The bank wanted to build a platform for liquidity risk reporting for treasury. Worked closely on the following two applications:

    LCR Reporting: Application for regulatory analytics group to forecast LCR under different scenarios.

    Funding MI: For management reporting as part of FED MRA related to intercompany liquidity risk

    Our Delivery

    To meet the challenge, Phyton’s team executed the following:

    • Developed use cases for LCR forecasts calculation logic applying behavioral set % on maturing cash flows.
    • Wrote Functional requirements specifications on basis of user stories
    • Created mock-ups and wireframes.
    • Reviewed the test plan, test cases and tracked the defects.
    • Performed functional and regression testing.
    • Coordinated UAT with users & facilitated change management.
    • Designed workflow for top-side adjustments.
    • Created data-dictionary for key data elements on the platform.
    • Prepared rule-mapping document to reporting line-items.
    • Created Data-mapping document for development, support and reference.
    • Prepared lineage document for LCR data.

    Our Value

    The LCR forecasting application provides the flexibility to analyse the US LCR by adjusting the time frame of the LCR (forecasting a future LCR) or by adjusting the inputs (forecasting changes to existing or new cash flows). It was a necessary tool to gain full understanding of its cash flow and liquidity requirements. The platform comprised of data warehouse, AXIOM, Risk data algebra (RDA) and Risk Data Presentation (RDP) layers. The application was built from scratch taking care of updates from FED as applicable to different rule links.

    The Funding MI application helps identify and remediate any liquidity risk on a timely basis. It covers Global Secured Funding, Unsecured Funding, Contingent Arrangements, and Derivatives (Including IHC level decomposition). The report has further broken-down into funding based on wholesale and core, region, legal entities, variances, etc. The application provides for different views namely daily positions, intercompany product summary, maturity profile, exceptions and frictions. It provides the flexibility to change tenor, counterparty grouping, and variance breach criterion and thereby project an entity’s funding profile and help monitor funding diversification for a given entity using period-over-period data.

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