Use case - Liquidity Coverage Ratio

This section describes the process of using the model to identify what is required for Liquidity Coverage Ratio (LCR), a key regulatory tool for assessing liquidity risk over the short term.

This requirement was first introduced in Basel III, in the December 2010 Basel Committee on Banking Supervision publication bcbs188, and was revised in January 2013 and republished in bcbs238. The Basel Committee on Banking Supervision has also issued a set of reporting templates, accompanying instructions and frequently asked questions, which include a spreadsheet representation of the detailed calculation of LCR. Banking and Financial Markets Data Warehouse supports the BCBS238 representation of LCR, as well as the detailed breakdown specified in the Basel Implementation Workbook of June 2013.

In this use case, for simplicity, we do not discuss the use of the business terms separately, but they are the elements that are brought together in analytical requirements so they are used indirectly.

Searching content
Assuming that the reader is unfamiliar with the Banking and Financial Markets Data Warehouse (BFMDW) content, a first step is to use the search facilities that are provided by the tools:
Scoping analytical requirements
This topic explains how to scope analytical requirements.
Scoping supportive content
This topic explains how to scope supportive content.
Scoping the Dimensional Warehouse Model
As we have already discussed, there is a close relationship between the analytical requirements and the Dimensional Warehouse Model (DWM). DWM can be thought of as the technical representation of the business elements that are represented by an analytical requirement. The relationship between the business element (measures, dimensions, and analytical requirements) and the technical artifacts are provided by the mappings between elements.
Scoping the Atomic Warehouse Model
Scoping the Atomic Warehouse Model (AWM) consists of identifying the summary entities and the atomic, system of record information that is required. The starting point for scoping is both the analytical requirements and supportive content scoping.
Use case summary
The use case that we have shown illustrated a particular element of Basel III, Liquidity Coverage Ratio.

Parent topic: How to support the Basel Accord