Liquidity Return Data Flow

Positions and factor tables classified, weighted, and aggregated into LCR and NSFR returns

Liquidity Return Data Flow Positions and factor tables classified, weighted, and aggregated into LCR and NSFR returns 01 / Sources 02 / Classify 03 / Aggregate 04 / Return 05 / Sign-off Position Ledger · GL balances · 01 / Sources · source Position Ledger GL balances source Factor Tables · versioned config · 01 / Sources · haircuts + factors Factor Tables versioned config haircuts + factors Classifier · bucket + weight · 02 / Classify · rules Classifier bucket + weight rules LCR Aggregator · apply haircuts · 03 / Aggregate LCR Aggregator apply haircuts NSFR Aggregator · apply factors · 03 / Aggregate NSFR Aggregator apply factors LCR Return · HQLA / net outflows · 04 / Return · 30-day LCR Return HQLA / net outflows 30-day NSFR Return · ASF / RSF · 04 / Return · 1-year NSFR Return ASF / RSF 1-year Recon + Sign-off · tie to balance sheet · 05 / Sign-off · control Recon + Sign-off tie to balance sheet control positions balances haircuts + factors config HQLA + outflows L1/L2A/L2B ASF + RSF buckets weighted totals aggregate weighted totals aggregate LCR % reported NSFR % reported Legend primary data policy / PII async batch data store

Two Ratio Pipelines

  • • LCR covers a 30-day stress window; NSFR spans one year
  • • One classifier feeds both weighted-aggregation lanes
  • • Shared sources keep both returns on one set of balances

Factors as Config

  • • Haircuts and outflow factors are versioned, not hard-coded
  • • One table release re-prices both LCR and NSFR
  • • Classification rules map every position to a Basel bucket

Recon and Control

  • • Both returns tie back to the general ledger
  • • Sign-off blocks a return that fails balance-sheet recon
  • • Factor version is stamped on every filed return

Data-flow diagram • Built with Archify • Create yours ↗ • Hover to trace • R route • Click to focus • +/− zoom • M radar • [/] views • P play story • T theme • E export