LCR / NSFR calculator
|
|
| ID |
MOD-032 |
| System |
SD06 |
| Repo |
bank-risk-platform |
| Build status |
Deployed |
| Deployed |
Yes |
| Last commit |
54197c02fff0ca78a988e6140d31778e59f05b46 |
Snowflake dynamic tables computing LCR and NSFR from live ledger positions. Intraday and end-of-day snapshots. See ADR-002.
Streamlit dashboard
MOD-032 ships a Streamlit page RISK_CAPITAL.STREAMLIT_LIQUIDITY_DASHBOARD providing:
- Current LCR: HQLA breakdown, net cash outflow components, ratio with RAF threshold indicator
- Current NSFR: available and required stable funding, ratio
- 30-day history charts for both ratios
- Intraday exposure view (when intraday extension is deployed)
Consumed by MOD-171 (Risk Intelligence Dashboard) in the liquidity section. Cross-schema SELECT grant on RISK_CAPITAL.* published views required for RISK_INTELLIGENCE_ROLE.
Module dependencies
Depends on
| Module |
Title |
Required? |
Contract |
Reason |
| MOD-042 |
CDC pipeline — Neon logical replication to S3 Iceberg |
Required |
— |
LCR and NSFR calculations require live balance sheet data delivered via the CDC pipeline to Snowflake. |
| MOD-085 |
Market rates ingestion & normalisation |
Required |
contract/dbt/ |
Swap and OIS curves are consumed via dbt source() on the market.* schema published by MOD-085. The market_rates_updated EventBridge event is not subscribed to — schema reference is the consumption mechanism (ADR-046). |
| MOD-104 |
AWS shared infrastructure bootstrap |
Required |
— |
MOD-104 provisions the S3 Iceberg bucket (Snowflake external tables), KMS key, and bank-risk-platform EventBridge bus ARN. Required before this module can be deployed. |
| MOD-076 |
Observability platform |
Required |
— |
MOD-076 provisions the SNS alarm-intake topic ARN consumed by the Snowflake Alert action body via /bank/{env}/sns/alarm-intake/arn — required before MAT_BREACH_ALERT can be deployed. |
| MOD-102 |
Snowflake account configuration & governance |
Required |
— |
Snowflake account and governance provisioned by MOD-102 must exist before this module can read or write Snowflake. |
| MOD-171 |
Risk Intelligence Dashboard |
Required |
— |
Risk Intelligence Dashboard aggregates liquidity published views in its liquidity page and RAF summary — MOD-032 Streamlit is linked from the dashboard. |
Required by
| Module |
Title |
As |
Contract |
| MOD-034 |
Stress testing scenario engine |
Hard dependency |
— |
| MOD-036 |
Prudential return builder (RBNZ / APRA) |
Hard dependency |
— |
| MOD-150 |
Risk management platform |
Hard dependency |
— |
| MOD-171 |
Risk Intelligence Dashboard |
Hard dependency |
— |
Policies satisfied
| Policy |
Title |
Mode |
How |
| CLQ-002 |
Liquidity Risk Management Policy |
CALC |
LCR and NSFR calculated from real data continuously — no manual spreadsheet, no T+1 lag |
| REP-002 |
Prudential Reporting Policy |
CALC |
Regulatory liquidity returns sourced from the same calculation used for internal monitoring |
| GOV-002 |
Risk Appetite Statement Policy |
ALERT |
LCR breach of RAF threshold triggers automatic escalation — no reliance on manual monitoring |
Capabilities satisfied
| Capability |
Title |
Mode |
How |
| CAP-071 |
LCR/NSFR continuous calculation |
CALC |
Runs the LCR and NSFR calculations continuously against live balance data, keeping the ratios current at all times. |
| CAP-072 |
Regulatory threshold alerting |
ALERT |
Raises an alert when the LCR or NSFR approaches the regulatory minimum threshold. |
Part of SD06 — Snowflake Analytics & Risk Platform
Compiled 2026-05-22 from source/entities/modules/MOD-032.yaml