MOD-032 — LCR / NSFR Calculator¶

Status: Built (pending CI) Repo: bank-risk-platform System: SD06 Phase: 2 (depends on MOD-085 — Built+Deployed 2026-05-04) ADRs: ADR-002 (Snowflake analytics), ADR-039 (per-domain schemas), ADR-046 (data-product architecture), ADR-054 (DCM v2)

A Snowflake-native LCR / NSFR calculator. Continuous (not T+1) computation of the Basel III liquidity coverage and net stable funding ratios from CDC-replicated balance-sheet data, with FX conversion and discount-curve weighting from MOD-085 market views. Snowflake Alert detects breaches and publishes via SNS → Lambda → EventBridge liquidity_mat_breach to MOD-076 for treasury escalation. Per-run audit trail in append-only RISK_CAPITAL.MODEL_RUNS for the 7-year regulatory retention.

Functional requirements¶

ID	Requirement	How satisfied
FR-201	Daily LCR + NSFR per applicable reporting entity, sourced from core ledger HQLA + funding data	`liquidity_positions` Dynamic Table, INCREMENTAL refresh, target_lag = 1 hour
FR-202	Results available in prudential dashboard ≤ 5 min after EOD ledger snapshot	DT target_lag well below NFR-008's 5-min ceiling; dbt incremental refresh propagates within seconds
FR-203	Alert treasury + finance ≤ 5 min from breach detection	Snowflake Alert (5-min schedule) → SNS → alert-publish Lambda → EventBridge `liquidity_mat_breach` → MOD-076
FR-204	Record input snapshot, methodology version, and results for every run; 7-year retention	`RISK_CAPITAL.MODEL_RUNS` append-only audit table; immutability enforced by absent UPDATE/DELETE/TRUNCATE grants
NFR-006	Interest accrual posted by 23:59 daily	Transitive — interest accrual runs in MOD-006/MOD-007 (out-of-scope); MOD-032 reads the post-accrual snapshot
NFR-008	Capital/liquidity metrics available ≤ 5 min after material event	DT target_lag = 1 hour is the worst-case bound; incremental refresh on actual material change is seconds
NFR-024	Audit log mutability = 0 modifications allowed	MODEL_RUNS has no UPDATE/DELETE/TRUNCATE grants on any role; verified by `tests/integration/fr-204-immutability.test.ts`

Policies satisfied¶

Policy	Mode	Test
CLQ-002	CALC	`tests/policy/CLQ-002-calc.test.ts` (structural) — DT materialization, INCREMENTAL refresh, 1-hour target_lag, RESUME post-hook. Numerical correctness exercised by `tests/unit/severity.test.ts` and the integration LIQUIDITY_POSITIONS row inspection.
REP-002	CALC	`tests/policy/REP-002-calc.test.ts` — single DT feeds both internal monitoring (V_LCR_CURRENT / V_NSFR_CURRENT) and the regulatory return path (MOD-036 reads LIQUIDITY_POSITIONS via the SSM-published table reference).
GOV-002	ALERT	`tests/policy/GOV-002-alert.test.ts` (structural) + `tests/integration/aws-resources.test.ts` (live SNS topic + subscription + Lambda) — automatic escalation path declared end-to-end; manual monitoring never enters the loop.

Snowflake objects¶

Object	Type	Owner	Notes
`BANK_{ENV}_RISK.RISK_CAPITAL`	schema	DCM v2 (this module + MOD-033 share)	`define schema` is idempotent — safe co-ownership
`RISK_CAPITAL.MODEL_RUNS`	table	DCM v2	FR-204 audit log; INSERT-only grant; immutability test
`RISK_CAPITAL.CONFIG`	table	DCM v2	CLQ-002 / GOV-002 thresholds (regulatory_minimum, mat, raf); effective-from/to versioned
`RISK_CAPITAL.LIQUIDITY_POSITIONS`	Dynamic Table	dbt	INCREMENTAL, target_lag 1h, cluster (position_date, ratio_type), post_hook RESUME
`RISK_CAPITAL.V_LCR_CURRENT`	view	dbt	ADR-046 §3 published contract — current LCR per jurisdiction
`RISK_CAPITAL.V_NSFR_CURRENT`	view	dbt	ADR-046 §3 published contract — current NSFR per jurisdiction
`RISK_CAPITAL.MAT_BREACH_ALERT`	Alert	DCM v2 (post-dbt)	5-min schedule; reads V_LCR_CURRENT / V_NSFR_CURRENT against CONFIG; publishes via BANK_SNS_INTEGRATION

SSM contract¶

Reads (consumed)¶

SSM path	From
`/bank/{env}/eventbridge/bank-risk-platform/arn`	MOD-104
`/bank/{env}/eventbridge/bank-risk-platform/dlq-arn`	MOD-104
`/bank/{env}/iam/lambda/bank-risk-platform/arn`	MOD-104
`/bank/{env}/observability/adot-layer-arn`	MOD-076
`/bank/{env}/sns/alerts/arn`	MOD-104
`/bank/{env}/snowflake/account-locator`	MOD-102
`/bank/{env}/snowflake/databases/risk`	MOD-102
`/bank/{env}/snowflake/warehouses/etl`	MOD-102
`/bank/{env}/snowflake/roles/domain-{nonprod,prod}`	MOD-102 (template)
`/bank/{env}/risk-platform/market/swap-curve-table`	MOD-085
`/bank/{env}/risk-platform/market/ois-curve-table`	MOD-085

Writes (published)¶

SSM path	Value	Consumed by
`/bank/{env}/risk-platform/liquidity/positions-table`	`RISK_CAPITAL.LIQUIDITY_POSITIONS`	MOD-034, MOD-036
`/bank/{env}/risk-platform/liquidity/lcr-view`	`RISK_CAPITAL.V_LCR_CURRENT`	MOD-034, MOD-036
`/bank/{env}/risk-platform/liquidity/nsfr-view`	`RISK_CAPITAL.V_NSFR_CURRENT`	MOD-034, MOD-036
`/bank/{env}/risk-platform/liquidity/event-source-name`	`bank.risk-platform`	SD04 EB rules; MOD-076
`/bank/{env}/risk-platform/liquidity/alert-publish-arn`	Lambda ARN	Ops
`/bank/{env}/risk-platform/liquidity/alert-topic-arn`	SNS topic ARN	MOD-102 SNS integration setup

EventBridge contract¶

Direction	Bus	Source	Detail-type	Schema
Publish	`bank-risk-platform-{env}`	`bank.risk-platform`	`liquidity_mat_breach`	`{ trace_id, run_id, ratio_type: "LCR"\\|"NSFR", jurisdiction: "NZ"\\|"AU", ratio_value, regulatory_minimum, mat_threshold, raf_threshold, breach_severity: "regulatory_minimum"\\|"mat"\\|"raf", position_date, calculated_at }`

No subscriptions. Market data (MOD-085) is consumed via dbt source() per ADR-046 §2 — not the market_rates_updated event.

Dependencies¶

Module	Why	What's read
MOD-042	CDC pipeline lands `RAW_CDC_CORE.BALANCES`, `RAW_CDC_PAYMENTS.NOSTRO_POSITIONS`, `RAW_CDC_CREDIT.FUNDING_BOOK`	dbt `adapter.get_relation` lazy-resolved (bootstrap-resilient — empty stub branch when CDC absent)
MOD-085	Market curves for NSFR term-structure RSF + LCR discount factor	dbt `source()` against `MARKET.V_SWAP_CURVE`, `MARKET.V_OIS_CURVE`
MOD-102	Snowflake account, RISK database, domain roles, BANK_SNS_INTEGRATION	SSM reads
MOD-104	AWS bootstrap (EB bus, Lambda IAM role, ADOT layer, SNS, KMS)	SSM reads

V1 limitations + future work¶

HQLA inflow projection not implemented. V1 uses the Basel III conservative form net_cash_outflows ≥ outflows × 0.25 (75% inflow cap). A future revision will add the inflow projection from RAW_CDC_PAYMENTS.PAYMENT_FLOWS once that CDC table is materialised in dev.
NSFR term-structure adjustment is static. V1 uses the per-record rsf_factor set upstream by treasury. A future revision will join stg_market_curves to inform a dynamic factor.
Stress scenarios. liquidity_positions has a stress_scenario column (matches SD06 wiki schema) but V1 emits NULL — base case only. MOD-034 will write a separate liquidity_positions_stress projection.
CDC sources are bootstrap-resilient. When MOD-042 lands the RAW_CDC_* schemas in dev, replace the adapter.get_relation branches in stg_*.sql with {{ source(...) }} — the published contract stays identical so downstream models don't change.

V1 numerical reference¶

For the integration test tests/integration/fr-201-lcr-calc.test.ts (planned — out of scope this initial commit):

Inputs (NZ jurisdiction, single test fixture):
  Cash + central bank reserves = 100m NZD       (L1, 100% factor)
  Sovereign AAA bonds          = 50m NZD        (L1, 100% factor)
  Corporate AA bonds           = 60m NZD        (L2A, 85% factor)
  Retail deposits, stable      = 80m NZD × 5%  runoff_rate_30d
  Wholesale deposits, op'l     = 20m NZD × 25% runoff_rate_30d

Computed:
  HQLA L1   = 100m + 50m  = 150m
  HQLA L2A  = 60m × 0.85  = 51m
  L2A cap   = min(51m, 150m × 40/60) = min(51m, 100m) = 51m
  HQLA total = 150m + 51m = 201m
  Outflows  = 80m × 0.05 + 20m × 0.25 = 4m + 5m = 9m
  Net 30d   = 9m × 0.25 = 2.25m  (75% inflow cap)
  LCR ratio = 201m / 2.25m = 89.33  (well above regulatory 1.0)