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Purpose Of BIS LCR Business Assumptions (Doc ID 2611831.1)

Last updated on MAY 26, 2020

Applies to:

Oracle Financial Services Liquidity Risk Management - Version 8.0.0 and later
Information in this document applies to any platform.


How the application using BA and LRM Rules to populate reporting amount? Where hair cut is getting applied to reporting amount?

Below is the use case to understand in details:
1) The Business Assumptions are updating the results only in FCT_AGG_CASH_FLOWS table. For example, the standard BA “Secured Funding Run-Off” is updating the Cash Flows for the Secured Funding, by deleting the old cash flows from 1-1 Month bucket and replacing them with Cash Flows * (1 –haircut).

2) The LRM Rules which are computing the Reporting Amount in the LCR BIS BAU Run, are using as source table the FCT_ACCOUNT_CASH_FLOWS TABLE. For example, the standard rule “LRM - BIS Cash outflow Computation - Secured funding” is updating for Secured Funding the column N_REPORTING_AMOUNT_RCY as being:

Therefore, what is the purpose of the business assumption to be applied for Secured Funding, since the reporting amount is being computed from the FCT_ACCOUNT_CASH_FLOWS TABLE, which contains the detailed cash flows by account? Where are the haircuts being applied in reporting, since the BAs are writing in FCT_AGG_CASH_FLOWS and are those amounts  omitted?

3) Following the above 2 steps, there is a procedure named “FN_Repline_Cash_Outflows”, which is moving the data in the FCT_LRM_LE_CCY_REPORTING, by aggregating: SUM(COALESCE(T.N_REPORTING_AMOUNT_RCY,0))* FSI_LRM_REP_LINE_ATTR_DETAILS.N_REP_LINE_WEIGHT


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