if Equivalent Currency is selected in the Assumption Currency This Button allows you to define the Currency of the amount Business Assumption Definition Screen allows you to define new Assumption in Liquidity Risk Management Application entered for Assumptions ee mn This Dropdown allows you to select the Notch Notch Level over which the Assumption is to be Applied There are 10 Different Notch Level supported For each dimension of the rule Filter is provided for Prt ington 10 i This section allows you to enter the Assumption ssumption Value Amami 11 Select Check B If you click this button then the corresponding EES Assumption Row is selected 12 This Button deletes all the records from the Grid EES where Select Check Box button is selected This button allows you to save the defined 13 Save l Assumption This button allows you to discard all changes made Table 27 Business Assumption Add Additional Collateral Rating Downgrade Asset Value Decr
71. N 121 ANNEXURE E BEST PRACTICES IN CONFIGURING BEHAVIOUR ASSUMPTIONG 122 ANNEXURE F MULTIPLE SEGMENTS lt ds 123 ANNEXURE C TME BUC E A te 124 ANNEXURE H CONFIGURING LIMIT MANAGEMENT aen 125 GLOSSARY EE EE EE 126 User Guide Oracle Financial Services Liquidity Risk Management Release 2 0 Document Control Changes Done Version 2 0 April 2012 Version 2 0 1 0 0 June 2013 Version 2 0 1 1 0 September 2013 Oracle Financial Software Services Confidential Restricted Details the process flow and methodologies used in the computation and management of Liquidity Risk Setup Role Management was newly introduced as a type of data to be configured in the application The following sections have been added Annexure F Multiple Segments Annexure G Time Bucket Annexure H Configuring limit Management About the Guide This section provides a brief description of the scope the audience the references the organization of the User Guide and conventions incorporated into the User Guide The topics in this section are organized as follows e Scope of the Guide e Audience e Where to Find Information How to Use this User Guide e Document Conventions Scope of the Guide The objective of this User Guide is to provide a comprehensive working knowledge on Oracle Financial Services Liquidity Risk Management Release 2 0 This User Guide is intended to help you under
72. No adjustment Day CONVENTION isos sind clrin ti EEN 14 Notas AAN 49 NUMBER ORHONGAYS COM PUTIN Saint AAA AA A A AAA A AAA AL 13 O OESAAL EELER s 61 OFSAALEOSOU ESCENA A ee 62 OP E EE 40 Bolo EE 40 RR ee eeeee 40 EEN 51 p Die E giereg e EE 44 Prepayment sn AS AAA AA A EE aaa veedeeca caeaces 22 POr DIV CONVE E io 14 PrOCESS AAA O IS E E EE 12 PROCESS FIOW OF IQUITOS ER 37 R Recovery hom Dellhquent Accounts E 24 25 Required Amount OP Stable D Etoile lt 41 Required Stable Funding Ra close a 36 Ee IER Ee EE 51 ROMOVer of existing REDOS ts li a ei icon iio 58 Pore E EE 20 RONOVER OL Asset Calc OM EEN 21 ROMOVEN Of GXISTING REDONDA A AAA AA AA AAA 42 ele e ee Me dia 21 Rule NM a ASA AAA AAA AA AAA AA 48 A e A PO OR 36 Run Data Mamas e mes da aon A A A a eee ieee 46 RUN Execution Descrip Mana SEARS SAA A TRINN 56 RUN e gel EEN 57 r Eeer A 113 RUN e geen le E eg 114 RUN Wan EE CMS WIAA A ARRASATE AAA AA 55 Run Management summary ST Ni petaveateusiycadesdecebaceancensoucecenes 107 RUN aa 54 Run Selecionar SO AA AAA AAA A 56 RUE Mar INEA OVINO nO UE PUDO o ip cad 22 S SE O A A A O 42 57 A O RO 42 58 SCOPE or the Application aaa nana 10 SERS RID S ee tado 45 SOU E 15 SEET 46 SIG ARC COU INT CASH ELO WS NA A ba 123 Stock of Aish Quality Haud Asset SHALAT aria A A AAA SAA A AAA AAA AA AA ds 39 Stress ASSUMPTION DENNIS A Ao 36 SWESS EXE CUORE 36 Swess lg Le AR inte Na A AAA AE AAA EA AA EA AER AA CARR A AAA AS 36 T tu LC
73. Oracle Financial Services Liquidity Risk Management User Guide Release 2 0 September 2013 ORACLE FINANCIAL SERVICES User Guide Oracle Financial Services Liquidity Risk Management Release 2 0 Table of Contents ABOUT THE GUIDE sii iii V SCOPE OF THE GUIDE ceire E A EAE EE E OEE E OE eege V AUDIENCE V WHERE TO FINDINFORMANON ca ii V HOWTO USETHISUSER GUIDE A A AAA AS VI DOCUMENT CONVENMON EE VI le ANTRODUCION ii li 7 1 1 SCOPE OFTHE APPLICATION cnn a e es ed Eege 7 2 UNDERSTANDING THE LRM APPLICATION ccscssccsscsscsccsccsccsccsccscescnscescnscescescescescescsscescees 9 2 1 PROCESS ELO 9 2 2 CASH ELOMMD ATA IDO WNLOAD E 9 22 TIME BUCKETING 0d a A A A in 10 2 3 1 EE EE 10 23 2 TMC BUCEAR Process EE 10 2 4 CASH eer eg Le EE 11 2 5 CURRENCY Rei Te 11 Vasa pa WIAD ee 12 2 0 2 CUITENGY CONVEISION PIOCESS EE Ee 12 2 5 3 ee EE 13 2 6 CONTRACTUAL RUN DEFINITION AND EXECUTION EE 13 Lids BUSINESS ASSUMPTION DEFINITION eege EE EE AE 13 Ee D DOSIES Balance GTOWTN EE 15 2 7 2 PANCUT TEE 15 2 7 3 Additional Collateral Rating Downgrade Increase in Cash Fow 15 2 7 4 Additional Collateral Valuation Changes Increase in Cash fow 16 27 gt Additional Collateral Rating Downgrade Asset Value Decregse 16 2 7 6 Additional Collateral Valuation Changes Asset Value Decrease coooccccccoccnccocnonocononnnnanonnnnanononanens 17 2 7 7 FROUOVET OF PIS CES A earl ase ae ed N pala Gas Maar Aas Vi
74. PULATION The following formula is used for calculating the Required Amount of Stable Funding Required Amount of Stable Funding H mM Asset Factor H Off Balance Sheet Factor ECH i i l where n All Asset Product where m All Off Balance Sheet Products and factor is the percentage allocated in Required Stable Funding Factors Business Assumption Net Stable Funding Ratio VSFR computation is calculated at legal entity and currency granularity This is done by the Rule LRM Net Stable Funding Ratio Computation The following formula is used for calculating Net Stable Funding Ratio l Avaliable Amount of Stable Funding Net Stable Funding Ratio Required Amount of Stable Funding 2 12 2 3 Funding Concentration by Counterparty Currency and Product Ratio of each of the cash flow in the aggregate table is first calculated with respect to the concentration at legal entity level Any counterparty or product is termed as significant if the sum of its concentration is greater than 1 A currency is termed as a significant currency if the sum of its concentration is greater than 5 of the currency 2 13 Counterbalancing Strategies Counterbalancing Strategy caters to the requirement of applying preventive measures to manage a bank s liquidity gaps A counterbalancing strategy or a contingency funding plan refers to certain measures undertaken by b
75. R 10 06 2011 LRMIUTUSER 13 06 2011 Liabilities Growth Liabilities E Lisbily Book Growth Liability Book Growth LRM Business Assumption Li LRMIUTUSER 12 06 2011 LNA NA Assumption Growth STR n e Stable LRM Business Ass a k i IRSFF 85 Required Stable Funding S Business Assumption R 0 LRMIUTUSER 10 06 2011 LNA NA 1 i Factors Percent Ay le Stab LRN siness Ass ASFF 8 Da ASFF 80 Available Stable Funding RM Business Assumption ASFF 30 e 0 LRMIUTUSER 10 06 2011 LNA LNA Factors Percent gt e li gt y LRM Business Assumption Additional a Gemengen par eee ined creo roma aR Collateral Rating Downgrade Decrease 0 LRMIUTUSER 10 06 2011 LNA _NA ji a ge lin Value of Asset Th mY gt c EY LRS Business Ass Add Colk nn aluation Additional ollateral Valuation l RM Business Assumption Add Coll Y 0 LRMIUTUSER 10 06 2011 LNA NA Changes Assumption Changes Valuation Changes Additional Collateral Rating Additional Collateral Rating RM Business Assumption Add Coll Downgrade increase in Cash Downgrade Cashflow E do pa j 1 LRMIUTUSER 10 06 2011 ILRMIUTUSER 10 06 2011 wer Rating Dgrd Inc COF Flows Increase Drawdown of Funding Line of Drawdown of Funding Line of LRM E Assumption Drawdown N 0 LRMIUTUSER 10 06 2011 LNA NA Credit Assumption Credit of Funding LC E EOP Balance Growth Liabilities FOP Balance Growth of BEER aa 0 LRMIUTUSER 10 06 2011 NA _NA d Liabilities Growth Liabilities
76. Runs 1 to 12 of 12 Run Name Run ID Run Type Created By Creation Date Last Modified By Last Modified Date Ka D LRM CONTRACTUAL 1290805228343 CONTRACTUALRUN LRMUSER 05 1821 LRMIUTUSER 06 07 2011 BAU 1 1307982311711 Bau RUN LRMIUTUSER d sch BAU 2 1307982389701 BAU RUN LRMIUTUSER 06 13 2011 BAU 3 1307982513129 BAU RUN LRMIUTUSER 06 13 2011 BAU 4 1307982573067 BAU RUN LRMIUTUSER 06 13 2011 Baus 1307982777372 BAU RUN LRMIUTUSER 06 13 2011 LRMIUTUSER 0671672011 LRM CONTRACTUAL 2 1307986968189 CONTRACTUALRUN LRMIUTUSER 06 13 2011 Baus 1307991582650 BAU RUN LRMIUTUSER 06 12 2011 Stress Run 2 1308347210224 STRESS RUN LRMIUTUSER 06 17 2011 1 ege ene 1308347876857 STRESS RUN LRMIUTUSER 06 17 2011 CH LRM BUSINESS ASUSUAL 1308697428037 BAU RUN LRMIUTUSER 06 21 2011 LRMIUTUSER 06 21 2011 E Liquidity Coverage Ratio 1308699741163 BAU RUN LRMIUTUSER 06 21 2011 Done ny Local intranet A 100 Figure 48 Run Management Summary Run Management Screen allows you to define or execute the Run in the LRM Application Click this link to define edit execute the run in the Run Management LRM Application This section allows you to search the pre defined Ran Name Run on the basis of the Run name You need to specify the Run Name here for searching the pre defined Run Thi
77. SC data type should be VARCHAR2 500 Column_NAME is just a dummy name for the column You need to specify an appropriate name Column Name should be the same across following tables FCT_COMMON_ACCOUNT_SUMMARY FCT_AGG_CASH FLOWS Ss TEMP_AGG CASH FLOWS FSI BEHAVIOR_ASSUMPTIONS s TEMP_FSI_BEHAVIOR_ASSUMPTIONS e Changes the appropriate T2Ts which is populating data from one table to another table e Changes in level flatting DT FN_DT_LEVEL_FLATTEN_BAU_FD which populates data from FSI BEHAVIOR_ASSUMPTIONS_FD to TEMP _FSI BEHAVIOR ASSUMPTIONS table The list of changes required in the DT is as follows Add a new column in the cursor which fetches the data from FSI BEHAVIOR ASSUMPTIONS FD There are a set of IF Clauses for each of the Dimensions which are part of the aggregate table One or more IF clauses are required to be added so that the new column can be added as the Dimension If the hierarchy of the Dimension is based on alias then the following entry is to be made in SETUP_BA_ALIAS FLAG MAP V_ ALIAS NAME Alias name of the Table V_FLAG_COL_NAME Physical column name in the FSI BEHAVIOR ASSUMPTIONS Table 58 Entry for Hierarchy of Dimension based on Hierarchy Add entry in SETUP_MASTER The entry should be as follows V_COMPONENT_CODE Following Format entry required Name of Dimension Table Alias over LRM DIM lt running_number gt which the corresponding Hierarchy has LL been gent Dimensions
78. Save assumption Cancel This button allows you to discard all changes made Table 42 Business Assumption Add Drawdown of Funding Line of Credit You can select the Revised Time bucket from this 12 dropdown Revised Time buckets in the dropdown Revised Time Bucket will be at the same level at which the Time Bucket Hierarchy has been created Business Assumption Definition Webpage Dialog _ Business Assumption Definition Y Assumption Details Assumption Description Rule Name LRM Business Assumption Change in Vv Assumption Type Change in Value of Asset v Y Dimension Member Selection Product Business Unit Currency Assumption Specification Assumption Unit Assumption Currency Currency Product Business Unit Others Lines of Business 1 Select All v Others Lines of Business 1 Vd Australian Doll P hers Lines of Business 1 Y Hong Kong Dollar Others Lines of Business 1 Indian Rupee Others Lines of Business 1 V V Japanese Yen V US Dollar C Save Cancel Created By Creation Date Audit Trail Last Modified By Last Modified Da Ok Cancel Figure 44 Business Assumption Add Change in Value of Asset Business Assumption Definition Screen allows you to define new Assumption in Liquidity Risk Management Application Assumption This text box allows you to specify the Assumption Description Description This but
79. alue as the option in Assumption Unit Equivalent Currency is to be selected if you want to give value of the Assumption as the common currency Natural Currency is to be selected if you want to give the values of the assumption in the natural currency of the record This button is activated if Equivalent Currency is T Cunene selected in the Assumption Currency This button gd allows you to define the Currency of the amount entered for Assumption Fil For each dimension of the rule Filter is provided for SE ease of defining the Assumption This section allows you to enter the Assumption Assumption Value Amei 10 Select Check B If you click this button then the corresponding Ser Assumption Row is selected 11 Del This button deletes all the records from the Grid SES where Select Check Box button is selected This button allows you to save the defined 12 Save assumption This button allows you to discard all changes made Table 35 Business Assumption Add Recovery from Delinquent Accounts Assumption Currency Business Assumption Definition Webpage Dialog B Business Assumption Definition Y Assumption Details Assumption Description Rule Name Assumption Type Y Dimension Member Selection Currency Business Unit LR Time Bucket Product Y Assumption Specification Assumption Unit Equivalent Currency Natural Currency Currency Cash Flow Assignment Method Bu
80. an click the Delete button to Delete row at the same combination This button allows you to save the defined Assumption This button allows you to discard all changes made Table 31 Business Assumption Add Run off Select Check Box Delete row Save Business Assumption Definition y Assumption Details Assumption Description Rule Name EN RM yv Dimension Member Selection Business Assumption Prepayment kend Assumption Type Prepayment Currency Business Unit LR Time Bucket Product y Assumption Specification Assumption Unit Assumption Currency LR Time Bucket Product bf Business 1 LR Time Bucket Product ES T Australian Dollar of Business 2 LR Time Bucket Product vernight ES US Dollar bf Business 1 LR Time Bucket Product Overnight ES pf Business 2 LR Time Bucket Product vernight BS f Save Cancel Created Creation Date Last Mod Last Modified Date Ok Cancel cD Figure 33 Business Assumption Add Prepayment Business Assumption Definition Screen allows you to define a new assumption in the LRM Application l Assumption This text box allows you to specify the Assumption Description Description gt This button allows you to select the pre defined Rule Name Rule which is associated with the assumption which you are defining 3 A Lan T This dropdown allows you
81. anks to minimize or nullify the gaps identified under the BAU and Stress conditions The purpose is to identify negative and positive liquidity gaps across defined time buckets and apply a funding plan that will reduce the negative gaps A counterbalancing strategy consists of a set of one or more positions Counterbalancing Strategies are implemented after business assumptions have been applied and liquidity gaps have been estimated The LRM Application gives you the option of applying five different types of Counterbalancing Strategies where you can sell existing instruments or purchase new instruments to manage liquidity gaps The counterbalancing strategies that can be applied by the bank are as follows e Sale of Marketable Assets Additional cash inflow can be generated by the sale of marketable assets Unencumbered marketable assets identified through encumbrance status and marketable asset indicator are available as a part of this counterbalancing strategy e Sale of Other Assets Cash inflow can be created by sale of marketable assets Unencumbered marketable assets identified through encumbrance status and marketable asset indicator are available as a part of this counterbalancing strategy Rollover of Existing Repos Rollover refers to rescheduling of cash outflows to a future date This is applied at an individual repo position level New Repo Deal Creation of a new repo results in a cash inflow and a corresponding outflow base
82. ar to the equal cash flow assignment methodology supported by the business assumption EOP Balance Run off Proportional Cash flow assignment is done using the following formula Cash Fl OW for Bucket n EOP amount Percentage Specified OR Amount Specified Number of days in Time bucketn Total number of days inall the considered Time buckets Proportional cash flow assignment methodology is similar to the proportional cash flow assignment methodology supported by the business assumption EOP Balance Run off Selected Cash flow assignment is done using the following formula Cash Flow for Bucket n EOP amount Percentage Specified OR Amount Specified Selected cash flow assignment methodology is similar to the selected cash flow assignment methodology supported by the business assumption EOP Balance Run off 2 7 20 Drawdown of Funding Line of Credit Banks receive lines of credit from other banks and financial institutions The bank can drawdown these lines as per its requirement at anytime during the tenure of the facility A percentage of the total undrawn amount is assumed to be drawn down over each time bucket Drawdown of funding line of credit results in cash inflow first and outflow at a later date This assumption also allows you to specify the corresponding cash outflow for the specified cash inflow Various options for cash flows assignment available for this assumption are as follows Decreasing In de
83. ars No sing Band 1 1 5 Years No sing Band 2 2 5 Years No sing Band 4 5 5 Years No sing Band Above 5 Years No sing Band 1 1 5 Years No sing Band 2 2 5 Years No sing Band 4 5 5 Years No ox Cancel sing Band Above 5 Years No Copy Save Cancel Ge Y Audit Trail o Created By LRMIUTUSER Creation Date 2011 6 10 18 36 46 0 lant Ha difind Dis lant Hadifind Nata 4 Figure 46 Business Assumption Add Available Stable Funding Factors Business Assumption Definition Screen allows you to define a new assumption in the LRM Application Assumption Description Rule Name Assumption Type Dimension Member Selection Assumption Unit Assumption Currency This text box allows you to specify the Assumption Description This button allows you to select the pre defined Rule which is associated with the Assumption which you are defining This dropdown allows you to select the type of Assumption you want to define When you have selected the Rule and Assumption Type all the dimensions which are available in the Rule is displayed in this section Each dimension appears with its selection button which allows you to select the nodes of dimension member which will participate in defining the assumption By clicking the button the respective Dimension Member Selection Browser pops up This button gives you the option of specifying the assumption in Percentage or Value This
84. ation 20 Additional Collateral Rating Downgrade Increase in Cash low 19 Additional Collateral Rating Downgrade Increase in Cash flow Calculation cccccccssseccccesecceceeescceceeesceeseaeeecessuaeceesueeeeesages 19 Additional Collateral Valuation Changes Increase in Cash low 19 Applying Counterbalancing Strategies Eerad 56 ASSE BOOK GLONT EEN 29 ASSET eege Ee EE 29 ASSEE eV Mie Te hett ON A AA A A AS AAN A A AS 37 Assumption CUTE A SANA AAA AAN AA 49 Assumption DESC EE 48 ASSUMPUON DEIS ita A N A elas oriol 48 HEEL ici 49 Lan tege lee iS A RAS AAA AAA da 48 AT A II A O O O 49 Avallable stable FUNGINE FACTO SA A A 35 B BISE CUN ENCY denean iba 15 Basel Committee on Banking Supervision E 10 Business As Usual Execution BAU EXCCUIO VE E 36 Business as Usual Run Parameters Selection screen 109 Business Assumption Add Additional Collateral Rating Downgrade Increase in Cash Flow screen 69 Business Assumption Add Additional Collateral Valuation Changes Increase in Cash Flow screen 71 Business Assumption Add Change in Value Of Asset screen 101 Business Assumption Add Deposit Balance Growth screen 66 BUSINESS ASSUIMPHON Add H ECU E SEEN AA AA AE AAA EA AAN 68 Business Assumption Add Prepayment screen 81 Business Assumption Add Rollover of ASSets screen 75 Business Assumption Add Rollover of Liabilities screen 77 B siness Assumption Add RUN ASCO ao 79 Business Assumption
85. been created 11 heck If you click this button then the corresponding select Check Box Assumption Row is selected 12 This button deletes all the records from the Grid Delete row where Select Check Box button is selected If an additional amount for one more buckets for the same combination is to be added then you can click on the Add button to insert one more rows at the same combination Revised Time Bucket Add 13 If you want to delete the row added for the same combination then you can click the Delete button to delete the row at the same combination Delete This button allows you to save the defined assumption Cancel This button allows you to discard all changes made Table 32 Business Assumption Add Prepayment 14 Save y Assumption Details Business Assumption Definition Assumption Description Rule Name Assumption Type y Dimension Member Selection Currency Business Unit Product y Assumption Specification Assumption Unit i Audi Created Last Mod US Dollar Assumption Currency Equivalent Currency Natural Currency Currency Percentage Business Unit Product Lines of Business 1 Credit Card Outstanding Lines of Business 2 Credit Card Outstanding Lines of Business 1 Credit Card Outstanding Lines of Business 2 Credit Card Outstanding Creation Date E Last Modified Date Ok Cancel Figure
86. collateral which will result in deducting the relevant amount from the stock of high quality liquid assets This assumption also allows you to select the downgrade New Stock of HOLA assignment is done in the following manner Stock of High Quality Liquid Asset to be reduced Collateral Amount for the specified notch Percentage Specified OR Amount Specified Assuming a downgrade trigger of 3 Notches this assumption is specified as follows 8800 1 1000 80 Level 2 Asset 1 Notch 9000 9000 100 Level 1 Asset 2 Notches 64000 80000 80 Level 1 Asset 3 Notches Table 5 Additional Collateral Rating Downgrade Asset Value Decrease 2 7 6 Additional Collateral Valuation Changes Asset Value Decrease In this assumption the additional collateral posted will result in the selected assets being marked as encumbered The relevant amount is deducted from the stock of high quality liquid assets where applicable These assets will not be available for the purpose of counterbalancing or for estimating the cash inflows for LCR This assumption is specified and cash flows are assigned in the same manner as that for the assumption Additional Collateral Rating Downgrade under the decrease in value of level 1 assets option 2 7 7 Rollover of Assets Rollover of Assets refers to the rescheduling of a certain percentage of cash flows to a future time bucket This occurs when an asset is re
87. creasing order to all time buckets up to and including the selected time bucket Equal Equally to all time buckets up to and including the selected time bucket Proportional In proportion to the time bucket size e Selected Selected time bucket only Decreasing Cash flow assignment is done using the following formula Cash Fl OW for Bucket n Undrawn amount Percentage Specified 1 Percentage Specified wheren number of time bucket Decreasing cash flow assignment methodology is similar to the decreasing cash flow assignment methodology supported by the business assumption EOP Balance Run off Equal Cash flow assignment is done using following formula Cash Flow por Bucket n 7 Undrawn amount Percentage Specified OR Amount Specified Total number of Time Buckets Equal cash flow assignment methodology is similar to the equal cash flow assignment methodology supported by the business assumption EOP Balance Run off Proportional Cash flow assignment is done using the following formula Cash F LOW for Bucket n Undrawn amount Percentage Specified OR Amount Specified Number of daysin Time bucketn Total number of days in all the considered Time buckets Proportional cash flow assignment methodology is similar to the proportional cash flow assignment methodology supported by the business assumption EOP Balance Run off Selected Cash flow assignment is done using the following fo
88. ct the pre defined Rule Name Rule which is associated with the assumption you are defining 3 This dropdown allows you to select the type of When you have the Rule and Assumption Type all the Dimensions which are available in the Rule will be displayed in this section Each dimension will appear with its selection button which allows you to select the nodes of dimension member which will participate in defining the Assumption By clicking the button the respective Dimension Member Selection Browser pops up 5 D on Un This button gives you the option of specifying the sump Ton tt assumption in percentage or value This button is enabled if you have selected the Value as the option in the assumption unit Equivalent Currency is to be selected if you want to give value of the assumption as the common currency Natural Currency is to be selected if you want to give the values of the assumption in the natural currency of the record Ys This button is activated if Equivalent Currency is 7 selected as the Assumption Currency This button Currency i allows you to define the Currency of the amount entered for assumptions For each dimension of the rule Filter is provided for lm L i This section allows you to enter the Assumption Assumption Value EE EN You can select the Revised Time bucket from this dropdown Revised Time buckets in the dropdown will be at the same level at which the Time Bucket Hierarchy has been created
89. cted instrument oDiscount needs to be between O and 100 This error message appears if the values provided in the discount field is not between Zero and Hundred ORevised Maturity Bucket should fall within the range of the number of days to maturity of the underlying instrument If the revised maturity date bucket entered is greater than the maturity date of the underlying this error pop up message would appear 16 Click Validate to validate the entries updated by you or else click OK after defining the counterbalancing strategy 17 Click Apply Counterbalancing in the Counterbalancing Strategy Definition screen to execute the Counterbalancing Strategy and view the updated report with the revised liquidity gaps You can now view the time bucket wise gap report and see the impact of each counterbalancing strategy selected in the Liquidity Gap Report Post Counterbalancing section You can save these strategies for future use by clicking the Save button Amnexure A Screen Formats LRM Application Login and Log off Procedures Financial Services Analytical Applications Infrastructure ORACLE Language US English User D its reserved Copyright 1992 2012 Oracle andior its afilia es All rig Figure 19 OFSAAT Log in Screen OFSAAI Login screen is used for login to OFSAAI Once logged in OFSAAI the LRM Application can be accessed Language Select the language in this field 1 Enter the User ID to Log
90. cy is E Cusi selected in the Assumption Currency This button gd allows you to provide the Currency of the amount entered Fil For each dimensions of the rule Filter is provided ee for ease of defining the Assumption This section allows you to enter the Assumption Assumption Value ES ER 10 Select Check B If you click this button then the corresponding SERIE On Assumption Row is selected 11 Del This button deletes all the records from the Grid cele TOW where Select Check Box button is selected Co This button allows you to copy the assumption and 12 PY save as new mapping Save This button allows you to save the defined Save Assumption This button allows you to discard all changes made Table 44 Business Assumption Add Liquidity Haircut 4 Dimension Member Selection Assumption Currency Business Assumption Definition Webpage Dialog Business Assumption Definition Y Assumption Details Assumption Description Rule Name EI Dimension Member Selection Product Basel Customer Type Residual Maturity Band Stability Flag Y Assumption Specification Assumption Unit Assumption Currency Equivalent Currency Assumption Type Natural Currency Currency Dustomer Type Residual Maturity Band Stability Flag Band 1 1 5 Years No Asse Band 2 2 5 Years No Liability Band 4 5 5 Years No Off Balance Sheet sing Band Above 5 Ye
91. d Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application This button is activated if Equivalent Currency is selected in the Assumption Currency This button allows you to provide the Currency of the amount entered of the Assumption Currency Cash flow Use this link to select the Cash flow Assignment Assignment Method Method as Decreasing Equally Proportional or Leg 1 Selected Cash flow Use this link to select the Cash flow Assignment Assignment Method Method as Decreasing Equally Proportional or Leg 2 Selected 0 Fil For each dimension of the rule Filter is provided for nie ease of defining the Assumption Assumption Value This section allows you to enter the Assumption for Leg 1 Amount for Leg 1 3 Assumption Value This section allows you to enter the Assumption for Leg 2 Amount for Leg 2 4 If you click this button then the corresponding Select Check Box Assumption Row is selected De This button deletes all the records from the Grid Delete row where Select Check Box button is selected If an additional amount for one more bucket for the same combination is to be added then you can click 6 the Add button to insert an additional row at the same combination If you want to delete the row added for the same Delete combination then you can click the Delete button to Delete row at the same combination This button allows you to save the defined 7
92. d 17 2 7 8 Rollover OF et 18 2 7 9 PITA EO Ee 18 DADO E IN O RT 19 27 11 Emerging Deler 19 2 7 12 Emerging Delinquency Non Large Custonmers rorarii entina e RAE NR TET 20 24 43 Recovery From Ree Ee 20 PIAA EOP EE 21 2 7 14 1 Cash Flow Assignment in Decreasing Order to all Time Buckets up to and including the Selected Bucket 22 2 7 14 2 Equal Assignment of Cash Flows to all Buckets ccseccecccccceeesseeccceceaeeececcessaeeseeeceeessuaeseeeeeessaaaeeeeeeeeas 23 2 7 14 3 Cash Flow Assignment in Proportion to the Bucket Size cececceseecccccesecececeeeeceeceeeeceeseeeceesueneceesaeaeeeesages 24 2 7 14 4 Cash Flow Assignment to Selected Time Bucket Only ccccoooccnncccocnnnncnnccnnnonanonononanonononononononanonononanonononos 25 PoP Ec ASS BOOK GOTOWI ee EE EE ana aka ee 25 ZF LO LEE HENNEN EE ISA AA RS 26 ZIT DPAWAGOWN OF Unutized EE 27 Arde EFOPASSe BA ONCE O OWEN a e Lol 28 2719 EOP EOI BO ONCE COW dida 29 2 7 20 Drawdown of Funding Line Of Credit 30 2 We Changen Valje OJ ASSET S E nee RIS ale caida its tomers il oat 31 DP DD AGUAS FLU GUL E 32 21 23 Available Staple FUNGING FOCOS cicniieroitari n a a a a aa a 32 Oracle Financial Software Services Confidential Restricted ji 2924 Reg ied Stable Funding e TER 32 2 8 BAU RUN DEFINITION AND EXECUTION ccccecececsceccccscecececcececececcccececsceccecesececeacecececececececsueacecesececceceeeeeueaces 32 2 9 STRESS ASSUMPTION DEF
93. d on the date of contract and maturity date specified for the position New repos can be created for the following types of debt instruments Unencumbered securities identified through encumbrance status Securities for which the bank has re hypothecation rights indicator for re hypothecation rights The calculation of a new repo deal is similar to the calculation of rollover of existing repos You can select the set of securities to create a new repo deal e New Funding like Deposits Primary Issuances Borrowing and so on A new funding deposits or borrowing creates a cash inflow on the specified date The LRM Application allows you to specify the select product borrowing date inflow date borrowed amount maturity date and amount The LRM Application has incorporated a Graphic User Interface GUI to allow a bank apply counterbalancing strategies of their choice on the liquidity gaps that have been identified in the various time buckets For more information on Application of Counterbalancing Strategies see Applying Counterbalancing Strategies on page 51 3 Preparing for Execution This chapter aims to detail the important activities that you need to perform before executing Contractual BAU or Stress Runs It aims to provide details on the data required to be populated in the LRM Application and the steps to be followed to define business assumptions which will help identify liquidity gaps 3 1 Data Requirements C
94. d only to unencumbered marketable assets to determine the value of the repo The haircut percentage is a measure which is a part of the contractual cash flow Haircut would lead to a reduced cash outflow in the selected time bucket This assumption is applied to the marked to market value of unencumbered marketable assets Cash flow assignment is done in the following manner Cash Flow so puckern Mark to Market Value Percentage Specified An example of the assumption applied to product type Repo legal entity LE 1 and currency USD is as follows Repo LEI USD 1 15Days 10000 11000 A 10000 0 1 10000 Table 3 Haircut 2 7 3 Additional Collateral Rating Downgrade Increase in Cash Flow For some financing transactions or derivatives with embedded triggers for downgrade a downgrade in the bank s rating by a recognized credit rating institution requires the bank to post additional collateral which will result in an increase of cash outflow of unencumbered liquid assets as specified by the bank The downgrade trigger and collateral value is available as part of the account information Cash flow assignment is done in the following manner Cash Flow for Bucket n Collater al Amount poy A SA Percentage Specified OR Amount Specified The following example illustrates the effect of this business assumption on the cash outflows when the downgrade trigger is selected as 3 Notches Derivative Lev
95. d to the previous business day and allocated to a time bucket accordingly Following All the cash flows which occur on a holiday are shifted to the next business day and allocated to a time bucket accordingly Conditional Prior All the cash flows which occur on a holiday are shifted to the previous business day only if the cash flow date and previous business day falls within the same time bucket or else the cash flow is shifted to the next business day and allocated to a time bucket accordingly Conditional Following All the cash flows which occur on a holiday is shifted to the next business day only if the cash flow date and next business day falls within the same time bucket or else the cash flow is shifted to the previous business day and assigned to a time bucket accordingly ec NOTE oYou also have the flexibility of selecting three levels of time buckets Level 0 Level 1 and Level 2 These levels can be used for defining business assumptions Although data in FACT tables are stored in Level 0 business assumptions can be applied to Level 0 Level 1 as well as Level 2 Level O time buckets refer to time buckets that are defined at the highest level of granularity These are subsequently grouped together to form lower levels of granularity of time buckets oThe LRM Application applies the business assumptions at a time bucket level and not on an individual cash flow Assign cash flow to the time buckets on the basis of th
96. e D SCC Fixed ASSETS 10045 2269 83739 992 44791 605 N AIS8S39 7315 10000 Assets LES C2 e Ok Revalidate Created By LRMUSER Creation Date 20 09 2011 Audit Trail Last Modified By LRMUSER Last Modified Date 27 09 2011 http 10 184 74 70 19191 0FSAAI Irst CounterBalancing validateCBPos jsp a Local intranet Figure 58 Validate Counterbalancing Positions Validate Counterbalancing Position screen helps verify the counterbalancing positions updated in the Add Counterbalancing Positions screen The Limits are for the following Exceed Available Units Sale Limit Breach Repo Limit Breach and Counterparty Limit Breach In case if they are any Errors as in case of creation of new repos then the breach would be displayed in RED If they are just warnings then they are displayed in Orange The definition would be allowed to save only if there are any warnings In case there are any Errors the definition would not be allowed to be saved until the user changes the positions Units sold Repo d on Revalidate to verify if there is any breach This will close the window and Add Counterbalancing Positions screen will be displayed Table 57 Validate Counterbalancing Positions Annexure B Understanding the LRM Data Flow This section provides details on the movement of data from staging area or tables to the processing area or tables There are various table to table T2T definitions and a few data transfor
97. e bucket and reduced cash inflow in the original time bucket The percentage of prepayment is to be specified by you and the balance is payable only when it is due Cash flow assignment is done in the following manner Cash F LOW for Original Bucket 1 Cash F LOW original Bucket Percentage Specified OR Amount Specified Cash F LOW gor Revisied Bucket Cash F LOW original Bucket Percentage Specified OR Amount Specified Cash flow assignment for this business assumption is similar to the business assumption Rollover of Assets 2 7 11 Emerging Delinquency Large Customers Emerging Delinquency Large Customers is a business assumption where the bank anticipates an emerging loss due to the delinquency of certain large customers and applies the business assumption on the future cash flows due from that customer To define this based on the data selected in the dimensions the customers who are expected to be delinquent are to be specified by you Hence all the cash flows of the customer marked as delinquent would be summed up across time buckets and would be placed in the overnight time bucket as contractually the entire dues are to be paid by the customer immediately Since contractually the entire dues are to be paid by the customer immediately providing an amount or percentage is irrelevant hence all the options will be disabled under this assumption Cash flow assignment is done in the following manner Cash F
98. e and Assumption Type all the dimensions which are available in the Rule is displayed in this section Each dimension appears with its selection button which allows you to select the nodes of the dimension member which will participate in defining the assumption By clicking the button the respective Dimension Member Selection Browser pops up This button gives you the option of specifying the assumption in percentage or value This button is enabled if you have selected the value as the option in Assumption Unit Equivalent Currency is to be selected if you want to give value of the Assumption in the common currency Natural Currency is to be selected if you want to give the values of the Assumption in the natural currency of the record This button is activated if Equivalent Currency is selected in the Assumption Currency This button Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application allows you to provide the Currency of the amount entered for Assumptions Cash flow Use this link to select the Cash flow Assignment Assignment Method Method as Decreasing Equally Proportional or Leg 1 Selected Use this link to select the Cash flow Assignment Assignment Method Method as Decreasing Equally Proportional or Selected 0 Fil For each dimension of the rule Filter is provided for ne ease of defining the Assumption Assumption Value This section allows you to enter the
99. e business days As mentioned earlier in the LRM Application time buckets are defined on the basis of business days ignoring holidays which is available in the holiday calendar Each cash flow is assigned to its respective time bucket based on the cash flow date the holiday calendar and the business day convention For example if the first time bucket is Over night second time bucket is business days 1 to 7 and third time bucket is business days 8 to 14 then the process of assigning cash flows is as follows If the business day of the cash flow is O then it is assigned to the first time bucket If the business day of the cash flow is 4 then it is assigned to the second time bucket e If the business day of the cash flow is 9 then it is assigned to the third time bucket The method used to calculate the business days of the cash flow are as follows 2 4 Cash Flow Aggregation Once the cash flow is assigned to a time bucket then all the cash flows are aggregated on the basis of 48 dimensions that are the attributes of the cash flow and are loaded into FCT_AGG_CASH_FLOWS The LRM Application applies specific business assumptions at the aggregated cash flow level and not at the individual cash flow level For more information on the Data Flow see Annexure B Understanding the LRM Data Flow on page 115 2 5 Currency Conversion Currency conversion is the next step in the process flow All the input data is captured in its nat
100. e name of the counterbalancing strategy in the field Counterbalancing Strategy Name shown in the following figure Counterbalancing Strategy Name Description FIC MIS Date Run Selection Currency Figure 13 Description and Counterbalancing Strategy Name Selection Enter the Description of the Counterbalancing Strategy shown in the preceding figure Click Le to select the Execution Date in the FIC MIS Date field shown in the following figure Figure 14 FIC MIS Date Selection Select the type of Run Baseline Stress or Contractual under field Condition shown in the preceding figure Click LA select the Run Name in the Run Selection field shown in the following figure Figure 15 Run and Execution ID selection Select the Run Execution ID from the dropdown shown in the preceding figure Select the Currency for which the Counterbalancing Strategy 1s to be executed shown in the following figure Reporting Currency kd Legal Entity Figure 16 Currency and Legal Entity 10 Select the Legal Entity for which the Counterbalancing Strategy 1s to be executed shown in the preceding figure 11 Select the level at which the Time Buckets are to be displayed shown in the following figure For more information on multi level time buckets see Time Bucketing on page 10 Time Bucket Level Selection Level 0 Values to be shown in multiples of Thousands Figure 17 Time Bucket Level Selection 12 Select
101. ease Business Assumption Definition y Assumption Details ddtional Collateral Valuation Change aser ae Decreas a Gas Assumption Description EE Rule Name LRM Business Assumption Additipaa dditional Collatera a Tation Changes Asset Value Decrease W Assumption Type Currency Product y Assumption Specification Assumption Unit P ee e O Select All Australian Dollar Credit Card Outstanding F US Dollar BEES CS Col Save Cancel Created Creation Date Last Mo Last Modified Date Ok Cancel Figure 29 Business Assumption Add Additional Collateral Valuation Changes Asset Value Decrease Product Credit Card Outstanding Business Assumption Definition Screen allows you to define new Assumption in Liquidity Risk Management Application Assumption This Text Box allows you to specify the Description Assumption Description gl This button allows you to select the pre defined l Rule Name Rule which is associated with the assumption you are defining Business Assumption Definition Screen allows you to define new Assumption in Liquidity Risk Management Application A on T This dropdown allows you to select the type of Upon pS assumption When you have selected the Rule and Assumption Type all the Dimensions which are available i
102. edit Banks generally allow its customers to withdraw a certain amount which is a percentage of the value specified as the limit This business assumption is applied to the undrawn portion the assumption being that certain portion of the undrawn amount is drawn by the customer at the specified time bucket thus leading to additional cash out flows This assumption also allows you to specify the corresponding cash in flow for the specified cash out flow This business assumption also allows you to select the method for cash flow assignment Various options for cash flow assignment available are as follows Decreasing In decreasing order to all time buckets up to and including the selected time bucket Equal Equally to all time buckets up to and including the selected time bucket Proportional In proportion to the time bucket size Selected Selected time bucket only Decreasing Cash flow assignment is done using the following formula Cash F Low for Bucket n Undrawn amount Percentage Specified 1 Percentage Specified where n number of time bucket Decreasing cash flow assignment methodology is similar to the decreasing cash flow assignment methodology supported by the business assumption EOP Balance Run off Equal Cash flow assignment is done using the following formula Cash Flow por Bucket n 8 Undrawn amount Percentage Specified OR Amount Specified Total number of Time Buckets Equal cash
103. efore execution of Runs such as data configuration and defining business assumptions Chapter 4 Execution The main objective of this chapter is to provide a step by step understanding on the procedure to execute a run and thereafter apply counterbalancing strategies Document Conventions Certain practices have been incorporated into this document to help you easily navigate through the document The table given below lists some of the document conventions incorporated into this User Guide Italics Cross References Emphasis Glossary Terms Table 1 Document Conventions The other document conventions incorporated into this User Guide are as follows Oracle Financial Services Liquidity Risk Management Release 2 0 has been referred to as LRM Application in this User Guide a In this document a Note 1s represented as follows Important or useful information has been represented as a Note User Guide Oracle Financial Services Liquidity Risk Management Release 2 0 1 Introduction Liquidity Risk Management LRM has emerged as a critical risk management function for banking institutions as regulators increasingly require banks to have a robust liquidity management framework in place As per the Basel Committee on Banking Supervision BCBS liquidity is the ability of a bank to fund increases in assets and meet obligations as they come due without occurring unacceptable losses Oracle Financial Services
104. el 1 7 Day 80 70000 1 Notch 11000 78800 l A co 70000 11000 80 Derivative Other 1 7 Day 100 50000 2 Notches 9000 59000 a are 50000 9000 100 Financing Level 1 7 Day 80 200000 3 Notches 80000 2064000 ail 2 200000 80000 80 Table 4 Additional Collateral Rating Downgrade Increase in Cash flow 2 7 4 Additional Collateral Valuation Changes Increase in Cash flow Some derivatives are secured by collateral to cover losses arising from changes in marked to market valuations For changes in the value of the derivative additional collateral is posted resulting in a cash outflow This additional collateral posted is encumbered and is not available for the purpose of counterbalancing or for estimating the cash inflows for Liquidity Coverage Ratio LCR This assumption is defined and cash flows are assigned in a manner similar to that under the assumption Additional Collateral Rating Downgrade as per the increase in cash outflow option Under this assumption only net cash outflows are affected In this case the additional collateral to be posted is deemed to be purchased which involves a cash outflow This collateral is marked as encumbered 2 7 5 Additional Collateral Rating Downgrade Asset Value Decrease For some financing transactions or derivatives with embedded downgrade triggers downgrade in a bank s rating by a recognized credit rating institution will require the bank to post additional
105. elect the type of Upon Pe Assumption you want to define When you have selected the Rule and Assumption Type all the dimensions which are available in the Rule is displayed in this section Each dimension Dimension Member appears with its selection button which allows you Selection to select the nodes of the dimension member which will participate in defining the assumption By clicking this button the respective Dimension Member Selection browser pops up A on Uni This button gives you the option of specifying the Sup assumption in percentage or value This button is enabled if you select value as the option in Assumption Unit Equivalent Currency is to be selected if you want to give value of the assumption as the common currency Natural Currency is to be selected if you want to give the values of the Assumption in the natural currency of the record Assumption Currency This button is activated if Equivalent Currency is selected in the Assumption Currency This button allows you to provide the currency of the amount entered for a particular assumption Fil For the dimension of the rule filter is provided for Ze ease of defining the assumption This section allows you to enter the assumption Assumption Value beer 10 Select Check B If you click this button then the corresponding EES Assumption Row is selected 11 This button deletes all the records from the Grid potest Ow where Select Check Box button is selected This but
106. elete the row added for the same Delete combination then you can click the Delete button to Delete row at the same combination This button allows you to save the defined We Save Assumption Cancel This button allows you to discard all changes made Table 41 Business Assumption Add EOP Liability Balance Growth You can select the Revised Time bucket from this 12 dropdown Revised Time buckets in the dropdown Revised Time Bucket will be at the same level at which the Time Bucket Hierarchy has been created Assumption Details Business Assumption Definition Assumption Description Drawdown of Funding Line of Cre Rule Name RM Business Assumption Drawdown Kan Dimension Member Selection Currency Business Unit LR Time Bucket Product Y Assumption Specification Assumption Unit A ssumption Type Drawdown of Funding Line of Credit Business Unit Select All Australian Dollar US Dollar 481 510Day 331 360Day 481 510Day Audil Ok Cancel Created Last Modified By 331 360Days LR Time Bucket Q Product Credit Card Outstanding Credit Card Outstanding Credit Card Outstanding Credit Card Outstanding Creation Date Last Modified 1200000 20 20Days 50
107. elines If any asset is not assigned to Level 1 or Level 2 asset category they are marked as Other Assets ee oe e e Ce E a Level 1 asset amount calculation Total Level 1 Asset amount is calculated and stored at legal entity and currency granularity This process is performed by a Table to Table T2T transformation in the Liquidity Coverage Ratio Run namely LRM_LCR_DATA_POPULATION The formula for calculating Total Level 1 Asset Amount is as follows Total Level 1 Asset Amount gt MTM Liquidity Haircut i id where n Total Number of Assets assigned as Level 1 Asset Level 2 asset amount used computation Total Level 2 Asset amount used is calculated and stored at legal entity and currency granularity This process is done by a T2T Transformation in the Liquidity Coverage Ratio Run namely LRM_LCR_DATA_POPULATION The formula used for calculating Total Level 2 Asset Amount Used is as follows Total Level 2 Asset Amount Used Wi 40 Minimum H MTM Liquidity Haircut a al KC i yA MTM Liquidity Haircut GA wheren Total Number of Assets assigned as Level 1 Asset where m Total Number of Assets assigned as Level m Asset Level 2 asset amount unused computation Total Level 2 Asset amount unused is calculated and stored at legal entity and currency granularity This process is done by a T2T transformation in the Liquidity Coverage Ratio Run namely LRM_LCR_DATA POPULATION The formula for calculating Total
108. ember appears with its selection button which allows you Selection to select the nodes of the dimension member which will participate in defining the assumption By clicking the button the respective Dimension Member Selection Browser pops up This button gives you the option of specifying the assumption in percentage or value Assumption Unit This button is enabled if you have selected the Value as the option in the Assumption Unit Equivalent Currency is to be selected if you want to give value of the Assumption in the common currency Natural Currency is to be selected if you want to give the values of the Assumption in the natural currency of the record 7 This button is activated if Equivalent Currency is l Currency selected in the field Assumption Currency This button allows you to provide the currency of the Assumption Currency Business Assumption Definition Screen allows you to define a new assumption in Liquidity Risk Management Application a f amoutentered 2222222 Fil For each dimension of the rule filter 1s provided for nee ease of defining the Assumption ge on Val This section allows you to enter the Assumption ssumption Value Amount You can select the Revised Time bucket from the dropdown Revised Time buckets in the dropdown will be at the same level at which the Time Bucket Hierarchy has been created Revised Time Bucket If you click this button then the corresponding Select Check Box Assumption
109. es Increase in Cashflow Rule Name Assumption Type y Dimension Member Selection Currency Business Unit LR Time Bucket Product i z age Currency x Assumption Specification Assumption Unit Value Percentage O Assumption Currency CSF iness Unit LR Time Bucket Product Outflow Amount O Select All Lines of Business 1 331 360Days Product di Australian Dollar Lines of Business 1 361 390Days Product II US Dollar Lines of Business 2 331 360Days Product Lines of Business 2 361 390Days Product l C D Lines of Business 1 331 360Days Product Cal Lines of Business 1 361 390Days Product Fri Lines of Business 2 331 360Days Product O Lines of Business 2 361 390Days Product Save Cancel EN Audi oe Ok Cancel EE Created ox Creation Date Last Modified By Last Modified Date Figure 27 Business Assumption Add Additional Collateral Valuation Changes Increase in Cash Flow Business Assumption Definition Screen allows you to define a new assumption in the LRM Application Assumption This text box allows you to specify the assumption Description description This button allows you to select the pre defined Rule Name Rule which is associated with the assumption which you are defining Business Assumption Definition Screen allows you to define a new assumption in the LRM Application X on T This dropdown allows you to s
110. ess assumptions packaged as part of the LRM Application which are used for BAU as well as Stress Scenarios For more information on the business assumptions see Business Assumption Definition on page 13 Define stress scenarios and create a library of rule shocks Multiple stress scenarios can be configured using the above mentioned Business Assumption types and parameters Ability to execute Business As Usual BAU and Stress Runs across multiple legal entities and support Solo and Consolidated Runs Liquidity Coverage and Funding Concentration Calculation Calculate the following as per Basel III Guidelines Liquidity coverage ratio Net stable funding ratio Funding concentration is calculated on the basis of following dimensions o Currency o Product t As defined by BCBS in Principles of Sound Liquidity Risk Management and Supervision published in September 2008 Oracle Financial Software Services Confidential Restricted 7 o Customer Defining Counterbalancing Strategies Ability to define counterbalancing strategies to minimize the gaps identified as part of a BAU or a Stress Run The following types of counterbalancing positions are supported in order to define counterbalancing strategies Sale of Marketable Assets Sale of Other Assets Roll Over of existing Repos Create a New Repo Deal New Funding like Deposits Primary Issuances Borrowing and so on 2 Understanding the LRM Application T
111. f such funds Funding concentration is calculated on the basis of following dimensions Concentration by Significant Counterparties Concentration by Significant Products Concentration by Significant Currencies 2 12 1 Input Inputs required for Liquidity Ratios to be calculated by the LRM Application are as follows Definition of assumptions Liquidity Haircut Available Stable Funding Factors and Required Stable Funding Factors Liquidity Horizon specified as the run time parameter 2 12 2 Liquidity Ratio and Funding Concentration Calculation Process Flow This section aims to explain the procedure of calculating the Liquidity Coverage Ratio LCR and Net Stable Funding Ratio NSFR as well as provides a brief explanation on Funding Concentration calculation 2 12 2 1 Liquidity Coverage Ratio The procedure for calculating Liquidity Coverage Ratio is as follows 1 Asset level identification Level 1 asset amount calculation Level 2 asset amount used computation Level 2 asset amount unused computation Stock of High Quality Liquid Asset SHOLA computation Cash inflow computation Cash outflow computation Net Cash Outflow NCOF computation 9 Liquidity Coverage Ratio computation Asset level identification A set of Asset Reclassification Rules which assigns an Asset Level to each account is supported by the LRM Application The asset levels Level 1 and Level 2 are as specified by BIS as part of the Basel III guid
112. flow assignment is done in the following manner Cash F Low por Original Bucket 1 Cash FLOW original Bucket Percentage Specified OR Amount Specified Cash Fl OW for Revisied Bucket ES Cash F LOW original Bucket Percentage Specified OR Amount Specified Cash flow assignment for Rollover of Liabilities is similar to the business assumption Rollover of Assets 2 7 9 Run off In a Run off assumption the bank assumes that a certain percentage of deposits will be withdrawn by their customers before the scheduled maturity of the deposit This business assumption would result in an additional outflow in an earlier time bucket and a reduction in the contractual cash outflow in the original time bucket Cash flow assignment is done in the following manner Cash F LOW for Original Bucket 1 A Cash F LOW original Bucket Percentage Specified OR Amount Specified Cash Flow for Revisied Bucket Cash F LOW original Bucket Percentage Specified OR Amount Specified Cash flow assignment for this business assumption is similar to the business assumption Rollover of Assets 2 7 10 Prepayment Prepayment is a situation where the customer repays the loan in part or full at any time before the maturity of the loan Prepayment would lead the bank lose out on the interest component that it would have received if the loan was not pre paid Prepayment results in a cash inflow in a time bucket prior to the original tim
113. flow assignment methodology is similar to the equal cash flow assignment methodology supported by the business assumption EOP Balance Run off Proportional Cash flow assignment is done using the following formula Cash Fl OW for Bucket n Undrawn amount Percentage Specified OR Amount Specified Number of days in Time bucket n Total number o f days in all the considered Time buckets Proportional cash flow assignment methodology is similar to the proportional cash flow assignment methodology supported by the business assumption EOP Balance Run off Selected Cash flow assignment is done using the following formula Cash Flow for Bucket n Undrawn amount Percentage Specified OR Amount Specified Selected cash flow assignment methodology is similar to the selected cash flow assignment methodology supported by the business assumption EOP Balance Run off 2 7 18 EOP Asset Balance Growth EOP Asset Balance of Growth assumption estimates new businesses based on the EOP balance of assets and liabilities It accounts for both legs of the transactions that is inflows as well as outflows Growth is applied to the EOP balance and assigned to time buckets in multiple ways This business assumption also allows you to select the method for cash flow assignment Various options for cash flow assignment available are as follows e Decreasing In decreasing order to all time buckets up to and including the selected time bucke
114. he main objective of this chapter 1s to familiarize you with the various functionalities of Oracle Financial Services Liquidity Risk Management Release 2 0 through the process flow The logical order in which the LRM Application functionalities are executed will help you understand execute and maintain data in the LRM Application 2 1 Process Flow Oracle Financial Services Liquidity Risk Management Release 2 0 allows you to identify and monitor liquidity risk through the Liquidity Risk Gap Report Liquidity Risk is managed by the LRM Application through the following functionalities as represented in the given diagram S wa i LRM Process Flow 2 2 Cash Flow Data Download The cash flow data is to be provided as a download by the bank This data is transformed and loaded to FCT_PROCESS_CASHFLOW from STG_ACCOUNT_CASH_FLOWS FCT_PROCESS_CASHFLOW contains the cash flow amount and cash flow date of all the accounts The cash flows are further bucketed and moved to FCT_ACCOUNT_CASH_FLOWS table based on the defined Liquidity Risk time buckets For more information on the Data Flow see Annexure B Understanding the LRM Data Flow on page 115 2 3 Time Bucketing Time Bucketing is the process of allocating cash flows to defined time intervals to identify measure and manage liquidity risk The purpose of time bucketing is to increase operational efficiency as it helps save time in measuring liquidity risk on cash flo
115. he respective Dimension Member Selection Browser pops up A on Uni This button gives you the option of specifying the pet assumption in Percentage or Value This button is enabled if you have selected the value as the option in Assumption Unit Equivalent Currency is to be selected if you want to give value of the assumption as the common currency Natural Currency is to be selected if you want to give the values of the assumption in the natural currency of the record Assumption Currency This button is activated if Equivalent Currency is selected in the Assumption Currency This button allows you to define the Currency of the amount entered for assumptions Fil For each dimension of the rule Filter is provided for Ze ease of defining the Assumption RSF F This section allows you to enter the RSF factor SE amount 10 Select Check B If you click this button then the corresponding EES Assumption Row is selected This button allows you to save the defined Save 11 Assumption This button allows you to discard all changes made Table 46 Business Assumption Add Required Stable Funding Factor Currency Executing Runs E Liquidity Risk Manage ment Windows Internet Explorer ORACECE Liquidity Risk Management Segment LRMSEG v Run Management Summary EN Liquidity Risk Y Search Time Buckets j Business Assumption Definition To mmm Ed Countdrbal ncina Strategy Definition SES List of
116. in Enter the password to Login 2 Click the Login Button after providing User ID and Login i Password for Login Table 18 OFSAAI Log In e OFSAA Infrastructure Windows Internet Explorer E A Financial Services Analytical Applications Infrastructure User Irmiutuser ORACLE Connected to LRMIUT gh Home Unified Metadata Manager EY Rules Framework E Operations E Bl System Configuration El Administration de Advanced Analytics Infrastructure e AMHM UMM Offline Population E EY Risk Applications Liquidity Risk Management E EY Data Quality Framework Make 1 Deiaut Screen my Start Page Save Friv ONLY THE VERY Review of Run Chart Figure 20 OFSAAI Logout Screen l This is the first screen which appears when you log into OFSAAI a Click this button to logout of OFSAAL Table 19 OFSAAI Log Out Screen OFSAA Infrastructure Windows Internet Explorer Financial Services Analytical Applications Infrastructure User Imiutuser ORACLE E CH Unified Metadata Manager El EY Rules Framework Se Operations E El System Configuration El A Administration El de Advanced Analytics Infrastructure e AMHM UMM Offline Population A TY Risk Applications z iquidity Risk Manageme EY Data Quality Framework Make Defaut Screen my Start Page This is the first screen which appears when you log into OFSAAI Select the infodom
117. in the following figure Run Parameter Selection Run Name LAM CONTRACTUAL LRM 2 0 Consolidation Type S l W Reporting Currency US Dollar m f Business Day Convention No Adjustment W Forward Rate interpolation PP Method Linear Ke LCR Horizon in Days AU Legal Entity Selection B itoSof5 Bank Central India Bank One US Bank Shanghai HK National Housing Finance Co Bank of China Capital Market Co Figure 11 Run Parameter Selection 4 Enter the Run Name 5 Enter the Consolidation Type as Solo or Consolidated shown in figure 12 6 Click eh select the Reporting Currency shown in figure 12 7 Select the relevant Business Day Convention for the purpose of Time Bucketing shown in figure 13 For more information on time buckets see Time Bucketing on page 10 8 Select the Forward Rate Interpolation Method as Linear or Log Linear for the purpose of currency conversion shown in figure 12 For more information on currency conversion see Currency Conversion on page 11 9 Enter the LCR Horizon in Days for the purpose of calculating Liquidity Coverage Ratio as prescribed in the Basel HI guidelines shown in figure 12 10 Select the Legal Entity under the Legal Entity Selection field cs 7 Legal entity selection is dependent on the consolidation type selected oIf Solo Run is selected you will have to manually select all the Legal Entities for which the run 1s
118. iness 2 451 480Days Credit Card Outstanding is of Business 1 421 450Days Credit Card Outstanding is of Business 1 451 430Days Credit Card Outstanding is of Business 2 421 450Days Credit Card Outstanding i f O is of Business 2 451 430Days Credit Card Outstanding Save Cancel Audi iy Ok Cancel S Created Creation Date Last Modified By Last Modified Date gt Figure 36 Business Assumption Add Recovery from Delinquent Accounts Business Assumption Definition Screen allows you to define a new Assumption in Liquidity Risk Management Application l Assumption This text box allows you to specify the Assumption Description Description gt This button allows you to select the pre defined l Rule Name Rule which is associated with the assumption which you are defining oF This dropdown allows you to select the type of Assumption Type assumption When you have selected the Rule and Assumption Type all the dimensions which are available in the Rule is displayed in this section Each dimension appears with its selection button which allows you 4 Dimension Member Selection to select the nodes of dimension member which will participate in defining the assumption By clicking the button the respective Dimension Member Selection Browser pops up 5 A on Un This button gives you the option of specifying the SE SAIL assumption in percentage or value This button is enabled if you have selected the V
119. ing Limit Management Application Please refer to Limit Management user guide for defining the limit management application e Once limit is defined SETUP LIMIT APP VALUES has to be updated Following are the values to be updated in the table are no records then sequence will start from 1 v_dataset_code DSLRMOS1 This is a pre defined data set for Limit in LRM with description as Liquidity Gap Limit DIM_ORG_STRUCTURE and DIM_RESULT_BUCKET are included in the dataset definition by default If user prefers to define limit on any other hierarchies the dimensions on which those hierarchies are defined have to be included in the dataset If user prefers to use any other data set for Limit updation then the corresponding data set value has to be updated in this column v_target_measure_code Measure code created on Measure has to be created on the target column n_gap_limit Target column can be any column of the fact table included in dataset mentioned in v_dataset_code column By default LRM stores the limit in the following column of Fact Aggregate Cash Flow table FCT_AGG_CASH_FLOWS N_GAP_LIMIT If user prefers to use the same column a measure has to be created on the column and updated in this field If user prefers to use some other column of the fact table selected in the above dataset then measure has to be created on the corresponding column and updated in the this field n_limit_def_sys_id Limit definition System ID
120. ion Summary displays a list of all the Assumptions which are defined by you Business Assumption Click this link to define view or edit business Definition assumptions in the LRM Application This section allows you to search the pre defined assumption on the basis of the Assumption type You need to specify the Assumption Type here for searching the pre defined assumption Assumption Type This section allows you to search the pre defined assumption on the basis of the Rule Name You need to specify the Rule Name here for searching the pre defined assumption Rule Name Selection This link allows you to search the Assumption on Search the basis of the Assumption Type or Rule Name defined by you This link allows you to reset the screen to 1ts default Reset state where all the assumptions are displayed Add This link allows you to define a new assumption This link allows you to view the selected assumption Edit This link allows you to edit the selected assumption View Business Assumption Summary displays a list of all the Assumptions which are defined by you This link allows you to delete the selected Delete assumption Table 22 Business Assumption Summary Business Assumption Definition y Assumption Details Deposit Balance Growth Assumption Description Rule Name ES LRM Business Assumption Deposit Bal mg y Dimension Member Selection Business Unit LR Time
121. is defined using the Run Framework of the Oracle Financial Services Analytical Applications Infrastructure OFSAAIT and executed using the Run Management User Interface UI of the LRM Application For more information on defining Contractual Run see OF SAAI Rule Process and Run Framework User Guide For more information on Execution of a Contractual Run see Executing a Run on page 48 2 7 Business Assumption Definition After defining and executing a contractual run business assumptions are to be defined and applied to the contractual cash flows through BAU execution under normal conditions or stress execution under stressed conditions The Liquidity Gap report provides the liquidity status of the organization based on the impact of these business assumptions on the cash flows A Rule forms the basis of any business assumption Each rule pre configured in the LRM Application 1s associated with one business assumption For more information on defining Rules see OFSAAI Run Rule Framework User Guide For more information on defining the parameters of a business assumption see Defining Parameters of Business Assumptions Screen Inputs on page 43 The types of business assumptions that are supported by the LRM Application are as follows Deposit Balance Growth Haircut Additional Collateral Rating Downgrade Increase In Cash flow Additional Collateral Valuation Changes Increase In Cash flow Add
122. itional Collateral Rating Downgrade Asset Value Decrease Additional Collateral Valuation Changes Decrease in value of Asset Rollover of Assets Rollover of Liabilities Run off Prepayment Emerging Delinquency Large Customers Emerging Delinquency Non Large Customers Recovery from Delinquent Accounts EOP Balance Run off Asset Book Growth Liability Book Growth Drawdown of Unutilized Credit EOP Asset Balance Growth EOP Liability Balance Growth Drawdown of Funding Line of Credit Change in Value Of Asset Ss Liquidity Haircut Available Stable Funding Factors Required Stable Funding Factors dk OAI business assumptions can be defined based on any of the hierarchies supported by the LRM application Time bucket hierarchy is a mandatory selection to define business assumptions for all cases except Emerging Delinquency Large Customers OAI business assumptions except Emerging Delinquency Large Customers Available Stable Funding Factors Liquidity Haircut and Required Stable Funding allow you to specify the amount in percentage as well as value If percentage has been selected then the specified percentage amount is that of the corresponding cash flow amount on the specified combination If value has been selected as input then the currency of the amount specified in the assumption has to be selected oYou have the option to select two types of currencies namely natural currenc
123. ket Level Selection CB Strategy 5 09 05 2011 LRM BUSINESS ASUSUAL Reporting Currency Description Condition Run Execution ID Legal Entity Stress Scenario CB Strategy 5 Values to be shown in multiples of Liquidity Gap Report Liquidity Position Time Bucket Overnight 1 1Days 2 2Days 3 3Days 44Days 5 5Days 6 6Days 7 7Days 8 8Days 9 9Days 10 10Days 11 11Days 12 12Days 13 13Days 14 14Days 15 15Days 16 16Days 17 Inflow 11 56 89 36 11 56 9 91 1 47 11 56 6 01 11 56 11 56 11 56 16 42 4 24 652 02 1 969 34 4 24 4 24 1 568 81 Outflow 3 31 97 60 3 31 18 16 6 78 3 31 14 26 3 31 3 31 3 31 17 35 3 31 652 95 3 31 3 31 3 31 3 31 Gap 8 25 8 24 8 25 8 25 8 25 8 25 8 25 8 25 8 25 8 25 0 93 0 93 0 93 1 972 65 V 1 572 12 Amounts in US Dollar Counterbalancing Positions ES 1 to5o0f5 Counterbalancing Units Method Sold Repo d Creation of New Repos 5 Original Maturity Bucket Revised Outflow Amount 19 19Days Revised Outflow Bucket Revised Inflow Amount 17 17Days Revised Inflow Bucket 5 0844 Original Cashflow Reversal 181 210Days Position NST10016 5 7802 19 19Days 100 241 270Days 8 9545 NA New Debentures New Funding N A NA 391 420Days NST10035 Roll over of Existing Repos 5 32 32Days Sale of Marketable Assets 2 NST10031 Land Building Fixed Assets LE3 241 270Days 12 12Days NIA Sale of Other Asset
124. le when you select the Asset in the Instrument Selection Browser Screen o Asset o Natural Currency o Asset Value NCY o Asset Value Converted o Number of Days for Liquidation The following information is to be updated by you o Percentage of Assets to be sold Specify the percentage of units of instruments to be sold o Discount in Percentage The discount provided on the price of the instrument 1s to be entered in percentage o Inflow Bucket Select the inflow bucket where cash inflows will occur If an additional asset is to be added then click ES button and repeat the above stated procedure Rollover of existing Repos The list of Repos to be rescheduled displayed in the Instrument Selection Browser screen iS taken from the table FCT_COMMON_ACCOUNT_SUMMARY and STG_ACCOUNT_CASH_FLOWS where encumbrance status is set to N and its a Repo Transaction You can alternatively search for the instrument by selecting the various filter options in the Advanced Filter field The following information 1S auto populated from the FCT_COMMON_ACCOUNT_SUMMARY table when you select the Repos in the Instrument Selection Browser Screen o Repo Name o Natural Currency o Repo Maturity Date o Repo Maturity Amount NCY o Repo Maturity Amount Converted o Underlying Instrument o Instrument Maturity Date o Number of Units o Market Value per unit NCY The following information is to be updated by you o Revised Maturity Bucke
125. lent Currency is to be selected if you want to give value of the Assumption as the common currency Natural Currency is to be selected if you want to give the values of the Assumption in the natural currency of Business Assumption Definition Screen allows you to define a new Assumption in Liquidity Risk Management Application po EA This button is activated if Equivalent Currency is selected in the Assumption Currency field This Button allows you to define the Currency of the amount entered for the assumption Currency Use this link to select the Cash flow Assignment Method as Decreasing Equally Proportional or Selected Fil For each dimension of the rule Filter is provided for TS ease of defining the Assumption Cash flow Assignment Method This section allows you to enter the Assumption Assumption Value Anou 1 heck If you click this button then the corresponding EE assumption row is selected This button deletes all the records from the Grid Delete row where Select Check Box button is selected Co This button allows you to copy the assumption and PY save as new mapping This button allows you to save the defined Save l Assumption This button allows you to discard all changes made Table 36 Business Assumption Add EOP Balance Run off Business Assumption Definition y Assumption Details Assumption Description Assumption Type Asset Book Growth Rule Name
126. mations DT which are used for moving data from the staging tables to the processing tables It specifies all the table names where cash flow data is moved from processed and finally stored in the reporting tables STG ACCOUNT _ CASH FLOWS FCT PROCESS CASHFLOW FCT_ACCOUNT_CASH_FLOW FCT_AGG CASH FLOWS Reporting Tables Data on cash flows is provided as an input in the staging table STG_ACCOUNT_CASH_FLOWS which also contains cash flow dates for all the accounts On execution of the T2T data moves from STG_ACCOUNT_CASH_FLOWS to FCT_PROCESS_CASHFLOW In FCT_PROCESS_CASHFLOW all the codes like Account Codes Currency Codes as specified in the Stage table are converted into their corresponding skey Surrogate Key from Dim tables Hence FCT_PROCESS_CASHFLOW is similar to STG_ACCOUNT_CASH_FLOWS the only difference being of codes in the Stage table and skey in FCT table From FCT_PROCESS_CASHFLOW data moves to FCT_ACCOUNT_CASH_FLOW where all cash flow dates are converted into time buckets that is time bucket assignment takes place in this stage of the LRM application data flow For more information on Time Bucket see Time Bucketing on page 10 FCT_ACCOUNT_CASH_FLOWS table contains cash flows at Account and time bucket granularity FCT_PROCESS_CASHFLOW table contains cash flow at Account and cash flow date granularity Cash flows from FCT_ACCOUNT_CASH_FLOWS moves into FCT_AGG_CASH_FLOWS These cash flows are aggregated
127. n This link will allow you to add a Counterbalancing Strategy By clicking this link the Counterbalancing Position Add Screen is displayed where you can define the Counterbalancing Strategy to be applied Add Counterbalancing Position Table 53 Counterbalancing Strategy Definition Screen 1 Counterbalancing Strategy Definition Windows Internet Explorer Inflow Aug 8936 11 56 Outflow 3 31 9760 3 31 Gap 8 25 8 24 8 25 8 25 8 25 i y 1 972 65 0 0 93 1 572 12 D We Amounts in US Dollar Counterbalancing Positions 1to5o0f5 Counterbalancing Units Original Maturity Original Cashflow Revised Inflow Revised Inflow Revised Outflow Revised Outflow Method Sold Repo d Bucket Reversal Bucket Amount Bucket Amount NST10016 Creation of New Repos 5 181 210Days 5 0344 17 17Days 5 7302 19 19Days Position y 100 391 420Days New Debentures New Funding IA NA 19 19Day NST10035 Roll over of Existing Repos 5 241 270Days 8 9545 N z A d 32 32Days E NST10031 Sale of Marketable Assets d 241 270Days 7 56 12 12Day NA Land Building Fixed Assets LE3 Sale of Other Assets 3601 36000Days 20 20Days 9 NA Amounts in US Dollar Time Bucket Overnight 1 1Days 2 2Days 3 3Days 44Days 5 5Days 6 6Days 7 7Days 8 Days 9 9Days 10 10Days 11 11Days 12 12Days 13 13Days 14 14Days 15 15Days 16 16Day 11 56 9 91 1 47 11 56 6 01 11 56 11 56 11 56 6 42 652 02 1 969 34 4 24 4 24
128. n be defined in the Run framework of Oracle Financial Services Analytical Application Infrastructure OFSAAD For more information on definition of a Run see OFSAAI Run Rule Framework User Guide After execution of a Run counterbalancing strategies are applied on the liquidity gaps identified This chapter aims to explain the step by step procedure of executing a Run and thereafter the procedure to apply counterbalancing strategies to the liquidity gap report 4 1 Executing a Run To define a Run follow the steps given below 1 Click Run Management on the LHS menu of the LRM Application to open the Run Management Summary Screen 2 Click to select a Run under section List of Runs shown in the following figure List of Runs E 1401 01 Run Name Run ID Run Type Created By Creation Date Last Modified By Last Modified LAM CONTRACTUAL LRM 20 1306186125651 CONTRACTUAL RUN LRMUSER 052342011 LRMUSER 0524 2011 Figure 10 List of Runs Selection Eilen oTo search for a particular Run enter the Run Name or select Run Type and click ES under the search field OAI the Runs mapped to the corresponding infodom and segment are displayed in the Run Management screen OAI the Rules mapped to the corresponding infodom and segment are displayed in the Rule Browser under Behaviour Assumption Definition screen 3 Click S to define the parameters of the Run shown in figure 11 The Run Parameter Selection Screen appears shown
129. n certain data quality checks have been pre configured under the Data Quality Framework link in OFSAAI A few of the data quality checks pre configured in the LRM Application are as follows Data Quality Checks on STG ACCOUNT CASH FLOWS Cash flow date D_CASH_FLOW_DATE must not be less than Execution date FIC_MIS_ DATE Null Value checks for Cash Flow date D_ CASH_FLOW_DATE Null Value checks for Cash Flow amount N_CASH_FLOW_AMT List of Value Checks on Cash flow type V_CASH_FLOW_TYPE Value should be either I or O Inflow Outflow List of Value Checks on Financial Element type V_FINANCIAL_ ELEMENT CODE of Cash flow Value should be P I or O Principal or Interest or Others If no value is given it would be taken as P Principal Reference Checks on Cash flow date D_CASH_FLOW_DATE from DIM_DATES Reference Checks on Currency V_CCY_CODE from DIM_CURRENCY Reference Checks on Product V_PROD_CODE from DIM_PRODUCT Reference Checks on Organization Unit V_ORG_UNIT_CODE from DIM_ORG_UNIT Reference Checks on Account Number V_ACCOUNT_NUMBER from DIM_ACCOUNT Reference Checks on Instrument Type N_INSTRUMENT_TYPE_CD from DIM_INSTRUMENT_TYPE Reference Checks on GL Account Code V_GL_ACCOUNT_CODE from DIM_GL_ACCOUNT 3 3 Defining Parameters of Business Assumptions Screen Inputs After configuring setup data and run or staging data as mentioned in the earlier section in the LRM
130. n the Rule is displayed in this section Each Dimension Dimension Member appears with its selection button which allows you Selection to select the nodes of dimension member which participates in defining the Assumption By clicking the button the respective Dimension Member Selection Browser pops up A on Uni This Radio Button gives you the option of SSES specifying the assumption in Percentage or Value This Radio button is enabled if you have selected the Value as the option in Assumption Unit Equivalent Currency is to be selected if you want to give value of the Assumption as the common currency Natural Currency is to be selected if you want to give the values of the Assumption in the natural currency of the record Assumption Currency This button is activated if Equivalent Currency is selected in the Assumption Currency This Button allows you to define the Currency of the amount entered for Assumptions Fil For each dimension of the rule Filter is provided for Ze ease of defining the Assumption A This section allows you to enter the Assumption ssumption Value Amount 10 Select Check B If you click this button then the corresponding EES Assumption Row is selected 11 This Button deletes all the records from the Grid potest Ow where Select Check Box button is selected This button allows you to save the defined 12 Save Assumption This button allows you to discard all changes made Table 28 Business Assumption
131. n to create a Stress Run A Stress Run or execution is used to study the adverse effects of the application of stressed business assumptions on the liquidity gaps For more information on executing a Stress Run see Executing a Run on page 48 2 12 Liquidity Ratios and Funding Concentration Calculations Various parameters in Liquidity Risk Management help in analyzing the liquidity status of the bank Liquidity ratios are one such parameter prescribed in the Basel HI Guidelines There are two types of ratios calculated by the LRM Application which are as follows o Liquidity Coverage Ratio Liquidity coverage ratio addresses the short term liquidity needs of an institution during a stress situation It estimates whether the stock of high quality liquid assets 1s sufficient to cover the net cash outflows under stress situations over a specified future period Liquidity coverage ratio is calculated at the legal entity level Liquidity coverage ratio is also calculated at the currency level which is known as Foreign Currency Liquidity Coverage Ratio e Net stable funding ratio addresses the medium and long term liquidity needs of a bank during a stress situation It specifies the minimum amount of stable funding required to be maintained in order to promote stable long term funding e Funding Concentration Calculation Wholesale funding from significant sources 1s calculated in order to monitor the liquidity risk arising from the withdrawal o
132. nancial Services Software Limited reserves the right to alter modify or otherwise change in any manner the content hereof without obligation of Oracle Financial Services Software Limited to notify any person of such revision or changes All company and product names ate trademarks of the respective companies with which they are associated
133. nces Borrowing and so on The list of products to be purchased displayed in the Instrument Selection Browser screen is taken from the table GL Master where GL items with GL Type as Liability is considered You can alternatively search for the instrument by selecting the various filter options in the Advanced Filter field The following information is to be updated by you for the product selected o Inflow Bucket Specify the inflow bucket that is in which bucket the Instrument is to be purchased o Inflow Amount Specify the amount you are going to purchase in the given bucket o Maturity Bucket Specify the bucket in which the instrument is Maturing o Maturity Amount Specify the maturity amount of the instrument If an additional instrument is to be added then click ES button and repeat the above stated procedure yore The following errors may pop up while defining Counterbalancing Strategies oThe Counterbalancing strategy name already exists Please specify a different name This error appears if you enter the name of the counterbalancing strategy which is already defined then system oThe upper bound of the Inflow Bucket cannot be less than MIS Date No of Days for Liquidation This error appears when the time bucket selected is less than execution date oUnits to be sold cannot be greater than the Units Available This error message appears if the given units to be sold are more than the units available for the sele
134. newed for an additional term The amount of cash flow rolled over is thus reduced from the original time bucket and assigned to the new time bucket The effect of this assumption would be an altered final cash flow in the affected time buckets Rollover of assets impacts the inflow amount Cash flow assignment is done in the following manner Cash Flow for Original Bucket s i 8 Cash F LOW original Bucket Percentage Specified OR Amount Specified Cash Flow for Revised Bucket Se Cash F LOW original Bucket Percentage Specified OR Amount Specified An example of the assumption applied to product type Loan legal entity LE 1 and currency USD is as follows 10000 15 30 3000 10000 Days 0 1 10000 0 6 10000 Loan LE 1 USD 15 30 60 90 10 5000 60 90 6000 5000 Days Days Days 0 1 10000 180 360 60 7000 180 360 13000 7000 Days Days 0 6 10000 Table 6 Rollover of Assets 2 7 8 Rollover of Liabilities Rollover of liabilities refers to the rescheduling of a certain percentage of cash flows to a future time bucket It occurs when the liabilities are renewed for an additional term The amount of cash flow rolled over is thus increased in the original maturity time bucket and assigned to the new maturity time bucket The effect of the business assumption would be an altered final cash flow in the various time buckets Rollover of liabilities impacts the cash outflow amount Cash
135. od balencing method LRMRUNADD Add LRM Run The user group mapped to this function can add new runs LRMRUNDEL Delete LRM Run The user group mapped to this function can Delete runs LRMRUNEXEC Execute LRM Run The user group mapped to this function can Execute runs LRMRUNMOD Modify LRM Run The user group mapped to this function can edit runs LRMRUNVIW View LRM Run The user group mapped to this function can view runs Table 17 Setup Role Management 3 1 2 Setup Data Management This section refers to the setup data required to be populated in Oracle Financial Services Liquidity Risk Management Release 2 0 Setup data is a set of dimension tables which does not change frequently and can be categorized as a onetime setup activity The setup tables required to be populated in the LRM application are as follows DIM_ACCT_STATUS DIM_ASSET_LEVEL DIM_BASEL_CREDIT_RATING DIM_BASEL_CUSTOMER_TYPE DIM_BASEL_GUARANTOR_TYPE DIM_BASEL_ISSUER_TYPE DIM_BASEL_PRODUCT_TYPE DIM_BOOLEAN_FLAGS DIM_CASH_FLOW_TYPE DIM_COUNTRY DIM_CREDIT_RATING DIM_CURRENCY DIM_GL_ ACCOUNT DIM_HOLDING_TYPE DIM_INSTRUMENT_CATEGORY DIM_INTEREST_TYPE DIM_LCR_OPTION DIM_LR_COUNTER_BALANCE_METHOD DIM_MATURITY_BAND DIM_ORG_UNIT DIM_RISK_WEIGHT DIM_RUN DIM_RUN_TYPE FSI_BEHAVIOR_ASSUMPTION_TYPE MAP_LE_TB FSI_M_LOOKUP_MASTER FSI_M_LOOKUP_B FSI_M_LOOKUP_TL FSI_M_OBJECT_DEFINITION_B FSI_M_OBJECT_DEFINITION_TL FSI_TEMPLATE_DEFINITION FSI_TEMPLATE_DEFINITION_MLS FSI_T
136. of specifying the assumption in percentage or value Assumption Unit This button is enabled if you have selected the Value as the option in Assumption Unit Equivalent Currency is to be selected if you want to give value of the Assumption in the common currency Natural Currency is to be selected if you want to give the values of the Assumption in the natural currency of the record Assumption Currency Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application This button is activated if Equivalent Currency is selected in the Assumption Currency field This button allows you to provide the Currency of the amount entered for Assumptions Cash flow Use this link to select the Cash flow Assignment Assignment Method Method as Decreasing Equally Proportional or Leg 1 Selected Cash flow Use this link to select the Cash flow Assignment Assignment Method Method as Decreasing Equally Proportional or Leg 2 Selected 0 Fil For each dimension of the rule Filter is provided for nie ease of defining the Assumption Assumption Value This section allows you to enter the Assumption for Leg 1 Amount for Leg 1 Currency 3 Assumption Value This section allows you to enter the Assumption for Leg 2 Amount for Leg 2 4 If you click this button then the corresponding Select Check Box Assumption Row is selected De This button deletes all the records from the Grid Delete
137. olation method to be applied while Interpolation Method using Forward Exchange Rate Provide the LCR Horizon in days LCR Horizon LCR Horizon In also known as Liquidity Horizon is used for Days calculating the Liquidity Coverage Ratios as prescribed in the Basel III guidelines Select the set of Legal Entities over which the Run is to be executed Legal Entity Selection depends on Consolidation type selected If you have selected Solo Run then you will have to manually select all the Legal Entities over which you execute the run If you select Consolidated then you are allowed to select only Parent Node and all the legal entities which are coming under parent node will automatically be selected for execution Click OK button to save the Parameters given Click Close button to close the parameter screen Table 48 Business as Usual Run Parameters Selection Legal Entity Selection kuch J N P LA N D D D D D D E Run Parameter Selection Windows Internet Explorer Run Parameter Selection Run Name CRM CONTRACTUAL ap Consolidation Type TA T Reporting Currency LIS Dollar sm ca Business Day Convention No Adjustment k Gl Forward Rate Interpolation Method lte EE D LCR Horizon in Days o D Legal entity Selection Ze SR Bank Shanghai HK Bank of China Capital Market Co Bank Central India Mational Housing Finance Co Bank One US QD Figure 50 Contractual Run Parameters Selec
138. on the contractual cash flows assigned to the overnight time bucket is considered Even though contractually it is due immediately the actual recovery takes place only over a period of time Hence based on past experiences you are allowed to specify the percentage of recovery in each time bucket The balance percentage which is not specified by you is placed in the last time bucket Hence the contractual cash flow is first deducted from the overnight time bucket and assigned to various other time buckets based on the defined percentages Cash flow assignment is done in the following manner Cash F LOW for Overnight Bucket 1 Cash F LOW overnight Bucket Percentage Specified OR Amount Specified Cash F low por Selected Bucket Cash F LOW original Bucket Percentage Specified OR Amount Specified Cash F LOW for Last Bucket Remaining Cash F LOW overnight il An example of the assumption applied to product type loan legal entity LE 1 and currency USD is as follows OT T O OOO omp Geer days days LE 1 ee 1 30 1 30 a Kl Ke A IG ge FS 60 25 60 180 25 2500 180 days days 5000 10000 1000 1500 2500 Table 9 Recovery from Delinquent Accounts 2 7 14 EOP Balance Run off EOP Balance Run off is applied to the End of Period EOP liability balances indicating the amount of liabilities that are withdrawn prior to their scheduled maturity Run offs are also applicable to debt instrumen
139. onal Monetary Fund o The European Commission They are assigned a 0 risk weight under the standardized Approach of Basel II Issuer type is not a bank or other financial services entity Debt securities issued in the local currency of the legal entity in which the liquidity risk 1s being undertaken or the bank s country of domicile where the issuer type is sovereign or central bank and the risk weight assigned to the sovereign is greater than 0 Debt securities issued in foreign currencies to the extent that matches currency needs of bank s operations in that jurisdiction where the issuer type is domestic sovereign or central bank and the risk weight assigned to the sovereign is greater than 0 Level 2 Assets as per Basel III Guidelines are as follows Marketable securities which satisfy the following conditions Level 2 Assets Issuer type or Guarantor Type is one of the following Sovereign Central Bank Non Central Government Public Sector Entity o Multi lateral Development Banks They are assigned a 20 risk weight under the standardized Approach of Basel II Price has not decreased or haircut has not increased by more than 10 over a 30 day period during a relevant period of significant liquidity stress which is specified by the bank Corporate Bonds and Covered Bonds which satisfy the following conditions Issuer type is a non financial institution Issuer type is not the bank itself for which the com
140. onfiguring data into the LRM Application is the basic and most important activity to commence working on the LRM Application Data to be configured in the LRM Application can be divided into three types e Setup Role Management Setup Data Management e Run Data Management The subsequent sections list the set of Setup tables and Run Data tables to be populated However for details on the columns to be populated within each table refer to the Download Specifications DL Specs document 3 1 1 Setup Role Management The following table provides details about the functions and their use You are requested to create specific roles to access the respective functionality of the screens and map these roles to user groups Assumption The user group mapped to this function can add new Assumption behaviour assumptions The user group mapped to this function can Delete Assumption behaviour assumptions Modify Behaviour The user group mapped to this function can edit behaviour Assumption assumptions The user group mapped to this function can view Assumption behaviour assumptions method Couter balencing method LRMCBDEL Delete Counter The user group mapped to this function can Delete existing Banlancing method Couter balencing method s LRMCBMOD Modify Counter The user group mapped to this function can edit Couter Banlancing method balencing method LRMCBVIW View Counter The user group mapped to this function can view Couter Banlancing meth
141. only Parent Node and all the legal entities which are coming under parent node will automatically be selected for execution OK Click OK button to save the Parameters given Click Close button to close the parameter screen Table 49 Contractual Run Parameters Selection Legal Entity Selection E Run Execution Parameters Windows Internet Explorer Run Execution Parameters Run Name BAU 1 Consolidation Type SOLO Contractual Run LEM CONTRACTUAL 2 Run Execution ID ROIEXEDOS Reporting Currency US Dollar Business Day Convention No Adjustment Forward Rate Interpolation Method Linear LCR Horizon In Days 30 ECUS Date gt E E Run Execution Description CO oS op Legal Entity Selection mi Li5of5 Bank One US Bank Shanghai HK National Housing Finance Co Bank Central India Bank of China Capital Market Co Eca seso Figure 51 Run Execution Parameters Selection Run Management Screen allows you to define or execute the Run in the LRM Application Select the Execution date in the given field FIC MIS Date Run Execution Provide the Run Execution Description as an Description optional entry future Execute button will immediately execute the run Click Close button to close the parameter screen Table 50 Run Execution Parameters Selection Create a batch for the run and schedule the 3 Create Batch execution of the batch to some later date in the D I Run Execution Summary
142. ounterbalancing Strategy Definition user can define counterbalancing strategy on the runs defined across LRM segments Annexure G Time Bucket User can define multiple time bucket definitions but only one definition is applicable for LRM processing The specific time bucket definition is configured by following SETUP_MASTER entries Time Bucket as of date identifier should be updated to the as of date of the time bucket to be used for processing As of date should be updated in column V_COMPONENT_VALUE of SETUP_MASTER table where V_COMPONENT_CODE equals to LRM _ BCKT_AS_ OF _ DATE in YYYYMMDD format Default value is 19000123 Time Bucket Sys id should be updated to the Sys id of the time bucket to be used for processing Sys id should be updated in column V_COMPONENT_VALUE of SETUP_MASTER table where V_COMPONENT_CODE equals to LRM_BCKT_SYS_ID Default value is 999999 Time Bucket type identifier should be updated to the bucket type identifier of the time bucket to be used for processing Bucket type identifier should be updated in column V_COMPONENT_VALUE of SETUP_MASTER table where V_COMPONENT_CODE equals to LRM_BCKT_TYPE_ID Default value is LRM Annexure H Configuring Limit Management Limit Management in LRM Application is used to setup Liquidity Gap Limit Following are the steps for configuring the limit defined in limit management application in LRM Define limit us
143. over which Sale of Other Assets Counterbalancing Strategy is to be applied This button allows you to Delete the selected Strategy You need to state the percentage of the units of instruments to be sold You need to provide information on discount Counterbalancing Position Add Screen allows you to add Counterbalancing Strategy in the LRM Application provided on the price of the instrument Discount should be entered in percentage You need to select the inflow bucket where above Inflow Bucket P stated cash inflow occurs This link allows you to add Rollover of Existing Repos Counterbalancing Strategy By clicking this Add link the Repo Selection Browser is displayed where you can select the Repo over which Rollover z of Existing Repos Counterbalancing Strategy is to be applied This button allows you to Delete the selected Delete Strategy Over units to be rolled over You need to specify the Revised Time Bucket into Revised Maturity which the repo values are to be readjusted Revised Bucket Maturity Bucket should fall within the range of the number of days to maturity of the underlying instrument Table 55 Counterbalancing Positions Add 1 3 Add Counterbalancing Positions Webpage Dialog amp Sale of Other Assets S 1 to 1o0f1 Sale Unit units of Underlying Instrument O Percentage of Underlying Instrument Asset Natural Currency Legal Entity Asset Value NCY Asset Value Converted No of
144. pecification Assumption Unit Jalue Percentage LRM Business Assumption Runoff ST su Business Assumption Definition Assumption Currency Currency Business Unit E d Select All pf Business 1 Y Australian Dollar pf Business 1 Y US Dollar bf Business 1 Df Business 1 Audi Created Last Mog Ok Cancel LR Time Bucket 361 390Days 721 1080Days 361 390Days 721 1080Days Save Cancel Creation Date Last Modified Date Product OutfloyA Others Others 21 21Days Others 83 83Days Others Figure 32 Business Assumption Add Run off Business Assumption definition screen allows you to define a new assumption in the LRM Application Assumption Description Rule Name Assumption Type Dimension Member Selection Assumption Unit Assumption Currency This text box allows you to specify the assumption description This button allows you to select the pre defined rule associated with the assumption This dropdown allows you to select the type of assumption When you have selected the Rule and Assumption Type all the dimensions which are available in the Rule is displayed in this section Each dimension appears with its selection button which allows you to select the nodes of the dimension member which participates in defining the assumption By clicking the button the respective Dimension Member Selection Browser pops up This button gives
145. putations are being carried out or any of its affiliated entities in case of covered bonds Credit rating by a recognized external credit assessment institution is equal to or greater than AA or if it does not have an external rating the probability of default as per the internal rating corresponds to a rating which is equal to or greater than AA Price has not decreased or haircut has not increased by more than 10 over a 30 day period during a relevant period of significant liquidity stress which is specified by the bank NSFR Net Stable Funding Ratio OFSAAI Oracle Financial Services Analytical Applications Infrastructure RASF Required Amount of Stable Funding Revised time bucket 1s the bucket into which the cash flows are to be Buckets moved from the original time bucket Unencumbered Assets are assets which can easily sold or mortgaged as Assets these assets are free from debt with no legal defects in its title Index A Activate Behaviour ASSUMP WOM ee e 44 Add BEWAVIOUR ASSU MAD UO Msg asiccct such ede raene ANEELA EAER EENEN EE AEAEE ARA AN dadcven Canewpagedunes cdnuenave daduventaneepa E ra Era detest 44 Add Counter Bmane mie Meho DEE 44 PG NIRV E EE 45 Adding Existing Dimension to The ASUMA 126 Additional Collateral Rating Downgrade Asset Value Decrease cccsssseccccsssecceceesececcaeeceecaeseccesaueseceseueceeseuasecessaaseeeesaaeeessages 20 Additional Collateral Rating Downgrade Asset Value Decrease Calcul
146. r oo OOl Cs Business Day Convention No Adjustment cap Forward Rate Interpolation Method ap LCR Horizon in Days He D Legal Entity Selection Bank of China Capital Market Co Bank Central India Bank Shanghai HK Bank One US National Housing Finance Co Figure 49 Business as Usual Run Parameters Selection Run Management Screen allows you to define execute the Run in the LRM Application Run Management Screen allows you to define execute the Run in the LRM Application R This is an un editable field where Run name will be un Name displayed la Select Consolidation Type as Solo or Consolidated Consolidation Type IR Select Contractual Run over which Business as Contractual Run Usual BAU Run is executed There can be multiple runs for the Contractual Run Run Execution ID selected You need to select one of the Run Execution IDs of the Contractual Run selected Provide the reporting Currency by clicking the Reporting Currency Select button which will Reporting Currency display the Reporting Currency Browser where all the currencies are displayed and you can select any one of them as Reporting Currency Select one of the Business Day Conventions Business day Convention is used for Time Business Day Bucketing The Business Day Conventions Convention supported are as follows No Adjustment Prior Following Conditional Prior or Conditional Following Forward Rate Select the interp
147. rmula Cash F low for Bucket n Undrawn amount Percentage Specified OR Amount Specified Selected cash flow assignment methodology is similar to the selected cash flow assignment methodology supported by the business assumption EOP Balance Run off 2 7 21 Change in Value of Asset This assumption is applied to the current Market value and the changed value is used as the revised Market Value for the purpose of counterbalancing For example the Market Value of Bond A is 100 and the bank has 100 units of Bond A 10 change in bond value is specified In this case the asset value change assumption estimates the revised Market Value value as 90 100 100 10 and stores it 50 units of Bond A are sold for the purpose of counterbalancing at a 12 discount The cash flow from the sale of Bond A is 3960 50 90 90 12 In this case the revised Market value of 90 based on the change in asset value assumption is taken into consideration while counterbalancing and not the actual Market which is 100 Change in Value of Asset assignment is done in the following manner MTM Value gajusted MTM Value original Percentage Specified OR Amount Specified Table 16 Change in Value of Asset 2 7 22 Liquidity Haircut Liquidity haircuts are applied to high quality liquid assets in order to determine the stock of high quality liquid assets This assumption does not affect the cash flows This business assumption
148. row where Select Check Box button is selected If an additional amount for one more bucket for the same combination is to be added then you can click 6 the Add button to insert one more row at the same l combination If you want to delete the row added for the same Delete combination then you can click the Delete button to Delete the row at the same combination This button allows you to save the defined 7 Save assumption Cancel This button allows you to discard all changes made Table 40 Business Assumption Add EOP Asset Balance Growth You can select the Revised Time bucket from this 12 dropdown Revised Time buckets in the dropdown Revised Time Bucket will be at the same level at which the Time Bucket Hierarchy is created Business Assumption Definition EOP Liability Balance Growth LRM Business Assumption EOP Bal Gre kend y Assumption Details Assumption Description Rule Name GY y Dimension Member Selection Assumption Type EOP Liability Balance Growth Currency Business Unit LR Time Bucket Product y Assumption Specification Assumption Unit Value O Percentage O Assumption Currency Equivalent Currency Natural Currency Currency Cash Flow Assignment Method Leg 1 Cash Flow Assignment Method Leg 2
149. rresponding to the legal entity of the cash flow The LRM Application stores the list of holidays in two tables FSI_HOLIDA Y MASTER and FSI HOLIDAY DETAIL corresponding to the relevant country FSI_HOLIDA Y_MASTER stores the calendar ID of each country and FST HOLIDA Y DETAIL stores the list of holidays against the given IDs yore The time bucketing module supports multiple calendars The holiday calendar for each cash flow is selected based on the calendar corresponding to the country to which the cash flow belongs to The country of origin is determined based on the legal entity mapped to it which is an attribute of each cash flow Calculate number of business days for a cash flow on the basis of cash flow date and holidays Once the number of holidays between the execution date and cash flow date is known using the holiday list the days of the cash flow is computed and subsequently assigned to the corresponding time bucket The business day convention used for cash flows falling on holidays will be as per the selection made by you while executing the Run For more information on selection of business day convention while executing a Run see Executing a Run on page 48 The business day conventions supported by the LRM Application are as follows No Adjustment No holiday adjustments are made to the cash flows and the cash flow is assigned to the time bucket accordingly Prior All the cash flows which occur on a holiday are shifte
150. s Figure 3 Filters 7 Click to select the Assumption unit as Value or Percentage shown in the following figure Assumption Specification 7 ETA Assumption Unit Value Percentage C Assumption Currency Equivalent Currency 8 Natural Currency C Currency Figure 4 Assumption Unit and Currency selection 8 Click to select the Assumption Currency if the Assumption Unit selected is Value shown in the preceding figure Ve 9 Click Le to select the relevant currency if the Assumption Currency selected is Equivalent Currency shown in figure 3 10 Click the Downgrade dropdown to select the notch over which the Business Assumption is to be applied shown in the following figure This is applicable for the following Business Assumptions i Additional Collateral Rating Downgrade Increase in Cash Flow il Additional Collateral Rating Downgrade Asset Value Decrease z Assumption Specification Assumption Unit Value Percentage Downgrade 1 Notch k Figure 5 Notch Selection E NOTE oFor each of the rows in the business assumption a Delete icon has also been provided A Delete button deletes the row from the Assumption Assumption Specification C Assumption Unit Value Percentage Assumption Currency Equivalent Currency Natural Currency Currency Figure 6 Delete Rows icon 11 Select the relevant Cash Flow Assignment Method for Leg 1 and Leg 2 as Decreasing Equally Proportional or Selected This
151. s 3601 36000Days Apply Counterbalancing Wes Time Bucket 20 20Days NA Amounts in US Dollar Liquidity Gap Report Post Counterbalancing Liquidity Position Overnight 1 1Days 2 2Days 3 3Days 44Days 5 5Days 6 6Days 7 7Days 8 8Days 9 9Days 10 10Days 11 11Days 12 12Days 13 13Days 14 14Days 15 15Days 16 16Days Inflow 11 56 89 36 11 56 9 91 1 47 11 56 6 01 11 56 11 56 11 56 16 42 4 24 652 02 1 969 34 4 24 4 24 coo i 1 568 3 Outflow 3 31 97 60 3 31 18 16 6 78 3 31 14 26 3 31 3 31 3 31 17 35 652 95 3 31 3 31 3 31 3 31 1 572 1 7 H 100 e Gap 8 25 5 24 8 25 5 25 8 25 8 25 8 25 8 25 8 25 8 25 0 93 0 93 0 93 1 972 65 ocalintrane e Figure 54 Counterbalancing Strategy Definition Screen 1 Counterbalancing Strategy Definition Screen allows you to define Execute a new Counterbalancing Strategy Counterbalancing Strategy Name FIC MIS Date Execution Date This section allows you to specify Counterbalancing Strategy Name This button allows you to select the execution date of the Run over which the Counterbalancing Strategy needs to be executed Rua selection This button allows you to select the Run over which the Counterbalancing Strategy needs to be executed This button allows you to select the baseline Run over which the Counterbalancing Strategy needs to be executed By clicking the selection button Run Selection Browser
152. s follows 1 For currency conversion the direct quote or the indirect quote as per availability is derived 2 For each currency the rate to be used that is spot rate or forward exchange rate is to be specified For currency conversion the direct quote or the indirect quote is derived For Example To derive the conversion rate between GBP to JPY the LRM Application first checks for a direct quote If a direct quote 1s unavailable then the LRM Application checks for an indirect quote that is a JPY to GBP Rate If an indirect quote is also not available a cross currency rate with USD as the base currency is considered base currency can be configured in the SETUP_MASTER table that is the rate between GBP and USD and the rate between JPY and USD is derived to arrive at the conversion rate between GBP and JPY For each currency the rate to be used that is spot rate or forward exchange rate is to be specified On the basis of the input the exchange rate between currencies is obtained for conversion For forward exchange rate the mid points of all the defined time buckets are calculated Forward exchange rates are interpolated for all the currency combinations provided by the bank at the midpoint of all the time buckets For example Forward rate for GBP and JPY is available at Spot 30 days 60 days and 90 days If the time bucket is defined as 8 14 days then the midpoint of the time bucket will be 11 days Therefore for the 11
153. s good as excluding them in the Rule as the default behaviour is to select all the leaf values of Hierarchies participating in the underlying Dataset The nodes selected in the Behaviour Assumption acts as filters on the Hierarchy chosen in the underlying Rules Assumptions should be defined for selective nodes therefore it is best not to map the Assumption at the root node of the hierarchies If Assumptions are defined at the root level of the hierarchy then it is as good as not selecting the hierarchy in the underlying Rule While defining the underlying Rule of the Behaviour Assumptions map the corresponding Business Processor at the root level of the source hierarchies Though the Behaviour Assumption may specify behaviour at a higher level of the hierarchy these Assumptions are applied only on the nodes chosen in the Rule since the Rule is defined on specific nodes of the Hierarchy Therefore the function of the Behavior Assumption UI is to filter the data over and above the filters already applied by the underlying Rule and Dataset Annexure F Multiple Segments The configurations to be done to support multiple segments Comma separated list of all the segments created for LRM needs to be updated in V_COMPONENT_VALUE of SETUP_MASTER table where V_COMPONENT_CODE equals to LRMSEGM The entry should be as follows ES NOTE o Time Bucket is common across all the segments o Segment is not applicable to C
154. s section allows you to search the pre defined Run Type Run on the basis of Run Type You need to specify the Run Type here for searching pre defined Run If you click this button then the corresponding Run Select Check Box s selected After selecting the Run using Select Check Box View you can click the view button to view the Assumption rules used in the Run Run Parameter After selecting the Run using Select Check Box Selection you can click the Run Parameter Selection button This link allows you to search the Run on the basis 4 Search of the given data of Run Name Consolidation Type l or Run Type Reset This link allows you to reset the screen to its default state where all the Runs are displayed Run Management Screen allows you to define or execute the Run in the LRM Application AN to give default parameter to the Run After selecting the Run using Select Check Box Run Execution you can click the Run Execution Parameter Parameter Selection Selection button to give default parameter to the Run After selecting the Run using Select Check Box you can click the Run Execution Summary button to view the Run Execution Details Table 47 Run Management Summary e Run Parameters Windows Internet Explorer co E Gah Run Execution Summary Run Parameters Run Name BAU ap Consolidation Type D Contractual Run TAM CONTRACTUAL 2 mm Cs Run Execution ID BEE ed cap Reporting Currency US Dolla
155. sh outflow y Cash outflow i i where n All the accounts which are marked as Other Asset and the cashflow date is less than Liquidity Horizon Net cash outflow computation NCOF Net Cash Outflow is derived from cash inflow and cash outflow This is performed at the granularity of legal entity and currency This process is performed by the Rule LRM NCOF Computation The formula for calculating net cash outflow is as follows NCOF Cash Outflow Minimum Cash Inflow 75 of Cash Outflow Liquidity Coverage Ratio computation Liquidity coverage ratio is calculated at legal entity and Currency Granularity and stored in the database This is performed by the Rule LRM Liquidity Coverage Ratio Computation The formula for calculating liquidity coverage ratio is as follows Stock of High Quality Liquid Asset SHQLA Liquidity Coverage Ratio ENK e Net Cash Outflow NCOF The formula to calculate LCR at legal entity level only is as follows Liquidity Coverage Ratio 7 Stock of High Quality Liquid Asset SHQLA 4 Net Cash Outflow NCOF where n Total Number of distinct Currencies available in the Legal Entity Some jurisdictions may not have sufficient amount of Level 1 or Level 2 liquid assets In such cases the following options may be exercised in order to cover the net cash outflows e Option 1 Contractually Committed Liquidity Facilities from the Relevant Central Bank e Option 2 Foreign Currency
156. signment of cash flows 2 7 14 2 Equal Assignment of Cash Flows to all Buckets Equal cash flow assignment is done in the following manner Cash F low for Hab _ EOP amount Percentage Specified OR Amount Specified Total number of Time Buckets If a run off is specified for more than one time bucket then the cash flow value is calculated based on the first run off percentage assigned equally to all time buckets up to the first selected time bucket For all subsequent time buckets cash flow values are calculated based on the respective run off percentages and assigned equally to the time buckets immediately succeeding the time bucket selected previously up to the selected time bucket as follows Demand 16 30 10 Overnight 5000 Deposits Days 200000 10 4 1 7 Days 5000 2200000 10 4 8 15 Days 5000 200000 10 4 16 30 5000 Days 200000 10 4 Time Deposits Overnight 9250 3000 500000 5 4 1 7 Days 14250 8000 500000 5 4 8 15 Days 11250 5000 500000 5 4 10000 16 30 16250 Days 10000 500000 5 4 3 6 Time Deposits 10 15000 1 3 40000 E HES 15000 500000 10 2 25000 3 6 50000 Months 25000 500000 10 2 Table 11 Equal Assignment of Cash flows 2 7 14 3 Cash Flow Assignment in Proportion to the Bucket Size Cash flow assignment is done in the following manner Cash
157. siness Unit LR Time Bucket Product Oufflow Amount es siness 63 4Days xed De 2 NV Select Al Lines of Business 63 4 4Days Fixed Deposits Y Yuan Chinese Re Lines of Business 63 50 50Days Fixed Deposits Copy Save Cancel 2011 6 10 16 47 23 0 Created ISER Creation Date Last Mog Last Modified Date NA Ok Cancel Figure 37 Business Assumption Add EOP Balance Run off Business Assumption Definition Screen allows you to define a new Assumption in Liquidity Risk Management Application Assumption Description Rule Name Assumption Type Dimension Member Selection Assumption Unit Assumption Currency This text box allows you to specify the Assumption Description This button allows you to select the pre defined Rule which is associated with the assumption you are defining This dropdown allows you to select the type of assumption When you have selected the Rule and Assumption Type all the dimensions which are available in the Rule is displayed in this section Each dimension appears with its selection button which allows you to select the nodes of the dimension member which will participate in defining the assumption By clicking the button the respective Dimension Member Selection Browser pops up This button gives you the option of specifying the assumption in percentage or value This button is enabled if you have selected the Value as the option in Assumption Unit Equiva
158. stand the key features and functionalities of Oracle Financial Services Liquidity Risk Management LRM Release 2 0 and details the process flow and methodologies used in the computation and management of Liquidity Risk However this User Guide 1s not meant to give details on the installation and handling of Oracle Financial Services Analytical Application Infrastructure OFSAAI This User Guide is also not meant to provide details on the installation of Oracle Financial Services Liquidity Risk Management Release 2 0 Audience This manual is intended for the following audience Business User This user reviews the functional requirements and information sources like reports Strategists This user identifies strategies to maintain an ideal Liquidity ratio and Liquidity gap based on the estimated inflow and outflow of cash Data Analyst This user would be involved with cleaning validation and importing of data into the OFSAA Download Specification Format Where to Find Information For additional information on Oracle Financial Services Liquidity Risk Management Release 2 0 refer to the following documents Business Metadata Documents These documents are grouped into two sets as follows Oracle Financial Services Liquidity Risk Management V2 0 Business Metadata xls This document contains the definitions of the Business Metadata like Measures Business Processors Hierarchies Hierarchy Attributes Aliases Derived
159. sumption Currency This button allows you to define the Currency of the amount entered for Assumptions Fil For each dimension of the rule Filter is provided for EE the ease of defining the Assumption D on Val This section allows you to enter the assumption ssumption Value Mount You can select the Revised Time bucket from the 10 Dropdown Revised Time buckets in the Dropdown Revised Time Bucket will be at the same level at which the Time Bucket Hierarchy has been created Currency 12 This button deletes all the records from the Grid Delete row where Select Check Box button is selected If an additional amount for one more bucket of the same combination is to be added then click the Add 1 button to insert one more rows at the same i combination If you want to delete the row added for the same Delete combination then you can click the Delete button to Delete the row at the same combination This button allows you to save the defined 14 Save Assumption Cancel This button allows you to discard all changes made Table 30 Business Assumption Add Rollover of Liabilities 11 Select Check B If you click this button then the corresponding SES Assumption Row is selected Business Assumption Definition Webpage Dialog Y Assumption Details Run off Assumption Description Rule Name Y Dimension Member Selection Currency Business Unit LR Time Bucket Product Y Assumption S
160. t e Equal Equally to all time buckets up to and including the selected time bucket Proportional In proportion to the time bucket size e Selected Selected time bucket only Decreasing Cash flow assignment is done using the following formula Cash Flow for Bucket n EOP amount Percentage Specified mi 1 Percentage Specified wheren number of time buckets Decreasing cash flow assignment methodology is similar to the decreasing cash flow assignment methodology supported by the business assumption EOP Balance Run off Equal cash flow assignment is done using the following formula Cash Fl OW for Bucket n _ EOP amount Percentage Specified OR Amount Specified Total number of Time Buckets Equal cash flow assignment methodology is similar to the equal cash flow assignment methodology supported by the business assumption EOP Balance Run off Proportional Cash flow assignment is done using the following formula Cash Flow pop Bucket na EOP amount Percentage Specified OR Amount Specified Number of days in Time bucket n Total number of days in all the considered Time buckets Proportional cash flow assignment methodology is similar to the proportional cash flow assignment methodology supported by the business assumption EOP Balance Run off Selected Cash flow assignment is done using the following formula Cash Flow for Bucket n EOP amount Percentage Specified OR Amount
161. t Specify the Revised Time Bucket in which the repo values are to be readjusted Revised Maturity Bucket should fall within the range of number of days to maturity of the underlying instrument o Haircut Provide the haircut in percentage If an additional repo is to be added then click E button and repeat the above stated procedure New Repo Deal The list of instruments displayed in the Instrument Selection Browser screen is taken from the table FCT_COMMON_ACCOUNT_SUMMARY where the underlying is a Repo You can alternatively search for the instrument by selecting the various filter options in the Advanced Filter field The following information 1S auto populated from the FCT_COMMON_ACCOUNT_SUMMARY table when you select the Instrument to be purchased o Natural Currency o Availability Start Date o Availability End Date o Units Available o Market Value per Unit NCY o Market Value per Unit Converted o Revised Maturity Amount The following information is to be updated by you o Number of units to be Repo d Specify the number of units to be repo d o Haircut Provide the haircut in percentage o Revised Inflow Bucket Specify the Revised Inflow Bucket that is in which bucket you will purchase the Instrument o Revised Maturity Bucket Specify the Revised Maturity Bucket If an additional instrument is to be added then click E button and repeat the above stated procedure New Funding like Deposits Primary Issua
162. te To view the Run Execution Summary screens with the relevant description of each field to be updated see Annexure A Screen Format on page 56 oIf you are not executing the run for the first time then the parameters in the Run Parameters Link will be the same as the one selected for the previous run oYou have the option of defining and executing any number of Runs For each Run defined you can select all or few assumptions to be applied to the run You also have the option of re executing the same run for different Execution dates 4 2 Applving Counterbalancing Strategies After executing BAU and Stress Runs Counterbalancing Strategies are applied to the liquidity gaps identified after execution of the Run For more information on the types of Counterbalancing Strategies see Counterbalancing Strategies on page 36 The step by step procedure to apply Counterbalancing Strategies on indentified liquidity gaps 1s as follows Details L Click Counterbalancing Strategy Definition link on the Left Hand Side LHS menu of the LRM Application The Counterbalancing Strategy Summary screen appears To view the Counterbalancing Strategy Summary screen with the relevant description of each field to be updated see Annexure A Screen Format on page 56 Click ES in the counterbalancing strategy summary screen The Counterbalancing Strategy Definition screen appears to define the counterbalancing strategy Enter th
163. the Values to be shown in multiples of Thousands Million or Billion shown in the preceding figure gt 13 Click to display the Liquidity Gap Report shown in the following figure Liquidity Gap Report Liquidity Position Time Bucket Overnight 1 1Days 2 2Days 3 3Days 44Days 5 5Days 6 6Days 7 7Days 8 Days 9 9Days 10 10Days 11 11Days 12 12Days 13 13Days 14 14Days 15 15Days 16 16Days Inflow 0 00 0 00 797 34 0 00 0 00 21 24 9 98 0 00 17 41 0 00 0 00 0 00 1 150 65 0 00 79 83 0 00 0 01 Outflow 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 00 0 01 Gap 0 00 0 00 797 34 0 00 0 00 21 24 9 98 0 00 17 41 0 00 0 00 0 00 1 150 65 0 00 79 83 0 00 0 01 El A Figure 18 Liquidity Gap Report 14 Click E button in the Counterbalancing Positions section to view the Add Counterbalancing Position screen In this screen you can define five different types of counterbalancing strategies To view the Add counterbalancing position screen with the relevant description of each field see Annexure A Screen Format on page 56 15 Each counterbalancing strategy has 1ts own edit option ES which will allow you to select the instrument from the Instrument Selection Browser screen and subsequently apply the counterbalancing strategy to the identified Liquidity Gap A detailed explanation in relation to the inputs required for each counterbalancing strategy 1s provided in the following section
164. the purpose of calculating the NSFR This business assumption does not affect the cash flows for the purpose of computing liquidity gaps but is used for calculating the total required stable funding only This assumption allows you to specify the amount in percentage only The percentage specified is applied to the selected combination in order to calculate the Net Stable Funding Ratio NSFR This business assumption is an assignment assumption and there are calculations involved This assigned percentage is used in calculating Net Stable Funding Ratio For more information on Liquidity Coverage Ratio see Liquidity Ratio and Funding Concentration Calculation Process Flow on page 33 2 8 BAU Run Definition and Execution In Business As Usual BAU Execution one or multiple business assumptions under normal conditions are applied to the contractual cash flows and the cash inflows and outflows are modified accordingly A BAU Execution allows you to estimate and analyze the liquidity gaps under normal business conditions The liquidity gap report after BAU Execution provides the liquidity status of the organization based on the impact of these business assumptions on the contractual cash flows Additionally liquidity ratios are estimated based on cash flows adjusted for normal conditions in accordance with the Basel II guidelines specified by BIS A BAU Run is defined using the Run Framework of the Oracle Financial Services Analytical Applications
165. tion Run Management Screen allows you to define execute the Run in the LRM Application This is an un editable field where the Run name will Run Name be _ Select Consolidation Type Solo or Consolidation Type Consoli h n S i currencies will be displayed and you can select any one of the currencies displayed as the Reporting Currency You will have to provide the Reporting Currency by clicking the Reporting Currency button 3 i Reporte Cuncney Reporting Currency Browser where all the Run Management Screen allows you to define execute the Run in the LRM Application Select one of the Business Day Conventions Business Day Convention is used for Time 4 Business Day Bucketing Following are the Business Day Convention Conventions supported No Adjustment Prior Following Conditional Prior or Conditional Following 5 Forward Rate Select the interpolation method to be applied while Interpolation Method using Forward Exchange Rate Provide the LCR Horizon in days LCR Horizon LCR Horizon In also known as Liquidity Horizon is used for Days calculating the Liquidity Coverage Ratios as mentioned by the regulators Select the set of Legal Entities for executing the run Legal Entity Selection depends on the Consolidation type selected by you If you select Solo Run then you will have to manually select all the Legal Entities over which you want to execute the run If you select Consolidated then you are allowed to select
166. tion Browser pops up This button gives you the option of specifying the 5 Assumption Unit neck amide P ia ae assumption in percentage or value Assumption This button is enabled if you select the Value as the Currency option in Assumption Unit Equivalent Currency is Dimension Member Selection Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application to be selected if you want to give value of the assumption as the common currency Natural Currency is to be selected if you want to give the values of the assumption in the natural currency of the record This button is activated if Equivalent Currency is selected in the Assumption Currency This button allows you to define the Currency of the amount entered For each dimension of the rule Filter is provided for Filter me i ease of defining the assumption Assumption Value This section allows you to enter the Assumption Amount 10 Cicer Check Box If you click this button then the corresponding Assumption Row is selected 11 E EE This button deletes all the records from the Grid where Select Check Box button is selected T This button allows you to save the defined 12 assumption Currency This button allows you to discard all the changes Cancel made to the screen Table 23 Business Assumption Add Deposit Balance Growth Business Assumption Definition Webpage Dialog Business Assumption Definition Y Assump
167. tion Definition Screen allows you to define a new Assumption in Liquidity Risk Management Application Currency is to be selected if you want to give the values of the assumption in the natural currency of the record This button will be activated if Equivalent Currency SE 1s selected in the Assumption Currency This button allows you to provide the Currency of the amount entered for Assumptions Fil For each dimensions of the rule Filter is provided er for ease of defining the Assumption D on Val This section allows you to enter the Assumption ssumption Value Amount You can select the Revised Time bucket from this dropdown Revised Time bucket in the dropdown will be at the same level at which the Time Bucket Hierarchy has been created If you click this button then the corresponding Select Check Box Assumption Row is selected This button deletes all the records from the Grid Delete row where Select Check Box button is selected If an additional amount for one more bucket for the same combination is to be added then you can click the Add button to insert one more rows at the same combination combination then you can click the Delete button save as new mapping Revised Time Bucket This button allows you to save the defined Save assumption This button allows you to discard all changes made Table 38 Business Assumption Add Liability Book Growth y Assumption Details Assumption Description Rule Name
168. tion Details Haircut LRM Business Assumption Haircut ST Assumption Type 3 Assumption Description Rule Name Y Dimension Member Selection Currency Business Unit LR Time Bucket Product Y Assumption Specification Assumption Unit Percentage Assumption Currency Equivalent Currency Natural Currency Currency gung Business Unit LR Time Bucket Product Outfloy7A 7 ie cil po Lines of Business 1 361 390Days Others Y Australian Dollar Lines of Business 1 721 1080Days Others Y US Dollar Lines of Business 1 361 390Days Others Lines of Business 1 721 1080Days Others 10 Save Cancel ED Ce gt Audi Created Creation Date Last Mod Last Modified Date ok Cancel Figure 25 Business Assumption Add Haircut Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application This Text Box allows you to specify the Description Assumption Description This button allows you to select the pre defined Rule which is associated with the assumption This Dropdown allows you to select the type of assumption you want to define When the Rule and Assumption Type is selected all the dimensions which are available in the Rule will be displayed in this section Each dimension appears Dimension Member with its selection button which allows you to select Selection the nodes of the dimension member which participates in
169. to select the type of SE assumption you want to define When you have selected the Rule and Assumption Type all the dimensions which are available in the Rule is displayed in this section Each dimension appears with its selection button which allows you 4 Dimension Member Selection to select the nodes of the dimension member which will participate in defining the assumption By clicking the button the respective Dimension Member Selection Browser pops up 5 A on Un This button gives you the option of specifying the SE SAIL assumption in percentage or value This button is enabled if you have selected the Value as the option in Assumption Unit Equivalent Currency is to be selected if you want to give value of the Assumption as the common currency Natural Currency is to be selected if you want to give the values of the Assumption in the natural currency of the record This button is activated if Equivalent Currency is i Cunene selected in the field Assumption Currency This gd button allows you to provide the Currency of the amount entered for assumptions Fil For each dimension of the rule Filter is provided for SE ease of defining the Assumption A on Val This section allows you to enter the Assumption ssumption Value Amount 10 Assumption Currency You can select the Revised Time bucket from this Dropdown Revised Time buckets in the Dropdown will be at the same level at which the Time Bucket Hierarchy has
170. ton allows you to save the defined 12 Save Assumption This button allows you to discard all changes made Table 26 Business Assumption Add Additional Collateral Valuation Changes Increase in Cash flow Currency Ae Business Assumption Definition y Assumption Details Additional Cofiateral Rating Downgea Assumption Description Rule Name Created Creation Date Additional Collateral Rating Downgrade Asset Value Decrease Y Last Mod Last Modified Date Ok Cancel Business Assumption Figure 28 Business Assumption Add Additional Collateral Rating Downgrade Asset Value Decrease Definition Screen allows you to define new Assumption in Liquidity Risk Management Application 1 Assumption Description 2 NN 3 Dimension Member Selection 5 TL samp it Assumption Currency HO Currency This Text Box allows you to specify the Assumption Description This button allows you to select the pre defined Rule which is associated with the assumption you are defining This dropdown allows you to select the type of assumption When you have selected the Rule and Assumption Type all the Dimensions which are available in the Rule is displayed in this section Each Dimension appears with its selection button which allows you to select the nodes of dimension member which participates in defining the Assumption By clicking the button the respective Dimension
171. ton allows you to select the pre defined Rule Name Rule which is associated with the assumption you are defining This dropdown allows you to select the type of Assumption Type Assumption If you have selected the Rule and Assumption Type all the dimensions which are available in the Rule is displayed in this section Each dimension will Dimension Member appear with its selection button which allows you to Selection select the nodes of dimension member which will participate in defining the Assumption By clicking the button the respective Dimension Member Selection Browser pops up This button gives you the option of specifying the Assumption Unit assumption in percentage or value This button is enabled if you have selected the Value as the option in Assumption Unit Equivalent Assumption Currency is to be selected if you want to give value Currency of the Assumption in the common currency Natural Currency is to be selected if you want to give the values of the Assumption in the natural currency of Business Assumption Definition Screen allows you to define new Assumption in Liquidity Risk Management Application This button will be activated 1f Equivalent Currency Gegen 1s selected in the Assumption Currency This button allows you to define the Currency of the amount entered for Assumptions Fil For each dimensions of the rule Filter is provided pce for ease of defining the Assumption Select Check B If you click
172. ts issued by the bank Run off is applied to the EOP balances and assigned to the time buckets in multiple ways This assumption also allows you to select the method for cash flow assignment The various options supported for cash flow assignment are as follows e Decreasing In decreasing order to all time buckets up to and including the selected time bucket e Equal Equal to all time buckets up to and including the selected time bucket Proportional In proportion to the time bucket size e Selected Selected time bucket only Run off calculations for demand deposits and time deposits differ to some extent For demand deposits there is no contractual cash flow assigned to time buckets hence the run off is applied to the EOP balance and the value is assigned to the respective time bucket For time deposits the contractual cash flow is assigned to time buckets based on the maturity of the deposit The run off is applied to the EOP balance and the value is added to the cash outflows available in the respective time buckets The following section detail the assignment of cash flows to time buckets under each methodology when the EOP balances for demand and time deposits is 200000 and 500000 respectively The standard time buckets are Overnight 1 7 Days 8 15 Days 16 30 Days 1 3 Months 3 6 Months 6 12 Months 1 5 years and gt 5 Years 2 7 14 1 Cash Flow Assignment in Decreasing Order to all Time Buckets up to and including
173. ural currency that is all cash flows are generated in the natural currency Currency conversion converts the cash flow from its natural currency to the local or reporting currency based on the prevailing spot rates or forward rates as specified by you The features of currency conversion in the LRM Application are as follows Option to select forward exchange rate or spot rate for currency conversion Forward exchange rate is interpolated to the cash flow date using linear or log linear interpolation method as specified by you If a direct quote between currencies is not available then an indirect quote is used For currency pairs that do not have a quotation against each other either direct or indirect the cross exchange rate is calculated using the direct quotes available against US Dollar USD for each currency as USD is considered as the base currency in each quote The base currency can be configured in the SETUP MASTER table 2 5 1 Input Inputs required for currency conversion are as follows Interpolation method to be used Cash flows in natural currency Specification of local and reporting currency Spot rates between all the natural local and reporting currencies Forward exchange rates between the natural local and reporting currencies Selection of rate to be applied on each currency that is spot rate or forward exchange rate 2 5 2 Currency Conversion Process Flow The process flow for currency conversion is a
174. utation happens in LRM LCR Option3 Computation process Data is first inserted in the table with Option Type as Option 3 and then a set of Rules are executed which updates the Option 3 Amount Stock of HQLA and then recalculates the Liquidity Coverage Ratio post Options 3 sr La Different processes have been created in the Run for all three Options You are allowed to specify the sequence in which these options are to be executed The sequence of execution is available as part of the Run 2 12 2 2 Net Stable Funding Ratio The procedure to calculate Net Stable Funding Ratio is as follows 1 Available amount of stable funding computation 2 Required amount of stable funding computation 3 Net Stable funding ratio computation Available amount of stable funding computation is calculated and stored at legal entity and currency granularity This process is performed by a Table to Table T2T transformation in the Liquidity Coverage Ratio Run LRM_LCR_DATA_POPULATION The formula for calculating Available Amount of Stable Funding is as follows Hh Avalible Amount of Stable Funding Liability Factor i 1 where n All Liability Products and Factors isthe percentage allocated in Available Stable Funding Factors Business Assumption Required amount of stable funding computation is calculated and stored at legal entity and currency granularity This process is done by T2T transformation in LCR Run namely LRM_LCR_DATA_PO
175. w is assigned to all selected time buckets as follows 20000 ee 16 30 Days 10 Demang 16 30 Day Deposits Deposits 200000 10 24000 Ge 1 3 Months 12 Demand Nij 1 3 Months Deposits Deposits 200000 12 7 35000 ime ime Gre 16 30 Days 5 Deposits 10000 16 30 Day It 10000 500000 5 75000 GE 3 6 Months 10 Time 25000 3 6 Months f 25000 Deposits Deposits 500000 10 Table 13 Selected cash flow assignment 2 7 15 Asset Book Growth Asset book refers to the balances of loans and advances given by the bank Increase in the asset balance results in an increased cash outflow in the selected time bucket and corresponding inflows in future time buckets Old inflows will be replaced by new inflows in the selected time bucket This assumption also accounts for both the initial outflows as well as corresponding inflows occurring due to growth in the business represented by Leg 1 and Leg 2 Cash flow assignment is done in the following manner Cash F Low for EE EN Cash flow Amount Percentage Specified OR Amount Specified An example of the assumption applied to product type auto loan legal entity LE 1 and currency USD is as follows Auto Loan LE 1 5 1 7 Days 1 3 21 125000 118750 Months 125000 125000 5 175000 141320 175000 421000 8 3 6 32 1 3 223000 224687 5 Months Months 223000 125000 5 27 3 6 198000 200000 Months 198000 1250000
176. ws on a daily basis 2 3 1 Input Inputs required for Time Bucketing are as follows Defining time buckets e Cash flows and cash flow dates e Legal entity details of the account to which the cash flow relates to Country specific holiday list 2 3 2 Time Bucketing Process Flow Time bucket definitions are uploaded in the DIM_RESULT_BUCKET table For more information on the setup processing tables see Data Requirements on page 40 Once time buckets are uploaded it can be viewed in the Time Buckets screen To view the Time Buckets Screen and the relevant descriptions of each field see Annexure A Screen Format on page 56 The process flow for Time Bucketing is as follows 1 Calculate the number of holidays between the execution date and cash flow date 2 Calculate number of business days for a cash flow on the basis of cash flow date and holidays 3 Assign the cash flow to the time buckets on the basis of the business days Calculate the number of holidays between the execution date and cash flow date Oracle Financial Services Liquidity Risk Management Release 2 0 supports multiple holiday calendars to enable multi jurisdictional estimation of liquidity gaps in each time bucket based on business days Each legal entity is mapped to a country and each country has a corresponding holiday calendar The number of holidays between the execution date and cash flow date is determined by looking up the calendar co
177. y or equivalent currency If you have opted for natural currency then the currency hierarchy becomes a mandatory hierarchy for the assumption and the amount specified is in the corresponding natural currency displayed in the hierarchy Similarly for equivalent currency a particular currency is selected and all amounts specified by you in such scenarios are considered in the selected currency For more information on maintaining business assumptions metadata see Annexure C Business Assumptions Data Maintenance on page 118 The detailed descriptions of all the business assumptions supported in the LRM Application are as follows 2 7 1 Deposits Balance Growth Deposits balance refers to the cash in hand and the deposits maintained by the bank with other institutions including the central bank Increase in deposit balance results in an increased cash inflow in the maturing time bucket Old cash inflow 1s replaced with the new cash inflow in the specified time bucket Deposits Balance Growth can either be positive or negative Cash flow assignment is done in the following manner Cash Flow sor Buchen Cash Inflow Amount Percentage Specified OR Amount Specified An example of the assumption applied to product type Deposits legal entity LE 1 and currency USD is as follows Deposits LEI USD 1 15Days 10 10000 11000 10000 0 1 10000 Table 2 Deposit Balance Growth 2 7 2 Haircut Haircut is applie
178. ying the Assumption Unit assumption in percentage or value This button is enabled if you have selected value as the option in the Assumption Unit Equivalent Currency is to be selected if you want to give value of the Assumption as the common currency Natural Currency is to be selected if you want to give the values of the assumption in the natural currency of the record Assumption Currency Business Assumption Definition Screen allows you to define a new Assumption in the LRM Application 7 This button is activated if Equivalent Currency is l Currency selected in the Assumption Currency This button allows you to define the Currency of the amount This dropdown allows you to select the Notch Level Downgrade over which the assumption is to be applied There are 10 Different Notch Levels supported i For each dimension of the rule Filter is provided for ease of defining the assumption 10 This section allows you to enter the assumption Assumption Value amoun If you click this button then the corresponding Select Check Box Assumption Row is selected 12 This button deletes all the records from the Grid Delete row where Select Check Box button is selected 13 Save Table 25 Business Assumption Add Additional Collateral Rating Downgrade Increase in Cash flow Business Assumption Definition y Assumption Details Assumption Description ai Additional Collateral Valuation Chang

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