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1. ccsccsccecccsccecceccesccecceses 4 CHAPTER 2 OVERVIEW OF OFSAA INFRASTRUCTURE ssssssssnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnn 8 2 1 Components of OFSAA Infrastructure ccccsscssccecccsccscceccesccscceccesccscceccesccscceccesccscceccescescceccess 8 2 2 Access OFSAA Intrastructure iyseisnivcnessncrevossatesrasnuts caved sethantes ONO NORTON aces 8 Z Za L OFSAA Mita structure LO A ad 8 DESARRO o eo rele 10 2 3 Unified Metadata Manager Puestas 11 2 3 1 Data Integrator FriMeworEsmia iia 12 Warenouse DEN 12 Data Sources Desig Ne sd A 12 Detine Data SoCo APP estaa deso agentes 13 READ A aplta tases cate al ket E E 14 Map Data Sources to Applic ations eiiiai a cad ee ede ee Se 16 Generate source Modelado 17 Database Extra cla aa asialvs 17 Database FU ACO Nis A E TS 18 Define Database Extracts and Map Table to Table 00 eee eeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeees 18 Define Database Extracts and Map Table to Pul siicisiccccisssiscccesdsisiceseiscactidaia diesisiaesstunsiviseintat 21 IEE UAC ci dr a e de nd 24 Ele EXC da 25 Define File Extracts and Map File to Table tits 25 Post Load iT FANSTONRM a OM icicctisa desta cccanadceedaraiwes ex la 27 nSert Update TranStOr Mat OM a addition 27 Stored Procedure Transformation sacliacs daciersanctev ids lara 28 EMBED sl 29 2 3 2 Data Entry Porms and QUENCS sia ias 30 LOMAS DES IN Ii 30 create a New FO Misa 30 Alter Existing FORMS cererea a a a aaa iaaa a aiaa
2. aA Home Code sou_typ Search Short Description Source Type Metadata B Unified Metadata Manager Import Model Data Integrator Framework Data Entry Forms and Queries Aggregate E Materialize View E Business Metadata Management Aliases Derived Entity Application Name ST73_APP_T2F ST73_APP_T2F desc Data Sets Business Measures Business Hierarchy DIM_COLLATERAL Selected Source Entity Business Dimension DIM_COLLATERAL_AREA ACCOUNT_POOL_MAPPING Cubes i DIM_COLLATERAL_TYPE ACCOUNT_TXNS Computed Measures E DIM_COLLECTION_BUCKETS ACCT_TP_RATES Hierarchy Attribute z DIM_COLLECTION_OFFICER Business Processors i DiM_COMMODITY Map Maintenance i 3 DIM_CONC_MEASURE t Metadata Browser DIM_CONC_TYPE Metadata Restore Archive El DIM_CONTACT_METHOD HEY Rules Framework do ff Forms Framework E e Operations New Copy Delete Save Reset Properties Help H S System Configuration 4 2 Administration i Advanced Analytics Infrastructure 2 AMHM UMM Offline Population Financial Services Applications Long Description Mapping for Source Type Metadata Source Type Source Application v Dataset Name Source Name ST 3_SRC_T2F ST73_SRC_T2F desc STG_CASA STG_CARDS_TANS_SUMMARY STG_CARDS_PAYMENT_TXNS STG_CARDS_SETTLEMENT_TXNS To create a Derived Entity in the Derived Entity screen 1 Click New if you are defining the derived entity for the first time 2 En
3. Supports storage and reporting of cash flows BAU Stress across natural local and reporting currencies Liquidity Gap Calculation Liquidity Coverage and Funding Concentration Calculation Defining Counterbalancing Strategies ICAAP International Convergence of Capital Measurement and Capital Standards A Revised Framework popularly known as Basel II was issued by the Basel Committee of Banking Supervision BCBS in June 2004 The revised framework aims for significantly more risk sensitive capital requirements than the 1988 Basel I Accord and is based on three mutually reinforcing pillars minimum capital requirements supervisory review and market discipline Pillar 1 covers minimum capital requirements for credit market and operational risk Pillar 2 Supervisory Review comprises of Internal Capital Adequacy Assessment Process ICAAP followed by the Supervisory Review and Evaluation Process SREP Pillar 3 Market Discipline includes disclosure requirements or reporting Thus ICAAP covers the Pillar 2 of the Basel II Accord and is followed by SREP ICAAP is a firm s internal assessment of capital that is considered as adequate to cover all material risks to which it is exposed ICAAP is applicable to all banks irrespective of their size and complexity and its implementation is one of the major challenges faced by banks While the objective of Oracle Financial Services ICAAP Assessments is to fill in the gap in the
4. Oracle Financial Software Services Confidential Restricted 213 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 9 PDBAND PD BAND USFR RW BAND Dimension Population This section provides steps required to setup and execute the slowly changing dimension process Overview of SCDs This component is used to load data from the stage tables into the slowly changing dimension tables SCD batches are run usually at fixed intervals for example at the end of each month This is applicable for dimensions like the Exposure Dimension There are also tables like the Product dimension where the SCD process for this ideally is needed only when new product types are introduced When the SCD batch is executed for the first time it loads all the data in the stage tables for that extraction date and it also inserts two records Missing and Others When the batch is run for the next extraction date then the new records are inserted The end dates of the modified records are updated with the extraction date and new records with start date as the extraction records are inserted The records that are the same for both extraction dates are left untouched The SCD component is delivered through an executable Type 1 SCD methodology The Type 1 methodology overwrites old data with new data and therefore does not track changes to the data across time For Example Consider a Dimension Table DIM_PRODUCT N
5. For Example The application considers the required Tier Ratio in 2013 as 4 5 For this calculation no changes are required in the input data as the calculation in the application begins from 2013 While building quartiles how much Required CET1 is considered for computing Capital Conservation Ratio Required CET 1 ratio is used for computing the four quartiles or intervals for Capital Conservation Ratio Since Required CET 1 is phased out through a transitional arrangement the value used in the calculation of quartiles is a maximum of 4 5 or the CET 1 required by that specific jurisdiction in that specific year The computed value for Available Buffer from CET1 Capital is considered for all three buffers Is there any priority of one buffer over the other As per the Basel III Accord there is no priority given to one buffer over the other Required Buffer from CET 1 Capital is compared against the Available Buffer from CET1 Capital and any shortfall or excess is reported at an aggregate level It cannot be reported for one specific type of buffer This approach in the application has Oracle Financial Software Services Confidential Restricted 248 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 been built as per our interpretation of the Basel guidelines As per the Basel III Accord the other two buffers are met through an extension of Capital Conservation Buffer and the accord does not explicitly
6. From A Type 2 rude to reclassify using DIM_CAPITAL_ACCT_HEAD and DIM_STANDARD_ACCT_HEAD Referencing the mapping table FSI CAPITAL _STANDARD_MAPPING the FCT CAPITAL ACCT HEAD table both GL and Non GL data flows into FCT_STANDARD_ACCT_HEAD table Again the distinction is based on the flag Y in the column F_GL_IDENTIFIER 5 1 3 Data Loading The OFSAAI Data Integrator framework allows you to move data flexibly within the Oracle Financial Services Analytical Applications OFSAA Data Model at different levels of granularity and at various stages of the process Data can be loaded into the required Stage or Setup Tables in the following ways Connecting to other databases Relational data sources can be defined to connect to any of the Relational Database Management System RDBMS like Oracle IBM DB2 MS SQL Server and any RDBMS through native connectivity drivers or ODBC RDBMS data source lets you define the RDBMS engine present locally or remotely with FTP access to remote server Flat Files Flat File data source lets you define the Flat File present locally or remotely with FTP access to remote server Data files can be made available in the standard staging area configured in OFSAAI A Flat File data source is a local data source residing in the staging area of the Infrastructure Database Server For more information on format of the flat file or RDBMS file refer to the Download Specifications document Further data can
7. O O Click 2 button to view the Expression details Click button to view the ANSI Join details Click button to view the Joins Click button to view the Filters 5 Click button to clear the details 6 8 Select Show Advanced Options in the Expression tool bar and do the following O Click button to and specify hints Rules if any Oracle hints follow RULE format For example FIRST_ROWS 2 Click button to validate the query by converting to the selected RDBMS source If Validation is successful the Explain Plan for the SQL query is displayed Else the SQL Exception is displayed Click button to view SQL which acts as print command for the complete query Click OK The defined Expression is displayed in the Extract Entities grid as Derived Column The specified ANSI Join or Joins Filter and Hints are also displayed and can be edited Click icon in the Define Extract tool bar and save the details Map Source to Target Table in the Source Target Mappings grid L Click icon in the Source Target Mapping tool bar The DI Mapping screen is displayed Select the Target Infodom form the drop down list The source details in the selected infodom are displayed in the Definition pane of Target Table Map Panel Oracle Financial Software Services Confidential Restricted 20 If the defined expression uses function that has a placeholder or calls a stored User Guide Oracle Financial Services
8. To create a new definition you need define the following o Dataset choose from search box o Objective Function X Variable once you select dataset you will get list of available hierarchies You can choose one or more hierarchies from left to right o Objective function Coefficient choose from search box o Operation Type choose one of the minimize or maximize o GConstraints Click Define tab Here you need to give constraint name Choose constraint identifier from available hierarchies Constraint coefficient and condition value can be selected from search box Then choose one of the available operators from drop down box Constraint Name Constraint Identifier Available Hierarchies Selected Hierarchies Double Mitigant Exposures F y Mitigants EN PE 3 MU a 4 uw p 4 n p Constraint Coefficient SEARCH Operator lt v Condition Value SEARCH OK CANCEL Done ki Local intranet Protected Mode Off fg vy 100 v 3 Click define to define X variable bound Oracle Financial Software Services Confidential Restricted 159 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 a z E aa 2 OFSAA Infrastructure 4 Modelling ag Define Bounds x gt E gt E v Pagey Safetyy Tools py Lower Bound Lower Bound Operator lt v Objective Function X Variable X Upper Bound Operator l
9. ccccccccsssccccsseccceseccssecccssueceesenecessuecesssuseesseeeeseaueeesauseesseeeeesans 68 PAE E APR po E En a 68 o A A A e Un PE ee re er 69 DAS a a a T cr 70 ERE Le Dd ba Un E E 70 Business Measures uta iaidss 73 create Business Messutea indias 74 BUSINESS Mera CAY a Ada 77 Create BUSINESS ICL AR CIV sicsceccet tats aia 79 BUSIMEess POCOS ita 81 Create BUSINESS AE ES ica coa 82 DEF Vea EN 86 Create Derved Ena iaa 86 2 4 Rules Framework ea Soca vane ta aaa 89 2 4 1 RUS aa A ida 91 Croa O 5118 ae PER AP a a SP eT AA RT REALE RP E RPO 91 Ada Members to Fleitas 97 Add Hiera rentes TO SOUL CO ia dada 99 Add Measures Hierarchies to Tari ti A att 100 Hierarchical Member sele cioOM A d 101 Move Source to Mtra lacio 102 Select BUSINESS Protessoras Tarea dd 103 Rule DefinittonVersioniNE sensensa a cali 106 COD RUE DENNOM ioie OO 106 Oracle Financial Software Services Confidential Restricted Iv User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 AUTH ONZE Rule DET Miedo dit 106 EXPO RUIE to PD at 107 Trece Rule Definition Detallada 107 Delete Rule DetinitO Mariscal 107 2 4 2 POCO SAC te A A O OC Oe 108 Create PrOCE SS aani it 109 Dern SUD PrOCESS TORO Eu is 112 Add Component to Base Process SUD Process ooooccccccccccnnnnnnnnnnnnnnnnnnnananaconncnnnnnnnnanononnnnnnos 113 Add Precedence for the Selected COMpONeNTS ooocccncccnnccnnnncnononnnnnnnncnnnnnnonnnnnnnnnnc
10. 1 Click Risk Applications on the Left Hand Side pane of the OFSAAIT Screen 2 Click Basel Regulatory Capital 3 Click Run Execution on the LHS Pane The Run Summary Screen is displayed wherein you can define and execute Runs Run Execution UI Icons The following table aims to familiarize you with the common icons available in the Run Management UI Pagination Options all Helps in navigating from one page to another Helps to view details of a particular Run Run Default Parameters Click this icon to allow you to update the Run Default Parameters Run Execution Parameters Click this icon to allow you to update the Run Execution Parameters Add Helps in adding a hierarchy Run Execution ss RC Helps in viewing the Run Execution details Click this icon to display the Run Execution Parameters screen to modify or create a batch PA This icon helps in searching a particular Run Type the Run Name in the Run Name Text Box Search and click this icon The Reset icon refreshes the Run Name and Run Type field back to the default blank fields Oracle Financial Software Services Confidential Restricted 231 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Buttons Name Click to execute a Run Table 1 Run Execution UI Icons 5 2 4 Run Management Summary Run Management Summary displays the list of runs defined in the Rules Framework except those with Immediate Execution Option Yes
11. 1 Double click Metadata for Source Type The list of Metadata defined on the selected Data Set or Application and Source is displayed 2 Click to expand the folders Select the required metadata and click j 3 Click Save A confirmation dialog is displayed The details are displayed in the Derived Entity screen with the Code and Short Description as non editable fields You can copy the pre defined Derived Entity details to create another entity only if you have View Derived Entity Add Derived Entity and Modify Derived Entity function roles mapped To copy a Derived Entity in the Derived Entity screen enter the description in the Description Filter box and press Enter Click Copy On completion a confirmation dialog is displayed You can view the metadata of the selected Derived Entity In the Derived Entity screen click Properties and open the Properties dialog Oracle Financial Software Services Confidential Restricted 88 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 The Properties tab displays the metadata properties such as Created By Creation Date Last Modified By Modified Date Authorized By and Authorized Date The Comments tab has a text field to enter additional information as comments about the created Derived Entity definition Click OK and save the definition with the comments 1f any You can search for a Derived Entity and modify the details as
12. 4 Select the checkbox adjacent to the listed user permissions such as View Add Edit Delete or All Above You must select view option in order to allow users to Edit or Delete a Form 5 Select Authorize or Auto Authorize checkbox as required The Authorize and Auto Authorize options are applicable for all the forms that have been saved with the Authorize option The Auto Authorize feature for records is applicable in scenarios where the Creator and Authorizer are the same If a user has Add and Auto Authorize grants the data entered by the user is auto authorized and the data is in Authorized status In case of normal Authorization the Record added by the creator has to be authorized by a different user who has Authorize permissions NOTE The Auto Authorize feature in Forms Designer is applicable only for data entered through Data Entry screen and not through Excel Upload screen Y ou can also select the checkbox to Show Data Created by Current Users Only 6 Click Save Access Rights A confirmation dialog is displayed after saving and the user is added to the Assigned User List Message Type Maintenance You can manage the Message Type details which alert the Creator of the Form or to an Authorizer in the DEFO Message Type Maintenance Screen Message Type details can be defined while creating a Form In the DEFO Forms Designer screen do the following l Select Message Type Maintenance from the available options and click Next T
13. Can Leverage ratio be calculated on any day during a particular month There is no restriction on the execution date for computing leverage ratio Leverage Ratio can be calculated on any given day However Leverage Ratio is to be executed based on the month end data As per Basel III requirement the Leverage Ratio is to be calculated on Tier 1 Capital however if a particular jurisdiction prescribes to calculate the Leverage Ratio based on Total Capital then can the application support such modifications Yes the application has the flexibility to change the input criteria by adding or deleting the Rule related to Capital To achieve this modify the Business Processor s BP Leverage Ratio expression by modifying one of the used measures Instead of measure CS Net Tier1 Capital add another measure created on Total Capital by deleting the existing one The Data Model will not be affected with such changes Capital Buffers Question 5 Question 6 Question 7 As per the Basel III Accord Capital Buffers are required to be maintained from 2016 only However if for internal purposes the bank wants to start computing it from 2013 itself then does the application support such modifications If yes then will it consider the required capital ratios as per the transitional arrangement Yes the application supports the calculation of capital buffers from 2013 and it considers the transitional arrangement for the calculations before 2016
14. O O O O Option on Equity Option on Currency Option on Commodity Option on Currency Future Option on Currency Forward Currency Swaption Option on a bond Option on a bond future Option on a Forward Rate Agreement Option on an Interest Rate Future Caps Floors Collars Swaptions Bonds with Embedded Swaptions Callable Bonds Putable Bonds Floating Rate Notes with Caps Floating Rate Notes with Floors Reverse Floaters Leveraged Floaters The process flow of Position Conversion is as follows Oracle Financial Software Services Confidential Restricted 173 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Position Conversion Position Conversion Data Population Instrument Type Reclassification Position Conversion Parameter Assignment Notional Value Calculation Data Population The application takes the contract details from instrument table and breaks each contract into multiple positions into market risk exposures table The application splits instruments which are derivatives in nature into multiple positions based on the instrument position mapping available in the mapping table For example A bank having a plain long position in a derivative instrument is split into one long and one short position So for each long position and nature of contract type the application creates required number of positions in the processing table The download information used fo
15. Re authorize Deleted Records You can re authorize the delete action when an authorized record has been deleted by other users When an authorized record is deleted the status flag AuthFlag is set to D indicating that the record has been deleted and needs re authorization Oracle Financial Software Services Confidential Restricted 43 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Authorize All Reject All Hold All Auth Rej Hold Extraction Date Currency Code Surrogate Keypk Currency Code Record End Date Record Start Date Latest Record Indicator Local Currency Indicator Reporting O O O 06 29 2011 14 52 08 990 45 07 23 2009 14 22 25 U Deleted lt lt Previous Page lt Back Reset Close Save Next gt Next Page gt gt To re authorize deleted records in the DEFO Data Entry screen E a 1 Open the required Form in view mode and ci The list of available records with the Authorization status is displayed If there are no records for Authorization in the selected Information Domain an alert message 1s displayed 2 Click Reauthorize Deleted Records The DEFO Authorization Window is displayed 3 Select the Auth checkbox adjacent to the required record Click Save On re authorization a confirmation message 1s displayed You can also select the checkbox adjacent to Rej to reject the record or Hold to re authorize or reject at a
16. Stressed Value at Risk Incremental Risk Charge Comprehensive Risk Measure Percentage attribution for RWA is calculated as percentage change in Market RWA between the two Basel Runs for each approach and risk type Operational RWA Attribution analysis for changes in Operational RWA is computed for the following control variables which are the different approaches used for arriving at the RWA Basic Indicator Approach Standardized Approach Advanced Measurement Approach Percentage attribution for RWA is calculated as percentage change in Operational RWA between the latest and the baseline runs for each approach 3 2 2 Eligible Capital The application computes the attribution of changes in Eligible Capital from one period to the next period with the following control variables Tier 1 capital components and deductions Tier 2 capital components and deductions Tier 3 capital and components NOTE Attribution Analysis is computed at the most granular level in case of attribution of Eligible Capital For more information the Attribution Analysis screen refer to Run Parameters Setup for Run Creation If the Run is not created through Run Management UI the usr_defined_run_parameters table needs to be setup manually for the selected options approaches for a particular regulation and segment USER_DEFINED_RUN_PARAMETERS table has the setup codes for different options However if you want to add more options you
17. Capital Measure used in the leverage ratio is equal to Net Tier and is calculated as follows Net Tier 1 capital CET1 Capital AT1 Capital Regulatory Adjustment to CET1 Regulatory Adjustment to AT1 For more information on calculating Net Tier 1 Capital refer to Capital Structure on Page 187 Leverage Ratio Calculation The calculation of leverage ratio is detailed as follows Total Additional Asset of Significant Investment Entity where Bank owns more than 10 of Issued Capital Subsidiaries that are outside the scope of regulatory consolidation as defined in the Basel HI accord Para 84 where parent bank owns more than 10 of the issued common share capital of the entity subsidiary s additional assets are to be included in the exposure measure as per Para 156 of the Basel III Accord The total assets to be included in the exposure measure is calculated as follows Total assets of the entity included in the consolidated figures multiplied by the percentage of the entity s capital that has not been deducted less the share of the investment that has not been deducted To arrive at the percentage of the entity capital that has not been deducted Investment in capital not deducted and total investment will be considered is derived as follows Capital not deducted Total Investment The total consolidated asset of an accounting entity is captured in the entity share holding table and the percentage of subsidiary capit
18. Customer Fid_4 T mn mn n E 6 a a NS jee S O SS 3 e wo O wo wo O amp Source Target mappings Y y Source Table Source Column Target Table Target Column Null If Default If Expression 1 Specify the File Extract details in the Define Extract grid 2 Enter the Flat File Name Ensure that there are no special characters or extra spaces in the name specified Select the File Load Type as Delimited File or Fixed Width File Select the required data source Application from the drop down list Select the mapped Sources from the drop down list gt SS a A Select the required Entities in the Flat File Entities grid You can define the column data in either of the following ways Oracle Financial Software Services Confidential Restricted 25 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 7 Click icon Select or specify the required number of columns in the drop down list and click button You can double click on any row to update the details 8 Click le sl icon in the Define Entities tool bar The Choose Entity screen is displayed O O Select the entity from Members list by clicking on the required node and click button You can search for a specific entity by entering the keywords and clicking button You can also deselect an entity by selecting from the Selected Members list and cl
19. Metadata Resave Metadata Details Information Domain BASELINF Hierarchy 5 Deriwed Entity 5 Map Available Metadata Selected Metadata Hedge In effective Pair 100 pct RW for Corporates AFC Indicator mM Actual Business Days Attribution Analysis Rule Change Indicator Advance Appro L gt Attribution Analysis Rule Change Indicator Simple Approacl i Attribution to multiplication factor Automatic Cancellable Facility E BCE Backed by Mortgage BCB Financial Statement Disclosure Indicator BCB LTV Ratio el BCE Non Sec OTE Indicator BCE Residual Maturity Band BCE Underlying Type F Balance Phase In Capital Component Group Bank Base Role Bank Cap Cons Approach Bank Collateral Type Bank Equity Issuer Type Bank Holds Debt of the Company y You System Administrator need to have SYSADM function role mapped to access the Metadata Authorization within the Administration framework of the Infrastructure system The Metadata Resave screen displays the list of Available Metadata for Hierarchy default for the selected Information Domain To resave metadata in the Metadata Resave screen 1 Filter the metadata type be selecting Hierarchy Derived Entity or Map The list of Available Metadata 1s populated Do one of the following Oracle Financial Software Services Confidential Restricted 133 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0
20. OFSAA Infrastructure Windows Internet Explorer SEE Financial Services Analytical Applications Infrastructure User stuser ORACLE Change bout Last Login Date 01 06 2012 10 27 19 4M Last Failed Login Date 01 05 2012 17 03 36 PM Connected to MODELST In c AT T Connected to MODELST Derived Entity aA Home Code Search Short Description DE E O Unified Metadata Manager Long Description Metadata Derived Entity Import Model 4 Data Integrator Framework Source Type Source Application 3 Data Entry Forms and Queries Aggregate E Materialize View E Business Metadata Management Aliases Derived Entity Application Name DI_Test DI_Test Source Name JTST1DI_TEST JTST1DI_TEST Business Measures Business Hierarchy SY Metadata For Source Type Selected Source Entity Business Dimension APPLICATION_PLANS APPLICATION _PLANS Cubes r AWIOLAP 73 AWSIOLAP73 Computed Measures BENCHMARK_RATES BENCHMARK_RATES Hierarchy Attribute pr 5 BP_MEAS_MAP COLLECTION PLANS Business Processors CARDS_PROGRAM_SEGMENT_MAP Map Maintenance COLLECTION_PLANS E COM_ENTITY_GROUP_MAP COM_ENTITY_PROCESS_DETAILS Dataset Name COM_ENTITY_GROUP_MAP COM_ENTITY_PROCESS_DETAILS CUBE_BUILD_LOG gt CUBE_DIMENSION_COMPILE CURRENCY_CONVERSION_FACTORS Metadata Browser H Metadata Restore Archive EY Rules Framework ff Forms Framework H A Operations New copy
21. The application handles multiple mitigants for credit risk mitigation like financial collateral On Balance sheet netting Guarantees Credit derivatives etc CRM reclassification 1s done by reclassifying Collateral and issuer to standard collateral and issuer type The mitigant is identified as eligible or not based on the eligibility rule test for CRM Process Flow Mitigant Eligibility Mitigant Risk Weight Mitigant Haircut Assignment Allocation of Mitigants to Exposures Post CRM RWA Computation Oracle Financial Software Services Confidential Restricted 156 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Mitigant Eligibility The mitigant is identified as eligible or not based on the eligibility rule test for CRM as mentioned in Basel Il accord Credit rating of the collateral is considered for all mitigant types issued by all party types while deciding whether mitigant is eligible for a particular exposure or not The application has configured Rules that carry out these eligibility checks There are separate eligibility Rules for mitigants types that are equity mutual funds or debt security For the remaining a mitigant is marked as eligible only 1f its credit rating is better than the exposure to which it is providing protection and 1f it is classified as senior in position Mitigant eligibility is also checked based on the original and residual maturity of the collateral Collater
22. pa 2 Basel Il Attribution Analysis Summary Details Uy 1 to 4 of 4 F Attribution Name Attribution Approach Created By Created Date Last Modified By Last Modification Date Y E Simple Attr Simple BASELSOL 06 10 2011 The Attribution Analysis Definition Screen is displayed as follows Basel Regulatory Capital Attribution Analysis Definition amp Details Name Description amp Target Variable s Capital Yes v Credit Risk Weighted Assets Yes v R Approach Selection Simplified Approach Advanced Approach Control Variables Business Growth Exchange Rate Change Risk Weight RW Migration amp Treatment of Multiplication Factor Attribution to Multiplication Factor Yes v Market Risk Weighted Assets Yes v Operational Risk Weighted Assets Yes v Lone ones Oracle Financial Software Services Confidential Restricted 245 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 2 Enter Name and Description of the Attribution Approach 3 Select Yes if you want to compute Attribution Analysis for Capital Eligible Capital or else select No 4 Select Yes if you want to include Attribution Analysis for Credit Risk Weighted Assets or else select No 5 Click to include Simplified Approach computation or Advanced Approach computation 6 Select Yes if you want to include the Multiplication factor variable in the computation or else select No 7
23. 10Apr_stress_22 10Apr_stress_222 10Apr_ST_1 10Apr_ST_6 10Apr_ST_7 10Apr_ST_8 10Apr_T2T_1 10May_F2T_mutti_param 10May_F2T_multi_param_1 10May_F2T_multi_param_2 10May_subprocess_precede_1 10May_subprocess_precede_2 10May_sub_process_in_precede 10May_sub_process_precede_3 10May_sub_process_precede_4 10may_test_param_field 11 O O O O O O O O O O O O O O O O O O O O 10Apr_stress_22 10Apr_stress_222 10Apr_ST_1 10Apr_ST_6 10Apr_ST_7 10Apr_ST_8 10Apr_T2T_1 10May_F2T_mutti_param 10May_F2T_multi_param_1 10May_F2T_multi_param_2 10May_subprocess_precede_1 10May_subprocess_precede_2 10May_sub_process_in_precede 10May_sub_process_precede_3 10May_sub_process_precede_4 10may_test_param_field 11 Base Run Base Run Base Run Base Run Base Run Base Run Base Run Base Run Base Run Base Run Base Run Base Run Base Run Base Run Base Run Base Run Base Run AAIPROD74SEG PROD74SEG AAIPROD74SEG AIPROD74SEG AAIPROD7T4SEG BS AIPROD74SEG AAIPROD74SEG AA AIPROD74SEG AAIPROD74SEG AIPROD74SEG AAIPROD7T4SEG AA IPROD74SEG AAIPROD74SEG AIPROD74SEG AAIPROD74SEG AA PROD74SEG AAIPROD74SEG om ome oe ot O le oC O te O PA O PM O oo of O Oo oO Oo y n 174 10d Mm 170 wm 174 100 177 E Mm The Run screen displays the runs created in the current Information Domain with the metadata details such as Code Name Ty
24. Column Name MAP_REF _NU TBL_NM STG_TBL _NM SRC_PRT Y SRC_PRO C_SEQ SRC_TYP DT_OFFS ET M Example data The following data is inserted by the application installer for the Product dimension DIM_PRODUCT Oracle Financial Software Services Confidential Restricted NUMBER 3 NOT NULL VARCHA R2 30 NOT NULL VARCHA R2 30 NOT NULL NUMBER 2 NULL NUMBER 2 NOT NULL VARCHA R2 30 NOT NULL NUMBER 2 NULL NUMBER 3 NULL Column Description The Mapping Reference Number for this unique mapping of a Source to a Dimension Table Dimension Table Name Staging Table Name Priority of the Source when multiple sources are mapped to the same target The sequence in which the various sources for the DIMENSION will be taken up for processing The type of the Source for a Dimension 1 e Transaction Or Master Source The offset for calculating the Start Date based on the FRD Source Key 216 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 ICE CIN IC IC The following are the columns and data type particulars that the SCD Executable uses Data Type NUMBER 3 NOT NULL MAP_REF_NUM VARCHAR2 30 NOT NULL TBL_NM VARCHAR2 30 STG_TBL_NM NOT NULL SRC_PRTY NUMBER 2 The following table lists out Stage tables and its corresponding Dimension tables which are used in the BASEL product O
25. Hierarchy Type Total Required Entity FSI_D_CASA Checking and Savings Account Attribute ACCOUNT_AGE_MULT_C Account Age Multiplier amp Business Hierarchy ES F Level Short Description Level identifier Level Description E S CASA ACCOUNT_NUMBER AE FS CASA AACCOUNT_CLOS JATE ADD MONTHSIDATE j rola E SID_C CCOUNT_CLOSE_DATE ADD_MONTHS DATE NUMBER NUMBER Hierarchy LWL1 O Cancel User Info User Comments amp User Info Creation Date Created By Last Modified By Modification Date Authorized By Authorization Date 2 Enter the details in Business Hierarchy Details section as tabulated Description Enter a distinct code to identify the Hierarchy Ensure that the code is alphanumeric with a maximum of 8 characters in length and there are no special characters except underscore eo 39 Note the following The code can be indicative of the type of Hierarchy being created A pre defined Code and Short Description cannot be changed Same Code or Short Description cannot be used for Essbase installation SSSUNIVERSESS FMISSING MI CALC DIM ALL FIX YEAR SEASON PERIOD QUARTER ENDFIX HISTORY MONTH WEEK DAY In Unauthorized state the users having Authorize Rights can view all the unauthorized Metadata Oracle Financial Software Services Confidential Restricted 79 User Guide Oracle Financial Services Basel Regulatory Capita
26. Long Description Dataset and Measure The Business Processor screen allows you to generate values that are functions of base measure values Using the metadata abstraction of a business processor power users have the ability to design rule based transformation to the underlying data within the data warehouse store You can make use of Search and Filter option to search for specific Business Processors based on Code Short Description or Authorized status The Pagination option helps you to manage the view of existing Business Processors within the system Create Business Processor To create a Business Processor from the Business Processor screen l Click icon The Add Business Processor screen 1s displayed Oracle Financial Software Services Confidential Restricted 82 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 T Add Business Processor Windows Internet Explorer Add Business Processor amp Business Processor Details Code BP_1254 Short Description BP created for Product 1254 Long Description The Business processor created for Product 1254 amp Business Processor Definition Dataset ds02 Inner join Measure RH ELBM RHELBMJ ABS NUMBER Expression Expression has Aggregate Function Parameters Save Cancel L J User Info User Comments amp User Info Created By Creation Date Last Modified By Modification Date Autho
27. Precedence defined to each Process determines the Process Initiation Sequence If Precedence is defined Process Execution along with the associated Rules happens based on the precedence defined to each component If no precedence is defined all the processes within the process tree are initiated together in its natural hierarchical sequence Consider the following illustration If natural Precedence is defined to the sub process SP1 Process Execution is triggered in the sequence Rule 1 gt SPla gt Rule 2 gt SP1 If no precedence is defined all the sub processes SP1 SP2 Rule 4 and Rule 5 are executed in parallel Root SP1 Rule 2 SP2 Further the business may require simulating conditions under different business scenarios and evaluate the resultant calculations with respect to the baseline calculation Such simulations are done through the construction of Processes and Process trees Underlying metadata objects such as Rules T2T Definitions Processes and Database Stored Procedures drive the Process functionality Oracle Financial Software Services Confidential Restricted 108 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 OFSAA Infrastructure Windows Internet Explorer ORACLE Logou Change Passwor bout Financial Services Analytical Applications Infrastructure Process Connected to 44 User pr2user PROD 4 In Setup Run
28. Select Yes to include Market RWA computation or else select No 8 Select Yes to include Operational RWA computation or else select No 9 Click The newly defined Attribution Analysis computation appears in the Attribution Definition Summary screen To execute Attribution Analysis refer to the following steps l Click to select the relevant approach shown in the following figure Attribution Definition Summary 4 Search a Regulatory Capital Attribution Name Basel Il Attribution Analysis Summary Details El o Attribution Name Attribution Approach Created By Created Date Last Modified By Last Modification Date Y Mix Appr Advanced BASELSOL 01 24 2011 C Simple Final Simple BASELSOL 01 21 2011 Advance Final Advanced BASELSOL 01 21 2011 2 Click EE to define the variables for Analysis in the Attribution Definition Summary screen The following figure represents the Attribution Analysis Execution screen Basel Regulatory Capital Attribution Analysis Execution Attribution Definition Name Description Execution Details Execution Description Select MIS Date 7 Select Run ID k Period Monthly Quarterly Half_Yearly Yearly Custom Select Previous MIS Date Select Previous Run ID X Approach Rule Changes No v Execute Schedule for Execution Cancel 3 Enter a description in the Executive Description field Oracle Financial Software Services Confidenti
29. o All other processing are the same as other rated exposures o Incase the rating cannot be inferred the unrated exposures are deducted Supervisory Formula Approach o In this case there is no dependency on the ratings Hence it will proceed without any difference in the treatment Question 34 The Reporting Bank which is an Investor in securitization transaction has been provided protection on its securitization exposure with the help of a nth to default credit derivative mitigant How will the application recognize the benefit for this exposure The application identifies the nth to default credit derivative protection based on the comparison of the tranche attachment point initial pool amount and the cumulative loss amount of the pool Using this the application calculates whether the tranche is in default or not Then the application counts the number of tranches in default and then compares this number with the defaulted position covered by the mitigant Hence for this the entire tranche information of the pool is required regardless of whether the Bank has an exposure in all those tranches or not For example consider the following case the Exposure held by the Bank belongs to Tranche T1 and this belongs to the Pool P1 Assume that there are a total of 10 tranches being issued out of that pool T1 to T10 And the mitigant provided is 7 Default credit derivative Hence the application will recognize this mitigant only if there
30. 6 FOT_ SUB EXPOSURES A_acct skeyo FCT SUB EXPOSURES A_acctskey 0 FCT SUB EXPOSURES n_acctskey 9 FCT SUB EXPOSURES n_acct_skey 10 FOT SUB EXPOSURES n_acct_skey 11 FOT_ SUB EXPOSURES n_acct_skeys 1 2 Click Measure MSR Sub Exposures Pool ID under the Output field the Details of Pooling Screen The following figure displays the details of the measure in the output The pooled categories of the Exposure and Mitigants data are stored in the entity Fact Sub Exposures The Exposures and Mitigants data is pooled into set categories by the Attribute Pool Identifier Oracle Financial Software Services Confidential Restricted 64 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Le E Trace Dimensions Trace Cubes Trace Definitions Ta Details of Measure MSR Sub Exposure Pool ID Name Mos04 Short Description MSR Sub Exposure Pool ID Long Description Measure for Pool ID Comments Measure for Pool ID Created By BASELSOL Creation Date December 16 2006 4 35 11 PM Last Modified By BASELSOL Modified Date December 16 2006 4 35 11 PM Authorized By Authorized Date Entity Attribute Aggregation Type Measure Type Base Measure Summary Condition F1 Optimizer Optimizer is a Linear Programming technique that computes the least capital based on the pooling allocation of Mitigants to Exposures An Optimizer consists of the following Metadata Data Set A Data
31. Adequacy ratio are calculated using the Total RWA amount and Net T1 Capital and Total Capital amount The above processing is done in sub process Capital Components Calculations in the process CAP_STRUCT Key Data Elements A few key data elements to process the capital structure for the consolidated entity are as follows For a complete list of tables and columns to be updated refer to the Download Specifications document Entity details which are part of regulatory consolidation and parent entity share holding percent The capital structure component for each tier of capital for all entities involve in regulatory consolidation The General Ledger line items are captured as download in Stage General Ledger Data STG_GL_DATA If and capital Line item like MR RWA or OR RWA is available as download then these Non GL line items are expected as download in Stage Standard Accounting Head STG_STANDARD_ACCT_HEAD The standard account head id of line items like Net Tier 1 Capital Capital ratio etc which are computed by application are expected to be mapped to Capital Account Identifier OTHERS So that the application populates these line items into Fact Standard Accounting Head FCT_STANDARD_ACCT_HEAD with initial value as O Later this value will be over written by application Information stored in FSI CAPITAL_STANDARD_MAPPING is a mapping of GL capital line items with seeded data in DIM_STD_ACCT_HEAD F
32. Approach Standardized Approach All the credit risk exposures are identified by their product types counterparty types and their corresponding asset classes by the application A sample list of Products Types Party Types Mitigant Type credit ratings are pre defined in the Basel Application However this list and naming convention differs from one bank to another Hence the application reclassifies the bank s data into standard data as per the Basel accord The application reclassifies the bank s product types and party types to Basel standard Oracle Financial Software Services Confidential Restricted 188 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 product and party types Based on these standard Basel product and party types an asset class for each exposure is formed For equity exposures the asset class is formed on the basis of equity type and Basel product type The application does further data processing based on these standard reclassifications In the current release some new product types have been added in the list and the application is updated to reclassify them to new Basel standard product types Some exposures may be hedged against credit risk through various mitigants like guarantors collaterals credit derivatives and so on These provide certain mitigation to credit risk and should be considered while computing Credit Risk RWA as per Basel norms Hence the application calc
33. BIS Basel Approach Base Run BIS 0 E Hierarchy Attributes zi p l sa pp i Bni y 1305855301374 Capital Calculation BIS Standardised Approach Base Run BIS 0 H O Dimensions Ee Business Processors 1305855512993 Capital Calculation BIS Advanced IRB Approach Base Run BIS 0 ia Rules 1305855600303 Risk Weighted Asset Calculation Operational Risk BIS Standardised Approach Base Run BIS 0 pi F 1305855689766 Capital Calculation BIS Foundation IRB Approach Base Run BIS 0 H A Process AN Runs V 1305855864629 Risk Weighted Asset Calculation Credit Risk BIS Standardised Approach Base Run BIS 0 E Cubes 1305907201323 Risk Weighted Asset Calculation Credit Risk BIS Advanced IRB Approach Base Run BIS 0 f dh roma 1305907253832 Risk Weighted Asset Calculation Credit Risk BIS Foundation IRB Approach Base Run BIS 0 5 i N 1305912873509 Capital Calculation IFSB Standardised Approach CAR Standard Formula Base Run IFSB 0 4lk Variables ah 7 Ontimi Y 1305913610550 Risk Weighted Asset Calculation Credit Risk IFSB Standardised Approach Base Run IFSB 0 i Imizer cm E P 1305916596330 Capital Calculation IFSB Standardised Approach CAR Discretionary Formula Base Run IFSB 0 tel 3 Poolin i g 1305917022346 Risk Weighted Asset Calculation Market Risk IFSB Standardised Approach Base Run IFSB 0 H b Modeling Framework H g 1305917115300 Risk Weighted Asset Calculation Operational Risk IFSB Basic Indicator Approach
34. Base Run IFSB 0 FO Stress Testing Framework E g 1305917182301 Staging Data Population Market Risk IFSB Standardised Approach Base Run IFSB 0 1305923761818 Staging Data Population Market Risk BIS Standardised Approach Base Run BIS 0 FP 1306182237482 Capital Calculation FRB IRB Approach Base Run USA 0 E 1306182268889 Risk Weighted Asset Calculation Credit Risk FRB IRB Approach Base Run USA 0 FP 1306255867872 Capital Calculation RBI Standardised Approach Indian Banks Base Run INDIA 0 1306256086204 Capital Calculation RBI Standardised Approach Foreign Banks Base Run INDIA 0 1306256149536 Risk Weighted Asset Calculation Credit Risk RBI Standardised Approach Base Run INDIA 0 Active Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes A Run is a combination of Processes For example For Run Risk Weighted Asset Calculation Credit Risk BIS Standardized Approach CAPITAL_ CONSOLIDATION CREDIT_RATING_PROCESSING and NON SEC STD are some of the processes mapped to the Run Process and Sub Process Run N Run Rule Framework gt gt Run gt gt Run Definition View Mode amp Linked to Folder BIS 2 Master Information Ef Properties ID 1350345616019 Version 0 Code 1305855864629 Active Yes Risk Weighted Asset Calculation Credit Risk BIS TEE z E Standardised Approach a a 2 List E show Detai
35. C Name Ol Name ABH Short ABH E ABH Short CNT1 Total Checked CNT1 C CNT1 Total Checked CNT2 Total Unchecked CNT2 E CNT2 Total Unchecked Country H0153 C Country Country Hier1 CNTYHIE1 Country Hier2 CNTYHIE2 COUNTRYH CONH CountryH1 CH1 CountryH111 CH111 CountryH2 CH2 CountryH22 CH22 CountryH222 CH222 HIERSK2 HIERSK2 JPHR1 Total Checked JPHR1 MLSTEST sd MLSTEST RRFHIER2 RRFHIER2 OOOOOOOOOO0O The LHS pane of the Filter Selector screen displays the available members under the selected Information Domain and Dataset 2 Select any of the following filters from the List grid drop down list to sort the members Member Type Description Hierarchy Hierarchy refers to the defined Business Hierarchies and will list all the UMM Hierarchies pertaining to the selected dataset Filter Data Element Data Element Filter is a stored rule that expresses a set of constraints Only columns that match the data type of your Data Element selection are offered in the Data Element drop down list box Filter Hierarchy Hierarchy Filter allows you to utilize rollup nodes within a Hierarchy to help you exclude filter out or include data within an OFSAA rule Filter Group Group Filters can be used to combine multiple Data Element Filters with a logical AND a 3 Select the checkbox adjacent to the members you want to select 4 Click l gt icon to move the selected members to the Selected Filters pane NOTE You c
36. Capital Consolidation Entity Indicator Level Details Description Identifier To know more about the Target Business Processor used in this Type 3 Ru Click Next In Combination Mapper section click Target Business Processor Cap Consl Entity Level Ind Oracle Financial Software Services Confidential Restricted le return to the Rule Screen icon and select on to view details of the 97 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 2 Linked to Folder Master Information Source E Cap Consl Entity Le Cons Level Ind Cap Consl Entity Level Ind Audit Trail Comments Rule gt gt Rule Definition View Mode BISSEG E Properties 1228142436138 1228142436138 Cap Cons Effective Shareholding Percent for an Entity 2 Combination Mapper 1 Dataset Wersion Active Type Entity Shareholding Percent Dataset Computation Page 1 1 Jump to page Target page E MSR Cap Cons Ent 1of1 BP C Entity w Exclude Default Member Show Details E ae Leal A Business Processor BP consists of a Data Set Target Measure and an Expression between the various tables Target Area uses Data Set A Data Set is a group of tables whose inter relationship is defined by specifying a join condition Target Measure Target measure is a metric which computes and stores the computed val
37. Effective Shareholding Percent for an Entity Oracle Financial Software Services Confidential Restricted 148 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 This assignment happens using the Rule lt Attribute gt Shareholding Percent Multiplication The Rule relates to para 28 of the Basel II Accord Following attributes undergo shareholding percent multiplication o Outstanding Principal o Current Exposure Amount o Undrawn Amount o Exposure Market Value o Exposure Accrued Interest o Provision Amount o Write Off Amount o For OTC products Notional Principal and Contract Amount undergo shareholding percent multiplication Currency Conversion In this step the application converts amount data columns that are in natural currency to reporting currency columns which are used for further calculations The column names suffixed as _ncy are in the natural currency and they are multiplied by currency conversion factor to populate values in the reporting currency The rule Reporting Currency Code Assignment is used to assign the reporting currency in case of a RRF execution NOTE The data populated in the Product Processor is expected in natural currency of the exposure SETUP_MASTER table is a setup table used to provide the setup information of a Run It can be used to set the default values of Rate Data Source Code or Standard Currency Code which will be used in cases when
38. F Waa Mana Boa 0 75 w M EAD MiB Y LG ind i CDS Spread Population Pre Processing he before Index Composition Population Sandardized Run Index Decomposition Required N Y CVA Decompose Index Hedges to Zero or more CDS Hedges Index Weight Assignment CVA Hedges Calculations Portfolio Level CVA Calculations CVA Hedge Data Population Counterparty Level Exposure Population Counterparty Level CVA Calculations e CDS Spread Population and Index Composition Population Pre processed data for CVA is required to be populated only once for a particular execution date The process CVA_DATA POPULATION in the Run Staging Data Population BIS Credit Value Adjustment is responsible for populating pre processed data for CVA CVA Hedge Data Population Mitigants data marked as CVA Hedge is populated as a part of the CVA Hedge Data Population The application loads all the single name CDS hedge and Index Hedge data The Hedge data marked as CVA does not flow in the application during the CCR process New Oracle Financial Software Services Confidential Restricted 209 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 tables are not added for hedge records however a few columns are added to the existing table to capture CVA specific data CVA specific data is present in the following tables F CVA_ HEDGE Identifier for CVA Hedge records by which the application ident
39. For off balance sheet items undrawn amount is required Securitization Transaction For securitization transactions exposure amount is required Market risk related instrument For market risk instruments the unit price as well as the number of units are required Total consolidated asset of the significant investment entity The total consolidated asset value of the significant investment entity is required Credit Valuation Adjustment Overview Basel committee has introduced a new Credit Valuation Adjustment CVA capital charge which is added Oracle Financial Software Services Confidential Restricted 207 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 to default risk capital charge to arrive at the new Counterparty Credit Risk capital charge The mark to market counterparty credit losses or the spread migration risk is captured with CVA which were not directly capitalized before CVA is the difference between the risk free portfolio value and the true portfolio value that takes into account the possibility of the counterparty s default In other words CVA is the market value of counterparty credit risk The application calculates CVA Charge for OTC portfolio of a bank When using the standardized approach it is calculated at Portfolio level and for advanced approach it is calculated at counterparty level CVA Charge is not applicable for the trades with a central counterparty and S
40. Has the national supervisor permitted a lower RW for certain commercial real estate TERS column lt D O v_nss_100pct_rw_corp No OPT0017 OPT0020 Yes v_nss_lower_rw_cre OPT0021 Z O Non Securitization Standardized OPT0024 OPast Due Past due treatment for non past due loans to counterparties subject to a 150 RW Non Securitization Standardized oUse of 0 RW for Gold Bullion held in own vaults or on allocated basis Yes v_nss_pastdue_for_nonpastdue OPT0025 Z O OPT0027 Yes v_nss_0_rw_for_gold Z O OPT0028 Non Securitization Standardized OPT0030 oUse of borrower s domestic currency rating for exposure in foreign exchange transactions Y O gt v_nss_borrower_ccy_rat_mdb Z O OPT0031 Simple OPT0037 Approach v_ns_sft_method OPT0038 VaR Model OPT0039 EM OPT0041 Non Securitization Standardized oSFT Q lt Non Securitization Standardized oOTC v_ns_otc_method IMM OPT0042 Standard Approach CEM OPT0043 Non Securitization Standardized OPT0045 oLong Settlement Transactions v_ns_lst_approach M OPT0046 Standard OPT0047 Approach Non Securitization Standardized v_ns_haircut_method OPT0056 oHaircut Supervisory Haircut Own Estimate OPT0057 OPT0060 Non Securitization Standardized oCredit Value Adjustments N A V_CVA_METHOD CVA Standardized Approach Non Securitization Standardized Yes V_CVA_INCLUDE_SFT oCredit Value Adjustments CVA Standard
41. Jump to page Name Code ATOM7325EG ATOM732C0D 5 ATTR ATTR E als BIS C IFs IFSB E INDIA INDIA USA USA 3 Select the checkbox adjacent to the required folder Click OK You can also enter a keyword and click 4 button in the Search field of Folder Selector dialog to locate a particular folder The Pagination option helps you to manage the view of existing Folders within the system Enter the details of the Master info grid as tabulated below Description Refers to the default ID of a newly created Run and is lt lt New gt gt Enter a valid code for the Run Ensure that the code value specified is of maximum 30 os characters in length and does not contain any special characters except _ Enter a valid name for the Run By default the version field is displayed as lt lt NA gt gt for the new Run being created Version Once the Run definition is saved an appropriate version is assigned as either 1 or 0 depending on the authorization permissions By default the Active field is displayed as lt lt NA gt gt for the new Run being created Active Once the Run definition is saved the status is set to Yes if you are an Authorizer creating the Run or No if the created Run needs to be Authorized by an Authorizer Oracle Financial Software Services Confidential Restricted 121 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Field Nam
42. K CVA Capital charge calculated as per formula specified in standardized or advanced method for each counterparty Portfolio Level CVA Calculation CVA RWA calculation at portfolio level is computed using the following formula CVA RWA 12 5 K Where K CVA Capital charge calculated as per formula specified in standardized or advanced method at portfolio level NOTE CVA RWA is added to Credit RWA and is not multiplied by the factor 1 06 Key Data Elements A few key data elements are provided in this section for computation for Credit Valuation Adjustment For a complete list of tables and columns to be updated refer to the Download Specifications document CDS Index Composition data requirement o CDS Spread data for Rating and Tenor Average Index Spread for all the Index Hedge Position Out of Scope The following are not covered by the application in the computation of Credit Valuation Adjustment Treatment of specific wrong way risk e Treatment of incurred CVA loss Oracle Financial Software Services Confidential Restricted 212 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Chapter5 Application Processing 5 1 Pre processing Steps 5 1 1 Data Requirements Data can be divided into the following categories Setup Tables A setup table is a set of data that is static and does not change on regular intervals This is a set of seeded data which refers to the initial
43. Matrix DSTRANS dataset on derived entity DSMODEL DataSet Short DATASET DS for EWMA DSEWMA DS for GMW DSFRGIMW JPDO ODO OOO 000000000 5 Select the checkbox adjacent to the required Dataset name Click OK In the Dataset Selector dialog you can also do the following o Search for a particular folder by specifying keyword and clicking A button o View properties of the selected Dataset by clicking 4 button o Make use of Pagination option to manage the view of existing Datasets within the system 6 Enter the details in the Master information grid as tabulated below Field Name Description Refers to the default ID of a newly created Rule and is lt lt New gt gt Enter a valid code for the Rule Ensure that the code value specified is of maximum Code 30 characters in length and does not contain any special characters except _ Enter a valid name for the Rule By default the version field is displayed as lt lt NA gt gt for the new Rule being created Version Once the Rule definition is saved an appropriate version is assigned as either 1 or 0 depending on the authorization permissions Oracle Financial Software Services Confidential Restricted 94 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Field Name Description By default the Active field is displayed as lt lt NA gt gt for the new Rule being created Once the Rule definition is sa
44. Oracle Financial Software Services Confidential Restricted 242 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Regulation Basel III Segment BIS RUN_PARAME Selected RUN_PARAMETERS column TERS column Approach Hierarchy Option name value Non Securitization Standardized oClaims on Sovereign Use ECA Country Scores for risk weighting claims on Sovereign v_nss_eca_for_soverign OPT0004 OPTO005 v_nss_rw_option_dpse OPT0008 OPT0009 v_nss_rw_option_bank OPT0012 OPT0013 Non Securitization Standardized OPT0016 oClaims on Corporates Yes v_nss_100pct_rw_corp Supervisor permission to risk weight all corporate claims at 100 without regard to external rating 2o OPT0017 Non Securitization Standardized OPT0020 oClaims Secured by Commercial Real Estate Yes v_nss_lower_rw_cre Has the national supervisor permitted a lower RW for certain OPT0021 commercial real estate v_nss_pastdue_for_nonpastdue OPT0025 subject to a 150 RW No Non Securitization Standardized OPT0027 oUse of 0 RW for Gold Bullion held in own vaults or on allocated Yes v_nss_0_rw_for_gold past No OPT0028 Non Securitization Standardized OPT0030 oUse of borrower s domestic currency rating for exposure in foreign Yes v_nss_borrower_ccy_rat_mdb ee exchange transactions OPT0031 Simple OPT0037 Approach v_ns_sft_method OPT0038 VaR Model OPT0039 EM OPT0041 v_ns_otc_method Mi OPT0042 Standard eae Approach CEM OPT004
45. PDF file To export the Rule definition details in the Rule screen 1 Select the checkbox s adjacent to the Rule Code s you want to export 2 Click Lu button in the List toolbar 3 Click the H button in the popup The Export dialog is displayed Y Run Rule Framework Webpage Dialog Export Format Definition Type Selected Definitions Sec Pre Mitigation EAD Amount for Retained Exposures USA Equity Inv Fund RAW Assignment Alternative Modified Look Through The Export dialog displays the Export Format Definition Type and the names of the Selected Definitions Click Export The process is initiated and is displayed in a pop up specific to the current download Once the pdf is generated you can open save the file from the File Download dialog You can either save the file on the local machine or view the file contents in a PDF viewer The downloaded PDF displays all the details such as Linked to Properties Master info Audit Trail List Mapping Details and Comments of all the Rule definitions selected Trace Rule Definition Details You can trace the metadata details of individual Rule definitions To trace the underlying metadata details of a Rule definition in the Rule screen 1 Select the checkbox adjacent to the Rule Code whose details are to be traced 2 Click amp button from the List toolbar The Trace Definition screen is displayed with the details such as Traced Object Name and definition type and Pro
46. Regulatory Basic application Release 6 0 are as follows BIS Jurisdiction International Convergence of Capital Measurement and Capital Standards June 2006 Basel III A global regulatory framework for more resilient banks and banking systems Dec 2010 rev June 2011 Oracle Financial Software Services Confidential Restricted 137 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 India Jurisdiction RBI Final Guidelines of April 2007 and Amendments to Final Guidelines issued in March 2008 Islamic Banking Jurisdiction IFSB Capital Adequacy Framework issued in December 2005 and January 2009 Brazilian Jurisdiction Circulars issued by Banco Central Do Brasil which are as follows o CIRCULAR 3 360 Credit Risk issued in December 2007 o CIRCULAR 3 383 Operational Risk issued in April 2008 o CIRCULAR 3 361 3 362 3 363 3 364 3 366 3 368 and 3 3369 Market Risk issued in September 2007 o CMN Resolutions 3 490 Capital Requirement issued in August 2007 o CBRC Jurisdiction Supervisory guidelines on Capital Adequacy Ratio of Commercial Banks issued by the China Banking Regulatory Commission CBRC for Basel II adoption in Chinese Banks on 1st October 2008 In the OFS Basel Regulatory Capital Release 6 0 0 0 0 rules relating to Basel III A global regulatory framework for more resilient banks and banking systems Dec 2010 rev Jun 2011 have been introduced The following
47. Release 6 0 0 0 0 It may be noted that the actual discount rates for discounting the notional values of the two legs in the above example will be the interest rates pertaining to the respective maturities that is 3 months long leg and 6 months short leg For simplification purposes an assumed rate of 5 has been taken in the above example For the above example application steps are detailed below First the FRA as contract is captured in the contract record details table with banks position in the contract in the position table The application also captures the position mapping table for the above instrument type which will be used for position conversion under data population block as detailed above For the above FRA example two positions will be created one long position with a maturity of 3 months and a short position for the life of the contract 1 e with a maturity of 6 months Second both the position legs are reclassified into zero specific risk security Third the various contract parameters are assigned by the application to both the legs Example Coupon Rate Maturity Fourth the Notional Value of both the legs is calculated as per the logic stated in the example g Interest Rate risk Related Risk Charge The total risk charge for Interest Rate IR instruments are comprised of specific risk charge Specific to the Issuer and Instrument and General Risk Charge Market related risk vested in the instrument Process flow
48. Risk for Non Securitized EXpOSUTFES occccccoocccnncconocnnnnonononnnnononronnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnncnnnnnns 183 Standardized APpprOdC Mesas 183 G19 A a A ee eer ene ee ne een eee 187 OVEIMIO Wisin 187 ASSUMPUON di das 188 PROCESS AO id 189 Key Data Elements 192 A A a a 193 OV CNW Wi eas neaute nasties Seecna tua iee eee ava ssumae ohn eae ea atenacdeeaweiane seenaiabaeaaneees 193 ASSUMP UON S socio cers a ace E AE AAA AAA AAA 194 POG SSA OW as patrons tect a eon e eto 195 REY Data Element ada i 196 PEA Rat o ORT O y oua sasseecewnescacauaaanns ee sarin sanranceuecumtannnsanenien 197 OMC Wide 197 A ia aan came cee ade canbe aie ac E TS eo ETO ee aes nee 198 POC OSS FOW tion 198 kev Datel Ele MGI aar Matsa se scat A O E vole ote mates 202 Credit Valtation ACIUSEMENE dans ei 202 OVER Ra 202 ASUMIDA O acia 203 Procese AOS od 203 Key Data Elements ineei a a a e 207 QUO SCOPE tddi E E OTA 207 CHAPTER 5 APPLICATION PROCESSING acinis 208 5 1 PresprocessiMe SCODS ina 208 DeL Ll Data Regule Men is ia 208 A a aulin tesa ste deanicnianctacos arene Satin anges uedean cui a or veseceesommeetaeceeed 208 Dimension FOU El enr vse cassettes Guha ta 209 SD e OO O A 216 Oracle Financial Software Services Confidential Restricted vi User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 5 152 Data ASSUMD CON Sassari did 216 5 1 3 Data LO an AA a 217 5 1 4 Recias sica OUR
49. Rule Framework gt gt Process amp Search and Filter Code Name Folder 2 List 20 GS New oe Oo Code O O O O O O O O O O O O O O O O O d O O 15May_F2T_process_15 mdb2 11May_multi_level2_sub_p 11May_multi_level2_sub_p vshk_on_Undrawn_63_1 wshk_on_Undrawn_63 11May_multi_level_sub_pr 11May_multi_level_sub_pr 1SMay_F2T_process_13_1 1SMay_F2T_process_13 15May_F2T_process_11_1 15May_F2T_process_11 15May_F2T_process_10 PROCESS_wt_MULTIPLE_ PROCESS_wt_MULTIPLE_ 11May_multi_level3_sub_p 11May_multi_level3_sub_p 18May_multi_sub_process 18May_multi_sub_process 15May_F2T_process_ 8 1 ES Search Reset Edit Name 15May_F2T_process mdb2 11May_multi_level2_sub_process d 11May_multi_level2_sub_process d vshk_on_Undrawn desc vshk_on_Undrawn desc 11May_multi_level_sub_pro_pre d 11May_multi_ level _sub_pro_pre d 1SMay_F2T_process 15May_F2T_process 1SMay_F2T_process 15May_F2T_process 1SMay_F2T_process PROCESS_wt_MULTIPLE_SUB desc PROCESS_wt_MULTIPLE_SUB desc 11May_multi_level3_sub_prod 11May_multi_level3_sub_pro d 18May_multi_sub_process_3 desc 18May_multi_sub_process_3 desc 15May_F2T_process Authorize Version Active Trace Definition Folder AAIPROD74SEG AAIPROD74SEG AAIPROD74SEG AAIPROD74SEG AAIPROD74SEG AAIPROD74SEG AAIPROD74SEG AAIPROD74SEG AAIPROD74SEG AAIPROD74SEG AAIPROD74SEG AAIPROD74SEG AAIPROD74SEG AAIPROD7T4SEG AAIPROD74SEG AA
50. Select icon and define the expression in the Specify Expression screen Click OK You can also o Click icon and include the Transformation parameter conditions in the Transformation Logic grid or click icon to define an expression o Click icon to generate Logic and view the SQL query in the Query Generated grid o Click Check Syntax to check the syntax of the query generated 6 Click Finish and save the Insert or Update Transformation details The Transformation details are added to the list in LHS menu and a confirmation dialog is displayed Click OK You can load the transformation by double clicking in LHS menu to view or edit Stored Procedure Transformation Stored Procedure Transformation facilitates you to define complex transformations involving multiple tables which are contained in a pre defined stored procedure To define a Stored Procedure Transformation in the Post Load Transformation Designer screen 1 Click icon in the Transformation Process Flow tool bar In the Post Load Transformation Definition grid o Enter the Transformation Name Ensure that there are no special characters or extra spaces in the name specified Oracle Financial Software Services Confidential Restricted 28 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 o Enter a Description for the transformation o Click Next and save the details You are automatically navigated to the Insert Transform
51. US io d 218 SEPE UDANE Dali cl 218 Modifying the Re Classification RUIOCS cccccccsseccccesececesececeececeeeceesuseceeeeecessegecetsuecessueceeeenecs 218 5 2 A aaa aaa aaa aa a a aa 218 5 2 1 INTACTO EEA EEN L EEN AE EEEE alan 218 5 2 2 BALCH PRO COS SINE sorsra aa a dessa T TO a es 218 5 2 3 RUN Manage MEN Cuore dido e 219 Pornttolo Denno eanne T N a O E 220 Adding a New Hierarchy for Portfolio Creation coccooocccnnnononcnnnnncnnonnnnnnanocnnnononcnnnnnnnncnnnnnnonoss 220 Portrollo Definition Scree Nikons a e a E a N ONG 220 Portfolio Definition UI ICONS ccoocccnccnnncnnnonnnaconaccnncconaconaronnononoronnrnnnononaronnrnonoconaronnrnnnoconaranarcnnoss 220 DEN PON A a a 220 RUN DIU O a a dao cae 222 RUN Der mito UICN ia title erodc dias actos 223 AA E O A 223 RUMEXECU O Ma A A a A ai 226 RUMEXECUL OM LU CEN 226 5 2 4 RuN Management MM Y oersten pinares 227 R n Default Paramete S sida iaa 227 RUN Execution idas 228 RUN EXCCUUOM SUMM ais sarro 229 di Run Management Mateo lO daa 231 5 2 6 Run Parameters Setup TOK RUN Creatina IIA 234 5 3 Attribution Analysis GU innata 239 5 4 REDOTTINE aca 242 ANNEXURE A FREQUENTLY ASKED QUESTIONS ssssssnsnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnn 243 GLOSSAR VS 253 Oracle Financial Software Services Confidential Restricted vii User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Preface Intended Audience W
52. User Defined Run Param Assignment is used to assign the run parameters in case of a run executed through Run Rule Framework But if the execution is through run management the parameters are populated based on the run defined in the run definition screen 4 2 Basel Ill For the current OFS Basel Basic approach 6 0 0 0 0 release Basel III related changes have been incorporated for the BIS segments only 4 2 1 Changes in BIS Segment The Capital Consolidation approach in the previous releases of the Basel Application was compliant with Basel II guidelines With this release this has been modified to be compliant with Basel HI guidelines issued by Basel Committee You also have the option of selecting any one of the Basel II or Basel II processes As per the Basel III guidelines the following changes have been incorporated in the BIS segment e Credit Risk Mitigation process for non securitized exposures there are no changes in the computation of Credit Risk for securitized exposures Capital Structure Capital Buffers Leverage Ratio Credit Valuation Adjustment Credit Risk for Non Securitized Exposures The application supports the computation of Credit Risk RWA as per the guidelines laid out in the Basel Accord Credit Risk RWA computation is broken down to Credit Risk for Non Securitized Exposures and Credit Risk for Securitized Exposures For Credit Risk for Non Securitized Exposures the application follows Standardized
53. a record by doing the following o To reject a record select the checkbox in the Rej column adjacent to the required record and click Save A confirmation dialog is displayed Click OK You can also reject records in Bulk Mode if Excel Map is selected in the Sort Fields Selection screen Select the mapped Excel Name from the Select Excel Sheet Name drop down list The DEFQ Data Entry screen displays only those records which are Oracle Financial Software Services Confidential Restricted 42 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 uploaded though the selected Excel sheet Click Reject Excel A confirmation dialog 1s displayed Click OK o To Hold a record and to authorize or reject at a later point select the checkbox in the Hold column adjacent to the required record and click Save In the DEFO Data Entry screen you can also do the following o Click Authorize All and click on Save to authorize all the records displayed in current page o Click Reject All and click on Save to reject all the records displayed in current page o Click Hold All and click on Save to hold all the records displayed in current page If you have enabled the option to send alerts to the Creator of the Form in Message Type Maintenance screen a message is sent indicating that the records are authorized rejected put on hold Re authorize Records You can re authorize an authorized record
54. and Computation Rule with non parameterized BP the Parameters pop up is as displayed Enter the required note in the text field and click OK Oracle Financial Software Services Confidential Restricted 104 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Parameters o For a Computation Rule with parameterized BP the Parameters pop up is as displayed Enter the required note in the text field The Parameter Default Value is fetched from the Business Processor definition and the Assign Value can be entered manually which is considered during Rule execution at Runtime You can also clear the Assign Value field by clicking the Clear Values button Click OK Parameters Note Data resides between Params Default Values Assign Values ADDON la for Close Clear Values o You can exclude child node s in the Combination Mapper grid if they are not required in the Rule execution Click ba a Exclude button The Rule Exclude screen 1s displayed NOTE The exclude icon is available only for the combinations with physical mappings When a default member is removed from the target member all logical mappings would be removed retaining only physical mappings Y Rule Exclude Webpage Dialog ik Mapping MSR CCR Pre CRM Risk Weighted Asset for EL BP RWA Pre CRM for CCR EL Net Pool Nettable Agreement Nettable Eligibility Yes Basel Il Product Type SFT OTC Cross Pro
55. are 6 defaults in the basket of exposures T1 to T10 or else there is an eligible 6 to default credit derivative for the same pool Assume that the following are the Oracle Financial Software Services Confidential Restricted 253 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 calculations The application takes the tranche attachment point and multiplies this with the initial pool amount This amount is compared by the application with the cumulative loss of the pool If the amount is less than or equal to the cumulative loss of the pool then that tranche is in default Then the application takes the count of all the tranches which are in default In the below case there are 6 defaults in the exposures This is compared with the defaulted position of the mitigant Since there are n 1 defaults 7 1 6 in the exposure the mitigant is recognized for this pool The exposure with the least risk weight and highest seniority will be allocated the mitigant and all other exposure combinations mapped to this mitigant will become ineligible Tranche i Tranche Attachment Associated Initial Pool Attachment Cumulative Loss of the ID Point Pool ID Amou Pool Pool Defaulted 034 029 022 0 18 015 00 1 000 000 00 o 4 300 000 00 nt 1 000 000 00 750 000 00 300 000 00 Question 35 The Reporting Bank has multiple exposures mapped to multiple mitigants How will the application allocate the
56. as follows Indicative values RM_SETUP_APPROACH_DETAIL n_approach_key Same as Non Securitization Standardized RM _SETUP_ APPROACH DETAIL OPTO1 OPTO2 OPTO03 RM_SETUP_APPROACH_DETAIL v_option_desc Use floor risk Yes No welghts for corporate RM SETUP APPROACH DETAIL TEXT RADIO RADIO RM_SETUP_APPROACH_DETAIL v_parent_option_id v_option _id of OPTO1 OPTO1 Claims on Corporates RM_SETUP_APPROACH DETAIL f enabled_ind RM_SETUP_APPROACH DETAIL f is default_value O E RM_ RM_SETUP_APPROACH_DETAIL _APPROACH_DETAIL f_is_crm RM_ a _APPROACH_DETAIL v_run_parameter_column Run parameter column name RM_SETUP_APPROACH_DETAIL v_option_dependency pyar Yes RM_SETUP_APPROACH DETAIL Same as Non Securitization Standardized RM SETUP APPROACH DETAIL Same as Non Securitization Standardized 5 2 6 Run Parameters Setup for Run Creation If the Run is not created through Run Management UI the usr_defined_run_parameters table needs to be Oracle Financial Software Services Confidential Restricted 239 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 setup manually for the selected options approaches for a particular regulation and segment USER_DEFINED_RUN_PARAMETERS table has the setup codes for different options However if you want to add more options you can add a record new setup codes with options by looking up information from RM_SETUP_APPROACH_DETAIL the setup ta
57. batches is populated 3 You can also search for a specific user group by clicking Search and specifying the User Group Name in the User Maintenance Search screen Click OK 4 Select the checkbox adjacent to Batch Maintenance default Advanced Analytics Infrastructure or Rules Framework and filter the list of batches You can also select ALL to list all the defined batches for the selected Information Domain Oracle Financial Software Services Confidential Restricted 134 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 5 Map UserGroup to Batch s by doing the following o To map batch s to the selected UserGroup select Batch Map checkbox o To map all the batches to the selected UserGroup click Check All o You can also click Uncheck All to remove all the mapping 6 Click Save to save the UserGroup Batch mapping details Oracle Financial Software Services Confidential Restricted 135 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Chapter3 Basel Regulatory Capital Basic Application 3 1 Scope of the Application The Oracle Financial Services OFS Basel Regulatory Capital application 1s categorized into two versions OFS Basel Regulatory Capital Basic and OFS Basel Regulatory Capital Internal Rating Based Approach OFS Basel Regulatory Capital Basic supports the Standardized approach and its variants for the BIS Jurisdiction Standardized ap
58. be loaded or maintained using the following components available in the Data Integrator Framework Excel upload Choose this option when you have moderate quantities of data that is available in an excel file format Manual Data Entry Forms The Data Entry Forms and Queries DeFQ module of the Data Integrator is designed to create user friendly Data Entry Screens with a choice of layouts which enables data viewing and data manipulation easily You can select tables based on which you can create forms that can be used in any application For more information on data loading activities like Flat File Source and Connecting to other databases refer to the OFSAAI 7 3 User Manual For more information on Data Entry forms refer to Data Entry Forms and Queries on page 30 Oracle Financial Software Services Confidential Restricted 222 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 5 1 4 Reclassification Rules A sample list of Products Customer Types Issuer Types Collateral Types Credit Ratings and Organization Structure are pre defined in the Basel Regulatory Capital application However the list and naming convention of Products Customer types and so on might differ from one bank to another The application re classifies the Bank s data into standard data which does not change for a given set of regulations and then processes 1t based on standard classifications This restricts the level
59. be rated A and second mitigant will be rated BBB post multiple assessment The application under the Basel III rule checks for the current rating of the debt instrument its residual maturity whether the debt security is a securitized exposure or not and the issuer of the debt security For the first mitigant the current final rating is A and it is a debt security issued by a non soveriegn with a residual maturity of 4 5 years The haircut assigned will be 6 For the second mitigant the current final rating is BBB and it is a debt security which is a securitized exposure with a residual maturity of 8 years the haircut assigned will be 24 The application using the Basel II rule checks for the current rating of the debt instrument its residual maturity and the issuer of the debt security For the first mitigant the current final rating is A and it is a debt security issued by a non soveriegn with a residual maturity of 4 5 years The haircut assigned will be 6 Oracle Financial Software Services Confidential Restricted 256 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 For the second mitigant the current final rating is BBB and it is a debt security issued by a non soveriegn with a residual maturity of 8 years the haircut assigned will be 12 Oracle Financial Software Services Confidential Restricted 257 User Guide Oracle Financial Services Basel Regulatory Capital
60. but will be expected to use sophisticated modeling based approach 1f market risk 1s highly material for the bank Retail Portfolio Risk Models and Pooling Under the Capital Adequacy framework of Basel II banks are permitted to group their loans to private individuals and small corporate clients into a Retail Portfolio As a result they are able to calculate the capital requirements for the credit risk of these retail portfolios rather than for the individual accounts Basel accord has given a high degree of flexibility in the design and implementation of the pool formation process However creation of pools can be voluminous and time consuming Oracle Financial Services Retail Portfolio Risk Models and Pooling Release 3 4 classifies the retail exposures into segments pools using OFSAAI Modeling framework Oracle Financial Services Retail Portfolio Risk Models and Pooling Release 3 4 uses modeling techniques available in OFSAAI Modeling framework The RP application restricts itself to the following operation Sandbox Dataset Creation e RP Variable Management Variable Reduction Correlation Factor Analysis Clustering Model for Pool Creation Hierarchical Clustering K Means Clustering Report Generation e Pool Stability Report OFSAAI Modeling framework provides Model Fitting Sandbox Infodom and Model Deployment Production Infodom Model Fitting Logic will be deployed in Production Infodom and the P
61. calculation of other instruments Any specific treatment is not applied in the application Credit Risk Mitigation CRM Approach CRM calculation for the instruments which are subject to CCR risk is similar to CRM calculation for other instruments Any specific treatment is not applied in the application Key Data Elements A few key data elements need to be noted while computing Counterparty Credit Risk To view the complete list of tables used for CCR computation refer to the Download Specification document For instruments participating in netting set the Nettability flag should be set as Y e Instruments with the same agreement code will be netted in the same netting set The application handles both cross product and product netting with respect to netting agreement Credit Risk Securities Financing Transaction SFT Overview Securities Financing Transaction includes Repo style transactions Margin Lending Security Financing Borrowing and so on The SFT portfolio of a Bank should be included for capital charge calculations as per standardized approach The SFT EAD calculation follows two methodologies as outlined below e Collateral Haircut Approach e Simple VaR Approach Currently the Basel Regulatory Capital application supports Collateral Haircut approach only All SFT contracts which have a mitigant mapped application does the CRM based on the RWA approach undertaken by the bank For standardized approach all eligib
62. contain any special characters except Jha p Enter the Long Description if you are creating subject oriented Derived Entity to help Long Description users for whom the Derived Entity is being created or other details about the type subject Ensure that the description is of a maximum of 100 characters in length Source Type Select either Data Set or Source Application from the drop down list Aggregate Select Aggregate checkbox to collate the information for the Derived Entity Optional Select the Materialize View checkbox if you are using Oracle database to Materialize View create a Materialized View with the Derived Entity Name and short description Note You cannot enable the Materialize View option 1f you are using IBM DB2 database Option available only if the Source Type is selected as Data Set Data Set Name Select the Data Set Name from the drop down list The Short Description for the Data Sets is available in the drop down list to select Option available only if the Source Type is selected as Source Application Application Name Select the Application Name from the drop down list Option available only if the Source Type is selected as Source Application Source Name Based on the Application selected the related Sources are listed Select the Source Name from the drop down list On selecting the Data Set Name or Source Application Name the respective fields are displayed in the Metadata for Source Type list
63. data that is provided with the application DIM_Bands table needs to be setup for the bands which are not used for regulatory reporting Data should be setup for these bands SL D_RECORD_END_DATE Date till the value of the band can be used a D_RECORD_START_DATE Any date less than or equal to FIC_MIS_DATE EIC MIS DATE _MIS_DATE MIS Date of the run ar 4 OR Should be Y for the latest records e eee Should be Y if the value in N_BAND_LOWER_BOUND_VALUE should be included in the F_LOWER_VALUE_INCLUSIVE range else N Should be Y if the value in N_BAND_UPPER_BOUND_VALUE should be included in the F_UPPER_VALUE_INCLUSIVE range else N o N_BAND_CODE Distinct code should be provided for each member of a band type ae _LOWER_BOUND_VA Lower bound value of the range N_BAND_SKEY Distinct surrogate keys should be provided for each records in the table N_BAND_UPPER_BOUND_VAL E imagem Upper bound value of the range V V BAND CATEGORY CATEGORY Band Category V_BAND_CATEGORY_DESC Band Category Description an seo onic _ V_BAND_SHORT_DESC Band Short aaa da V_ BAND SUB CATEGORY SUB_CATEGORY Band Sub CO V_BAND_SUB_CATEGORY_DE SC Band Sub Category Description V_BAND_TYPE Band Type should be codes mentioned in Table 2 17 V_BAND_UNIT Band Unit The Band type codes for Dim_Bands table is as follows E oe No Band Types LTV BAND USFR 5 MATIRBCB MES MATURITY BAND 7 MR TIME BAND og OPERATIONAL LOSS
64. diagram for Interest Rate Risk Calculation of Capital Charge Interest Rate Instruments Position Offsetting Specific Risk Charge General Risk Charge Category Assignment Residual Maturity Ladder Duration Ladder Notional Value Calculation Horizontal Vertical Disallowance Summary Output Position Offsetting Specific Risk Charge Specific Risk charge is calculated based on Categories and Investment grade The application first identifies the categories based on the conditions laid by the accord Once the category is identified the specific charge weight gets assigned based on category Basel equivalent rating and residual maturity Category Assignment The application identifies the categories based on issuer of the instruments as Sovereign Corporate Banks and so on To identify qualifying category the application does a count of number of Basel equivalent issuer ratings present for each instrument If the count is two or more it is a qualifying category otherwise it is an others category For multiple Basel equivalent issuers rating available the application does a multiple assessment and figures out the final rating on which the specific risk charge needs to be assigned Multiple Assessments logic is based on Basel Para 96 97 and 98 of revised Oracle Financial Software Services Confidential Restricted 176 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 framework on capital a
65. edit copy and delete data using the various layout formats and Authorize Re authorize data records based on the permissions defined during the form creation You can use the Search option to query the records for specific data and also export the data in Microsoft Excel format for reference You can launch multiple instances of Data Entry screen using the URL to search and update records simultaneously You Business Analysts need to have DEFQMAN function role mapped to access the DeFQ framework You can access DEFQ Data Entry by expanding Data Entry Forms and Queries section of Unified Metadata Manager module within the tree structure of LHS menu Oracle Financial Software Services Confidential Restricted 38 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 NOTE An alert message 1s displayed 1f you are not mapped to any Forms in the system gt DEFQ Data Entry Windows Internet Explorer Financial Services Analytical Applications Infrastructure User stuser Logout Change Password About Connected to 4TOM 35T Ll Il Single Record Editable View Multi Column eo O 8 8S View Edit Add Delete Authorize Export Search Copy Display 5 Rows ORACLE USERNAMELENGTH12 Country Surrogate Key Country Identifier Record End Date Record Start Date Latest Record Indicator Country Long Description Rating Identifier 3 08 10 2012 08 54 27 08 10 2012 08 56 37 M sd AUTOUSER1041
66. enhancements have been introduced in this Release for the BIS jurisdiction e Capital Buffer As introduced in the Basel III Accord the application calculates the following additional capital buffers 1 a mandatory capital conservation buffer of 2 5 and 11 a discretionary countercyclical buffer which allows national regulators to require up to another 2 5 of Risk weighted assets during periods of high credit growth Loss absorbency is also required to be met as an extension of Capital Conservation Buffer The application supports the calculation of additional capital surcharge requirements in the case of Global systemically important banks G SIBs Leverage Ratio The application calculates the Leverage Ratio for a Reporting Bank The application supports calculation of Capital measure and Exposure measure that are used in the calculation of Leverage Ratio CVA Risk The application supports the calculation of CVA Risk Capital charge as introduced in the Basel III accord in addition to counterparty default risk charge for Over the Counter derivative portfolio 3 2 Attribution Analysis Attribution Analysis is increasingly becoming the requirement of advanced markets complying with the Basel Accord Attribution Analysis is the technique to quantify the change in the Capital Adequacy Ratio CAR in relation to Risk Weighted Assets RWA computation and the Eligible Capital on a given date against the previous baseline date Attributio
67. execution parameters are to be updated e Legal Entity Default Legal Entity set for the run as mentioned in Default Parameters for Run can be changed for the specific execution The accounts of the selected Legal entity and its child entity depending on the consolidation type selected are processed to calculate provision Parent child relationship between Legal entities will be as defined in DIM_ORG_STRUCTURE table e Consolidation Type Default Consolidation Type set for the run as mentioned in Default Parameters for Run can be changed for the specific execution This field 1s read in conjunction with Legal Entity field It is a dropdown box and the value could be Solo or Consolidation Select Solo if you want to Oracle Financial Software Services Confidential Restricted 233 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 process direct accounts of the Legal entity and not that of its child entities Select Consolidation if you want to process all the accounts under the Legal Entity and its child entities In case of Consolidation all intra group exposures are excluded e Reporting Currency The currency for a particular execution can be selected from Run Execution Parameters screen All amounts will be converted to the selected Reporting Currency e FIC_MIS_ DATE Date as on which data should be picked and processed e Run Execution Description This is to describe a run in detail It is an op
68. into the securitized and resecuritized exposures as securitization was one of the main reasons for the economic crisis The securitized exposures are the exposures which are issued out of a pool of underlying exposures for the transfer of risk The resecuritized exposures are the exposures which are issued out of a pool of underlying exposures which constitutes non securitized exposures as well as some portion of securitized exposures The application is capable of handling the securitized exposures as well as the resecuritized exposures It also handles the calculation for the Originator as well as the Investor bank roles At a broad level there are two categories of Investors An Investing Bank who has invested heavily in securitization These kind of investors are prepared to provide the entire details of the securitization transaction To cater to these investor needs the entire pool entire or invested tranche details and the invested exposures information are required to be provided by the Bank This information is captured in the pool tranche and exposures table An Investing Bank who has invested minimal in securitization These kinds of investors are prepared to provide the necessary inputs required for the calculation of the capital charge pertaining to their invested exposure To cater to these investor needs the invested exposures information is required to be provided by the Bank Along with that few of the pool and t
69. mention about priority The Capital Conservation Ratio in case of shortfall is also calculated at an aggregate level and not at individual buffer level Question 8 Can the regulator of the parent jurisdiction prescribe countercyclical buffer requirement different from the one prescribed by the home country s regulator to which the exposure relates to As per our interpretation of the Basel III accord the countercyclical buffer requirements can be different By default the requirement that is prescribed by the parent regulator should be used as input data which in turn is used for further calculations Question 9 If one of the exposure countries has not implemented Basel III and the country s regulator have not recommended any buffer should countercyclical buffer requirement be taken as 0 for the exposures of that country No the countercyclical buffer requirement cannot be taken as 0 as the parent company s regulator has exposure to this country For a consolidated Run it would depend on the buffer requirement required for all the exposure countries by the parent regulator By default the buffer requirement specified by parent regulator for each exposure country is included in the input data Therefore data is not required to be modified Question 10 As per Basel requirements all three buffers are calculated from CET1 However in the future as per guidelines of Basel Committee on banking Supervision it may be required to be calculate
70. mitigants to the exposures The application uses the optimizer to allocate the mitigants to the exposures The optimizer constraints in the case of securitization are dependent on the seniority of the exposures risk weight of the exposures and the mitigant value assigned to the exposure post the haircut Assume the following case of Exposures and mitigants mapped to each other along with the seniority risk weight and the haircut factor ener leer a ace ee a ID amount Seniority RW Mitigant ID Mitigant Amount RW Factor m soo i fos fm fsmoo lo fo s0000 fa jos fm sowo jo fos es eoo fo jos mw soww jo for es Piso fa Ji mw soww_ jo Jobs Oracle Financial Software Services Confidential Restricted 254 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Exposure Exposure Exposure Exposure Mitigant Haircut ID amount PE FAME Miti a ID Miti P Amount Pr Pr E 2 000 00 3 o 00 es 150000 FR 3 500 00 a The mitigants will be assigned to the exposures based on the seniority of the exposures And the mitigants with the least risk weight will be assigned first to the exposures The following will be the order in which the mitigants will be allocated Exposure Mitigant m PU The application assigns the exposures to the mitigants based on the above order and computes the Post CRM RWA of the exposures Question 36 Does optimizer work on pool by pool basis Can user explicitly me
71. name and click OK Select Business Processor as Target The Measures selected as target are displayed under Target page in the Combination Mapper grid You can select the Business Processors BP from these Measures To select the Business Processors form a Measure l Click button in the Measure displayed under Target page The Business Processor Selector screen is displayed Y Business Processor Selector Webpage Dialog Search in MSR Actual RWA Change Amount Ad Ascending Descending List 4 GA Page 1 1 Jump to page Selected Business Processors 1 C Name Code al Name BP Actual RWA Change Amount Advance BP4027 E BP Actual RWA Change Amount Advance BP Actual RWA Change Amount with Rule BP4028 BP3MSR3 BP3MSR3 SECOND_1 SECOND_1 Oracle Financial Software Services Confidential Restricted 103 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 2 Select the checkbox adjacent to the Business Processor name and click In Business Processor Selector screen you can o Search for a Business Processor by specifying the nearest keyword and clicking be button o The Pagination option helps you to manage the view of existing Business Processors within the system o Click button to view the details of a selected Business Processor o Click H button to define a new Business Processor o Click Ascending or Desc
72. new form in the DEFO Forms Designer screen 1 Ensure that Create a New Form option is selected and do the following o Specify the application name by either entering the New Application Name or selecting Available Applications from the drop down list o Enter the New Form Name 2 Click Next The DEFQ Layout Screen is displayed with the range of pre defined layouts for you to choose Oracle Financial Software Services Confidential Restricted 30 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 DEFQ Layout Screen Windows Internet Explorer SEE Financial Services Analytical Applications Infrastructure User gtuser ORACLE Logout hange Password About Connected to FFWOTDOM e You are in Step 3 of Designing Form_App_Sys Select the desired layout and click on the Layout Image to see a Preview of the Layout E a m E Single Record Edit View Wrapping Row Tree View Feature Weightage Relative F Total Value Relative Select Product Module Feature Need Label p Value Percent Cost Code Code Number Feature FICDC YYMM26 FIC Lj FIC DMAS DMAS wdsvsadv Destrable Time YYMM29 r fic De Feature Must Have Quality o bo 0 o u N Back Next J Local intranet fa Q Refer to the following table for information Description It is the default layout which displays the records in the Form of a table gr
73. o Select the required metadata from the Available Metadata list and click L button You can press Ctrl key form multiple selection o To select all the Available Metadata click gt button o You can also deselect a metadata by selecting from the Selected Metadata list and clicking 1con or deselect all the selected metadata by clicking baca 2 Click Save and update the metadata changes Once the details are updated you can click Show Details to view the status You can also click Reset to clear the selection 2 6 2 Utilities Utilities refer to a set of additional tools which helps you to fine tune a defined process or maximize and ensure the security of a database based on your need The Utilities within the Administration framework of Infrastructure system facilitates you to maintain the data in the Oracle database using the various administrative tools You can define the user access permissions batch securities upload attributes find metadata difference and migrate source objects to target database You System Administrator need to have SYSADM function role mapped to access the Utilities section within the Infrastructure system You can access Utilities section within the Administration framework under the tree structure of LHS menu UserGroup Batch Execution Map UserGroup Batch Execution Map facilitates you to map the required UserGroup to the defined Batch s before you execute them from Batch Execution or Batch Scheduler sc
74. of modifications needed for each implementation to just re classifying the Bank s data into the relevant standard classifications Setting up the Data The respective Dimension Tables corresponding to Products DIM_PRODUCT Customer Types Issue Types DIM_PARTY_ TYPE Collateral Type DIM_MITIGANT_TYPE Credit Ratings RATING_SRC_MASTER and DIM_CREDIT_RATING and Organization Structure DIM_ORG_STRUCTURE need to be populated with the list of Product Types Customer Types Issuer Types Collateral Types Ratings and Organization Structure as used in the respective bank As described in the data requirements section these tables can be populated by directly uploading data into the tables if they are not likely to change frequently or by using the SCD component if the data is likely to change over a period of time Also data is expected in STG_PRODUCT_MASTER STG_PARTY_TYPE_ MASTER and STG_MITIGANT_TYPE_MASTER for product party type and mitigant types SCDs will populate data from these tables into DIM PRODUCT DIM_PARTY TYPE and DIM MITIGANT_ TYPE Modifying the Re Classification Rules The hierarchies related to Product Types Customer Types and so on needs to be re saved if the data keeps on changing This can be done individually for each hierarchy using the Unified Metadata Manager or in bulk using the Save Metadata link under Administration on the LHS pane of OFSAAI screen A new node is created in the source hierarchy This node
75. off balance sheet exposures The CCF applied values are 0 2 0 5 and 1 The various factors on the basis of which the CCF is applied are standard product type as per Basel document type of facility whether it is cancellable or not and the maturity of the exposure Pre CRM Exposure at default EAD Exposure at Default EAD is calculated for all asset classes based on the Current Exposure Amount Accrued Interest Off Balance Sheet Drawn CCF Percent Drawn CCF percent and Undrawn Amount Using the same inputs drawn EAD amount and undrawn EAD amount is calculated If reporting bank has exposure to one of its own subsidiaries then that exposure is classified as an internal exposure Each of the internal transaction that is transaction between parent and its subsidiary is marked as deduction line item The deduction is processed as part of Basel II capital structure in the capital structure processing and all the internal transactions are eliminated from any RWA calculation In a standardized approach the exposure at default value of an exposure is calculated using a Rule It is calculated as Current Exposure Amount Non Sec Investment amount which is above Materiality Level for Commercial Entity Off Balance Sheet Drawn CCF Percent Undrawn Amount CCF Percent Net accrued but unpaid interest and fees e Risk weight assignment Non Sec exposures Risk Weight Risk Weight Assignment is done on the basis of asset class and the credit r
76. required option from the drop down list You can select the store format as Normal Sequence Generator Maker Date Checker Date Created Date Modified Store field as Date Auth Flag Maker id Maker Date Checker id Checker Date Checker Remarks Maker Remarks and Excel Name If Excel Map is selected in Sort Fields Selection screen Click Rules and specify Rules and Expressions for the selected field in the Specifying Rules Rules and Expressions for Data Validations screen Select the required Format type from the drop down list depending on the field type Format Type selected Select the checkbox to group all the set of table Forms to a batch Batch Commit All the Form tables are executed along with the batch execution and if in case a Form in the table fails to execute the entire set of Forms are returned Click Message Details to define the message type for Creator and Authorizer in the Message Details Messaging Details for a Form screen Click Form Filter to define an expression for Form level filter condition in the Form Filter Filter for Form screen Data Versioning Click Data Versioning to perform data versioning on an authorized Form 9 Click either Save to only save the Form details or click Save for Authorization to save the changes with authorization NOTE Sometime on clicking Save the form does not get saved This is because the Java heap size setting for OFSAAI service is set too high and web server memo
77. s CET1 capital The portion of amount which exceeds the 10 limit is deducted o This is done by calculating tier wise deduction percentage and multiplying this percentage with the exposure amount to arrive at the amount to be deducted from each tier of capital o The total investment values are populated into FSLNON_REG_CONSL_ENTITY_INVST which is the processing table for insignificant and significant investment deductions o The sub process Insignificant Investment in entities outside Regulatory Consolidation Processing in BASELIIT CAPITAL STRUCTURE process covers the above processing Significant Investment Treatment for accounting entity where Parent Bank holding is more than 10 if issues common shares The total investment amount is checked against the set limit of 10 of CET1 amount of Parent bank post insignificant investment amount adjustment The CET amount above 10 is deleted from the CET1 post insignificant investment amount deduction The CET1 amount below 10 follows Threshold Deduction The investment amount in AT1 and T2 is fully deducted from its respective AT1 and T2 tier of Capital The application computes as follows o Entities are marked as significant investment entities by updating the flag F SIGNIFICANT INVESTMENT IND in Fact Entity Information FCT_ENTITY_INFO with value Y o The exposure amount of banking book and trading book exposures to these entities are summed by grouping their component o
78. sd AUTOUSER1041 44 08 10 2012 08 54 39 08 10 2012 09 02 29 7 08 11 2012 04 58 34 78 08 11 2012 04 58 35 R 54 08 10 2012 08 54 39 U sd a U lt lt Previous Page lt Back Roll Back Next gt l Next Page gt gt Local intramet f R 100 The DEFO Data Entry screen displays the list of Data Entry Forms and Query Forms mapped to the logged in user in the LHS menu You can select the required Form to view the details In the DEFO Data Entry screen you can do the following View Form Details Edit Form Details Add Form Data Authorize Records Export Form Data Copy Form Data Delete Form Details View Form Details The DEFO Data Entry screen displays the selected Form Data in the View mode by default The Forms are displayed based on the application names in the LHS menu There are various layouts available to customize the view and by default the Form details are displayed in the layout in which 1t was designed In the DEFO Data Entry screen the following layout types are available You can click on any of the following layouts to view the Form details The buttons 1 e Previous Page Back Next and Next Page helps you to navigate through the records NOTE The Roll Back option can be used only for authorized records i e after the records are edited and saved you can roll back undo the changes in view mode Oracle Financial Software Services Confident
79. select a portfolio that you want to map to an approach or sub approach shown in the following figure For Single Counterparty Run select a portfolio that you want to map to Single Counterparty Approach Oracle Financial Software Services Confidential Restricted 230 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Hon Securitisation IRB l Equiby Equity Exposures Non investment Funds nm A AAA mri om i Yi i n AR a G MM Approac simple Risk Weight Approach Equity Exposures Investment Funds In conjunction with Money Market Fund Approach simple Modified Look Through Alternate Modified Look Through Full Look O Through Approach Approach Approach SFT O Collateral Haircut nternal Model O VaR Models Approach Method Approach nareuy SUE sory Haircut O Own Estrate E OTC Current Exposure Method 5 Internal Model Method CRM j ra s ai maranan reci Cermatres and quarantees PO Substitution Approach LGDA dju siment Approach SFT Collateral a Comprehensive Approach O LGD Adjustment Approach OTC Collateral rit O Comprehensive Approach LGD Adjustment Approach Figure 1 Portfolio Mapping 9 Click Save after defining the Approaches Sub Approaches and Portfolios for each risk type You have successfully created a Run Run Execution To access the Run Execution Screen
80. selected in the Rule Condition grid In the Rule Condition grid you can apply conditions for each of the BMM hierarchy filters NOTE Incase of Data Element Group or Hierarchy filters you can only view the SQL query To apply condition for a BMM hierarchy filter and view the SQL query in the Rule Condition grid 1 Click J button adjacent to the filter details The Hierarchy Browser screen is displayed gt Hierarchy Browser Windows Internet Explorer y Search Code Basel Il Asset Class En Selected Members Basel Asset Class Basel Asset Class Banks Central Counter Party o Consumer Credit Corporate Exposure Central Counter Party i Equity Fl Other Asset Classes Public Sector Entities Public Sector Entities More OK Cancel Oracle Financial Software Services Confidential Restricted 101 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 The Search grid allows you to search for a particular member by entering Code or any part of the Name and clicking E amp button You can click button to refresh the Code or name fields You can also find a member in the grid using Mi button 2 Click and expand the members of the selected hierarchy E 3 Select a member node and click to select the same Click the to select the member as Self or Parent In the Hierarchy Browser screen you can also o Click W or All to s
81. the Bank specific data to standard data similar to the Basel accord terms It reclassifies the Bank role to the standard Bank Role of an Originator or Investor Any other bank roles like Sponsor Credit Protection Provider and so on will be reclassified into Originator Investor and so on respectively The application also reclassifies the Pool Type to the standard Pool Type like Credit Cards Receivable Pool Auto Loans and so on It also reclassifies the Product type to the Standard Product type like Mortgage Backed Securities Eligible Liquidity Facility and so on In the case of mitigants also the application reclassifies the mitigant type to the standard Mitigant type like the debt securities credit derivative cash and so on It also reclassifies the Mitigant Issuer type to the standard Oracle Financial Software Services Confidential Restricted 165 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Mitigant Issuer type like Banks Corporate and so on The reclassification tasks are present in Sec reclassification and Mitigant reclassification sub process The application assigns Sec Standardized Approach in the Sec Reclassification Sub Process This is done for approach selection Sec_STD Pre CRM Computations The application calculates the Pre CRM RWA for the exposures by multiplying the Pre CRM EAD with the Risk Weight of the exposures This is handled in the Sec STD Pre CRM Computations sub pr
82. the Form is to be created For multiple selections you can either press Ctrl key for nonadjacent selection or SHIFT key for adjacent selections Click Next the Fields Selection Screen is displayed If multiple tables are selected you need to specify Equi Join Condition s Select the Table from the drop down list and select the Available Fields Specify the join condition Click Next the join conditions are validated and Fields Selection Screen is displayed 5 Select the fields to be joined from the Available Fields list and click La You can press Ctrl key for multiple selections and also click to select all the listed fields All mandatory fields are auto selected and are indicated on screen with an asterisk NOTE You can click or buttons to arrange the fields in the required order as intended to display in the Data Entry Form The fields order need not be similar to the arrangement in the underlying table 6 Click Next The Sort Fields Selection Screen is displayed You can sort the fields in required order as intended to display in the Data Entry Form Also the mandatory fields which needs user inputs are indicated in symbol and are auto selected in the Selected Fields pane o Select the field from the Available Fields list click You can press Ctrl key for multiple selections and also click to select all the listed fields o Optional To arrange multiple fields select Sort by Descending checkbox o Optional S
83. the Rule to a specific section in the Basel accord refer to the Comments section in the screen Oracle Financial Software Services Confidential Restricted 54 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Rule t Run Rule Framework gt gt Run gt gt Rule Definition View Mode Linked to Folder Dataset A Master Information EX Properties ID 1223142435138 Version 0 Code 1226142496136 Active Name Cap Consl Effective Shareholding Percent for an Entity Type Computation 2 List Code Name Type E Source HO0Z42 Cap Consl Entity Level Ind Hierarchy MO719 MSR Cap Consl Entity Shareholding Per Measure Len Audit Trail Comments i Page 1 1 Jump to page Created By Creation Date Last Modified By Last Modification Date Operation Type SYSADMN 06 25 2012 06 16 42 SYSADMN 06 25 2012 06 16 42 Not Editable Click in the Dataset DS0089 field to view further details on the Data Set In the following figure the Selected Entities field displays the tables used by the dataset Click any table to view the description of the table The condition or inter relationships between the tables are detailed in the Join Condition and ANSI Join Oracle Financial Software Services Confidential Restricted 55 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 i Ed Sy Details of Dataset Entity S
84. the case of Standardized Approach Oracle Financial Software Services Confidential Restricted 190 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Process Flow Rating Information Processing Pre CRM RWA Computation CRM Process The process flow for the CRM is the same as what is existent in the application for Basel II except for few differences The differences are in the Mitigant Eligibility and the Mitigant Haircut Assignment The Mitigant Eligibility depends on the original ratings in the case of Securitized exposures Hence this has an effect on the credit rating processing Rating Information Processing All the rating information of the mitigants are populated from the staging tables to the processing tables The mitigants rating information are captured in the instrument rating details The flag Y in the FLORIG_CREDIT_RATING_IND indicates that the rating is the original rating or the rating of the instrument at the time the protection was given and N indicates that the rating is the current rating This is handled in the CREDIT_RATING_PROCESSING process Also multiple assessment is performed for the mitigants current rating as well as the original rating This is handled along with the multiple assessment of the exposures Pre CRM RWA Computation The application computes the Pre CRM RWA based on the approach selected standardized CRM Process The Mitigant Eligibility Mitiga
85. the mitigant eligibility of Basel II and Basel III using separate rules The application under the Basel III rule checks for the presence of a rating for this kind of issuer type and since there is a rating available this mitigant becomes eligible The application under the Basel II rule checks for the rating to be A or better and since the rating is below A this mitigant become ineligible Haircut Assignment Basel IIT Question 43 The Reporting Bank has a securitized exposure and for that have got two financial collateral a debt instrument from an issuer who can be reclassified under the Non Sovereign issuer type and a debt instrument which is part of a securitization transaction For the first instrument the current ratings of the instrument by 2 agencies are AAA and A and its residual maturity is 4 5 years For the second instrument which is a securitized debt exposure the current rating of the instrument by 2 agencies are A and BBB and its residual maturity is 8 years What will be the volatility haircut applied for this mitigant by the application under Basel II and Basel III rules The application handles the volatility haircut assignment for debt securities of Basel II and Basel HI using separate rules The application requires a single rating for the debt securities Since there are multiple ratings the application applies the multiple assessment and calculates the final current rating In this case the first mitigant will
86. the transformation by double clicking in LHS menu to view or edit External Library External Library consists of built in functions procedures and facilitates you to define complex SQL Rule Transformations which are compiled and stored as an executable file You can load the External Library procedures and functions using the transformation wizard To define External Library Transformation in the Post Load Transformation Designer screen 1 Click icon in the Transformation Process Flow tool bar 2 Inthe Post Load Transformation Definition grid o Enter the Transformation Name Ensure that there are no special characters or extra spaces in the name specified o Enter a Description for the transformation o Click Next and save the details You are automatically navigated to the Insert Transformation section 3 Click External Library in the Transformation Process Flow grid 4 Click icon in the Parameter Definition tool bar A new row is inserted and allows you to define the run time parameters to the transformation Oracle Financial Software Services Confidential Restricted 29 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 o Double click on the Parameter Name and enter the details o Double click and select the required Data Type from the list o Double click on the Default Value and enter the details 5 In the External Library Details grid enter the Name of executable library f
87. then change that particular parameter only After defining the parameter the procedure to compute Operational Risk is as follows Operational Risk Data Population Internal to Standard LOB reclassification Annual Gross Income Calculation Capital Charge Calculation Risk Weight Asset Calculation Operational Risk Summary Data Population Operational Risk Data Population The input data for each of the financial years mapped along with the Internal Line of business are populated in the processing table e Internal LOB to Standard LOB Reclassification The internal lines of business are reclassified into Basel standard lines of business o Annual Gross Income Calculation For each of the standard line of business for each financial year the Annual Gross Income is calculated Capital Charge Calculation Capital Charge is calculated by multiplying the alpha value or the beta value for Basic Indicator Approach or Standardized Approach with the annual income of each year across each standard line of business Then the average of 3 years is considered If the values of all the 3 years are positive If the values of all the 3 years are not positive then exclude zero or the negative value from both numerator and denominator Risk Weight Asset Calculation The Capital Charge value obtained is then converted to equivalent Risk Weighted Asset value by multiplying with the factor 12 5 Oracle Financial Software Services Co
88. to copy the Form o Select the required Form from the Save Form drop down list o Enter a name for the Form in the As Form field 2 Click Next The specified Form is duplicated as a new Form and a confirmation dialog is displayed with the status Delete Forms You can remove the forms which are not required in the system by deleting from the DEFQ Forms Designer screen 1 Select Delete Forms from the available options and do the following o Select the application from the Available Application drop down list which consist of the required Form which you want to delete o Select the Form from the Available Forms drop down list which you want to delete Oracle Financial Software Services Confidential Restricted 35 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 2 Click Next An information dialog is displayed for confirmation Click OK Assign Rights You can assign user permissions to view add edit and delete the Form details in the User for Mapping DEFO screen 1 Select Assign Rights from the available options and do the following o Select the required application from the Available Application drop down list o Select the Form from the Available Forms drop down list 2 Click Next The User for Mapping DEFO screen is displayed 3 Select the required user from the Available User List You can also click or buttons to reload previous next set of users in the list
89. tree structure The subset of records on which the computational logic is applied to is stated as the Source Hierarchy Target Business Processor Target measure is a metric which computes and stores the computed value in the defined Target Area The target area where these computed values are populated is defined in the Target Business Processor e Assignment Rules Type 2 Rule consists of a Data Set Source Hierarchy and Target Hierarchy Data Set A Data Set is a group of tables whose inter relationship is defined by specifying a join condition between the various tables Source Hierarchy Hierarchy is the organization of data into a logical tree structure The subset of records on which the computational logic is applied to is stated as the Source Hierarchy Target Hierarchy Hierarchy is the organization of data into a logical tree structure The target area where the reclassified records will be stored is the target hierarchy Process Y Run Rule Framework gt gt Run gt gt Process Definition View Mode 2 Linked to Folder BIS 2 Master Information Ef Properties ID 1351290493131 Version 0 Code 1228479817605 Active Yes Name CAPITAL_CONSOLIDATION Type Process Tree R Su s nponent it ove Process a Oo Object Precedence Type Parameter Capital Consolidation Approach E Capital Consolidation Approach Sub Process Run Product Code Assignr Jurisdiction Code Assignme ENTITY_INFO_DATA_POP ENTITY_SHR_HLD_PERCE C
90. two lines of business Retail Banking and Commercial Banking the Loan and Advance amount 1s used rather than Annual gross Income which is multiplied by the fixed factor m and the beta factor The beta factor as in the Standardized Approach remains the same for Retail and Commercial Banking The constant factor m is Oracle Financial Software Services Confidential Restricted 183 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 equal to 0 035 The capital charge for Retail and Commercial Banking uses the Loan and Advance Amount and for all the others the calculation of capital charge 1s the same as in the Standardized Approach The total capital charge is calculated as the three year average of the sum of the regulatory capital charges across each lines of business every year Process Flow Prerequisite Before calculating the capital charge for Operational Risk the following should be computed as a prerequisite In the processes OPS_RISK STD_APPROACH OPS _RISK _BASIC_IND_APPROACH and OPS_RISK ALTERNATE_STD_APPROACH the task defined as OR Capital _Std_App Opr_Risk_Capital_Charge and OR_Capital_Std_App respectively should mention the number of years in the past as a parameter for capital calculation For example if the previous 3 years are considered then assign 3 as a parameter against the task OR_Capital_Std_App Therefore in the future if the previous 4 years have to be considered
91. which has been updated by other users When an authorized record is updated the status flag AuthFlag is set to M indicating that the record has been modified and needs re authorization Modified Record Authorization Auth Rej Hold Extraction Date Currency Code Surrogate Keypk Currency Code Record End Date Record Start Date Latest Record Indicator Local Currency Indicator Reporting Edited Data O O C 06 29 2011 14 52 08 666 3 06 11 2010 10 10 16 06 29 2011 14 52 08 8 Modified Original Data 06 29 2011 14 52 08 666 3 06 11 2010 10 10 16 06 29 2011 14 52 08 8 Modified A a lt lt Previous Page lt Back Reset Close Save Next gt Next Page gt gt To re authorize modified records in the DEFO Data Entry screen aE a 1 Open the required Form in view mode and cic MA The list of available records with the Authorization status is displayed If there are no records for Authorization in the selected Information Domain an alert message is displayed 2 Click Reauthorize Records The DEFO Authorization Window is displayed 3 Select the Auth checkbox adjacent to the required record 4 Click Save On re authorization a confirmation message is displayed You can also select the checkbox adjacent to Rey to reject the record or Hold to re authorize or reject at a later point A message is sent to the Form creator indicating that records are authorized rejected put on hold
92. 13 PORT_ULTEST ULTEST SHIKHA 01 10 2013 testui testui SHIKHA 02 08 2013 T testnode test SHIKHA 02 07 2013 f f SHIKHA 01 17 2013 E PORTFOLIO_NONSEC PORTFOLIO_NONSEC SHIKHA 12 27 2012 ert ert SHIKHA 02 08 2013 Portfolio Definition UI Icons Buttons Name Icon Pagination Options Li Helps in navigating from one page to another View Helps to view details of a defined Portfolio Edit D Clicking this icon allows you to update details of a defined Portfolio Aada _ Hretps in defining a new Portfolio co o TO Click this icon to create a new Portfolio using the same parameters of an existing Portfolio Click this Icon to select the Dimensions and Hierarchy to define a Portfolio 7 This icon helps in searching a particular Portfolio Type the Portfolio Name in the Name Text Box Search and click this icon Ree TBE The Reset icon refreshes the Portfolio Name field back to the default blank field Defining a Portfolio To define a Portfolio refer to the following steps Oracle Financial Software Services Confidential Restricted 225 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 1 Click 4 in the navigation bar of the Portfolio screen to define a new Portfolio The Portfolio Definition Mode screen is displayed 2 Enter the Name and Description of the new Portfolio in the Portfolio Definition Mode screen 3 Click 44 in the Dimension amp Member Selecti
93. 2016 CCB requirements will keep changing every year as per the transitional arrangement For the purpose of calculating the quartiles range the application considers it as per the transitional arrangement At the same time the application has the flexibility to have the required CCB constant at 2 5 throughout Also the minimum required CET1 Ratio considered for the purpose of building these quartiles is 4 5 Process Flow Capital Structure Inputs Available Total Buffer Required Total Buffer Capital Conservation Ratio Excess Shortfall of Total Buffer Output Population The tasks related to capital buffer calculations are present in the process named CAPITAL_BUFFER The processing is as following Capital Structure Inputs The Capital Structure Rules are executed before the calculation of buffers These Rules calculate the available capital ratios and required capital ratios of the three capital components which are Common Equity Tier 1 Capital ratio Tier 1 Capital Ratio and Capital Ratio These line items are populated in the Fact Standard Accounting Head table Available Total Buffer Calculation of Available Buffer from CET1 Capital is performed using inputs taken from Step 1 e Required Total Buffer Oracle Financial Software Services Confidential Restricted 200 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Calculation of Required Capital Conservation Buffer C
94. 23 What if the Bank doesn t calculate CR RWA MR RWA and OR RWA and directly provides a value against each of this line item Oracle Financial Software Services Confidential Restricted 250 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 The application supports such direct download values for RWA in table STG_STANDARD_ACCT_HEAD against appropriate Standard Account head identifiers CAP169 for Credit RWA CAP090 for Market Risk RWA and CAP170 for Operational RWA These values flow into FCT_STANDARD_ACCT_HEAD and the respective processes should be deleted from the Run For example if Market risk RWA is available as a download market risk related processes should be deleted from the Run US Related Changes Securitization Simplified Supervisory Formula Approach SSFA Question 24 How does the application calculate the KG for the Resecuritization pool The application expects the pool information in the pool table tranche information in the tranche table and the exposure belonging to the resecuritized pool in the exposures table The exposures belonging to the resecuritized pool are identified based on the Resecuritization flag in the Exposures table The percentage of the underlying comprising of securitization exposures are captured as a pool attribute The non securitization underlying data for the Resecuritization pool are expected in the Product Processors for Originators and in the Underly
95. 2CRP REGULAR Non Bl VW_CRP_CR_TB_SETT_REP B B 00000 0 0000 The Business Hierarchy screen displays the list of pre defined Business Hierarchies with their Code Short Description Long Description Hierarchy Type Hierarchy Sub Type Entity and Attribute You can create Business Hierarchies for measure s and view edit copy or delete the required Business Hierarchies You can also make use of Search and Pagination options to search for a specific Business Hierarchy based on the Code Short Description Hierarchy Type Hierarchy Sub Type and Authorization status or view the list of existing Business Hierarchies within the system Oracle Financial Software Services Confidential Restricted 78 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Create Business Hierarchy You can create a Business Hierarchy by specifying the Hierarchy definition details and defining the required Hierarchies To create a Business Hierarchy in the Business Hierarchy screen l Click icon from the Business Hierarchy toolbar The Add Business Hierarchy screen is displayed gt Add Business Hierarchy Windows Internet Explorer Add Business Hierarchy amp Business Hierarchy Details Code CNTHYA1 Short Description Country Hier 1 Country Hier 1 Long Description amp Business Hierarchy Definition Business Intelligence Enabled Hierarchy Subtype List O REGULAR
96. 34 Oracle Financial Software Services Confidential Restricted iii User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 CODY FONS ea dd ii 35 Delete FONS aa Aaa 35 ASTON RINES A ae 36 Message Type MatenaN Ce riscos A AREA 36 FOfMS AUTRNOTIZA ON tata 37 Bata EN O E A A TOT 38 VIEW FOI DEtAl S mesuan oa A os 39 Sear CH RECOU iia eieaa a i a a a ala eidi 40 EGIE FO DEl dira E E 41 Ada Ma olaan D E PE PEA EE AE PEEN PEA E AE EE AE teed AAE EA E AEAEE 41 AUPTROFIZe RECO sioune a E oa 41 ReaUthori ze RECOFOS usina 43 R avthorize Deleted Records iii E OT E TOO 43 EXPOFE FOM Data a tured O ed arose T T ad cence eeiated a 44 COPY FOM DA lastra oa 44 Delete POM iD CCAS ns cassn vxtasaccsy orca cenisniesssa inthees nwa nies EE 45 ECCI A sucatacauastadcanenarcecca santos cuetaancaumacsasenint sumac tenes at aaeteucuau ee tsatonint waavcmuaenenceteieeanonet 45 EXCel Entity IMPI ES 45 Add Exe EEn MAD DIOS eo ota ea 45 EXCONU DIO sesciiertine ts coat cusa tec O wert eace euina tea an wee mae Nane oe eae 47 2 3 3 M tadata Browser eorna aca 48 Tools in Metadata BroWS T ccccceccecccecccescccseusceuseescuceeuseeuseueeeuceeuseeeseuseeuseeeeuseeuseeesuueeeusaueeeneeens 48 A A aw aul E eee A 50 Process ANG SUD PROCESS jcc ised AAEE EEE EN SEE AEN EE AE TE AE EAE TE A 51 O RRA RR 53 A ce tae EO aac EA save ab vance mccain anced tee ee ote 60 OPUS A ad 65 2 3 4 Business Metadata Manageme nt
97. 5 v_ns_lst_approach OPT0046 OPT0047 v_ns_haircut_method OPT0056 OPT0057 Yes Z O Non Securitization Standardized oClaims on PSE Option used for claims on domestic PSEs Option I Option Non Securitization Standardized oClaims on Bank Option for risk weighting claims on Banks Option I Option p No Non Securitization Standardized oPast Due Past due treatment for non past due loans to counterparties Yes Z O Non Securitization Standardized oSFT Non Securitization Standardized oOTC Non Securitization Standardized oLong Settlement Transactions lt Standard Approach Non Securitization Standardized oHaircut Supervisory Haircut Own Estimate Oracle Financial Software Services Confidential Restricted 243 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 RUN_PARAME Selected RUN_PARAMETERS column TERS column Approach Hierarchy Option name value Non Securitization Standardized OPT0060 oCredit Value Adjustments N A V_CVA_METHOD CVA Standardized Approach Non Securitization Standardized Yes V_CVA_INCLUDE_SFT OPT0062 oCredit Value Adjustments CVA Standardized Approach Include SFTs for CVA calculation OPT0063 Non Securitization Standardized Yes V_CVA_CDS_INDEX_DECOM OPT0065 oCredit Value Adjustments POSITION CVA Standardized Approach CDS Index Needs to be decomposed OPT0066 Securitization Supervisory Formula App
98. 5 Seconds 2 Others Parameters SRUNSK 100 DIM COUNTRY V COUNTRY NAME Barbados In the Fire Run screen enter the field details as tabulated below Field Name Description By default this field displays the name of the selected Run Select the request type either as Single or as Multiple from the drop down box Request Type Note A Single request creates a Batch where as a Multiple request creates Batch group Select the Batch either as Create or as Create amp Execute Click 1 button and the Calendar is displayed You can select the MIS Date from the calendar MIS Date This field is displayed only if you have selected Request Type as Multiple with any of the Batch mode or Request Type as Single with Batch mode as Create amp Execute Select the Wait value either as Yes or as No Select Yes to provide the Duration in seconds after which the Fire Run status should be displayed Select No to display the Fire Run status immediately Enter the duration in seconds after which the Fire Run status should be displayed Duration Note This field is displayed only if you have selected the Wait value as Yes Oracle Financial Software Services Confidential Restricted 130 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Enter the required parameters in the field provided Parameters The parameter provided in this field is considered for Run execution Enter th
99. 6 0 0 0 0 5 Click Show Details to view the results in detail You can modify the mapping at any point and the mapping table is updated only on saving the mapping details When a metadata definition such as measures hierarchies cubes and attributes are removed from the Information Domain the same is updated in the mappings table 2 6 Administration Administration facilitates system administrators to define the security framework with the capacity to restrict access to the data and metadata in the warehouse based on a flexible fine grained access control mechanism The document deals with Saving Metadata activity of the system administrator For more information on the Administration related activities refer to the OFS Basel Regulatory Admin Guide You System Administrator System Authorizer need to have SYSATH SYSADM and METAAUTH function roles mapped to access the Administration framework within the Infrastructure system Administration 1s available within the tree structure of left hand side LHS menu in the Infrastructure home page Click to expand and view the Administration sections in detail 2 6 1 Save metadata Save Metadata within the Infrastructure system facilitates you to resave the changes done to an authorized metadata for the selected Information Domain When you resave metadata all the existing metadata definitions are updated with the current changes along with the current modified date PE Metadata Resave
100. 7 button to move up or move down the selected components o Click L_ button to add parameters for the selected components o Click button to remove selected components from the Tasks pane Click OK The components are listed under the selected Run Select Job Condition for Run You can select single Job Condition for the execution of pre defined Jobs in a Run To select the Job Oracle Financial Software Services Confidential Restricted 124 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Condition for a Run in the Run Definition New Mode screen 1 Click button from the List grid and select Job Condition LE The Hierarchy Selector screen 1s displayed 3 Hierarchy Selector Webpage Dialog Ascending Descending List 20 Page 1 10 Jump to page Selected Hierarchies 2 Name Code Ol Name A A E ABsd A500 A1500 C AC sd ABCS00 ABCS00 E Amortization Type ABCD500 ABCD500 ABH Short ABH ABsd AB bjb bjb b b AC sd AC Amortization Type H1501 asset hierarchy ASSETHIE asset number hierarchy ASSETNUM Bank Base Role H0022 ll Asset Class H0007 sel ll Bank Role H0023 sel Il Collateral Type H0018 sel Il Credit Rating H0010 ll Credit Rating for Collateral El H0113 sel Il Credit Rating for Mitigant Risk H0142 IOOOOOOOOO v Ok Close The LHS pane of the Hierarchy Selector screen displays the availa
101. AP823 Required Total Buffer 1s the sum of three required buffers Calculation of Required Additional Loss Absorbency A Rule in the application contains additional source hierarchy to identify whether a bank is a G SIB bank or not The value is checked in the Loss Absorbency Capital Bank Override column of the table Fact Entity Information and populated to Fact Standard Accounting Head This value will have precedence over the bucket specified If the value is not present in the Loss Absorbency Capital Bank Override column then the loss absorbency percent is taken from the column Bucket Loss Absorbency Capital of the Benchmark Loss Absorbency Ratio table based on the loss absorbency bucket the bank belongs to Required Countercyclical Buffer Required Countercyclical Buffer Ratio table is updated with values using a T2T The values are taken from Benchmark Counter Cyclical Buffer Ratio table The Regulator Code column in Benchmark Counter Cyclical Buffer Ratio is compared to jurisdiction code column in Run Dimension This T2T aggregates the country wise exposure amount for each country In cases where no Countercyclical Buffer is available the required weighted average will be O as the benchmarks will be assumed to be 0 If there is no countercyclical requirement we expect the regulator to provide O as the benchmark After the T2T loading based on each country s requirement for countercyclical buffer the weighted average Countercyclical B
102. After calculating the weighted average the application then computes a single value for Countercyclical Buffer benchmark which will be applicable on all exposures of all jurisdictions Additional Loss Absorbency Capital for G SIB If a group is categorized a Globally Systematically Important Banks G SIB then the application identifies all subsidiaries in various jurisdictions as G SIB as well This is based on our interpretation of the Basel guidelines that are applicable for a specific group Based on this assessment banks are assigned a GSIB score and the applicable bucket is decided Identification of this bucket is based on the score as per Basel guidelines Loss absorbency is required to be met as an extension of CCB for computational purposes Calculation of Capital Conservation Buffer Available Buffer from CET1 Capital The value that the Basel Regulatory Capital application calculates for Available Buffer from CET1 Capital meets the buffer requirements for all three buffers Capital Conservation Buffer CCB Countercyclical Buffer and Additional Loss Absorbency Capital Requirement No priority is given to any buffer over another Hence the shortfall or excess if any is calculated and reported at an aggregate level The required total buffer is calculated as the sum of the required values of three individual buffers The application also computes CET1 and Buffer Lookup Ratio which is further required for calculating Minimum Ca
103. BP_MEAS_MAP BP_MEAS MAP V_BP_CODE V_MEAS_CODE V_MEAS TYPE String String String amp Join Filter ANSI Join Hint ANSI Join Fitter 2 Source Target mappings Source Table No Record found Ans_Prd_ext Ans_Prd_Fltr Source Column Target Table FIRST_ROWS 2 e Target Column Expression 2 Hint Hint FIRST_ROWS 2 Specify the Database Extract details in the Define Extract grid L e Local intranet name specified Ensure that Extract to File checkbox is not selected Select the required data source Application from the drop down list 3 Select the mapped Sources from the drop down list 4 Select the required Entities in the Extract Entities grid a Click EA button in the Define Entities tool bar b Inthe Choose Entity screen do the following f Qio Enter the Extract Name Ensure that there are no special characters or extra spaces in the o Select the entity from the Members list by clicking on the required node and click button You can search for a specific entity by entering the keywords and clicking button You can also deselect an entity by selecting from the Selected Members list and clicking button y Click OK The selected source entities are displayed in the Define Entities grid Define an expression optional in the Extract Entities grid If you have defined more than one Source Table in the Choose Entity screen you need to
104. Basel Regulatory Capital Basic Release 6 0 0 0 0 under capital structure Process Flow Rating Information Processing Data Population Currency Conversion Reclassification Pre CRM EAD Computation Risk Weight Assignment Pre CRM RWA Computation e Rating information processing Pre processing steps Data for credit ratings need to be updated in the application via following ratings tables Accounts Rating Table STG_ACCOUNT_RATING_DETAILS Ratings of all credit risk non securitized exposures except for investment exposures one that are in stg_investments securitized exposures and securitized tranches Instrument Rating Table STG_INSTRUMENT_RATING_DETAILS Ratings for all market risk exposures investment exposures subject to credit risk one that are in stg_investments and mitigants Party Rating Table STG_PARTY_RATING_DETAILS Credit Rating for all customers and issuers Sovereign Rating Table STG_SOVEREIGN_RATING_ DETAILS Credit Rating for all countries Processing Steps Banks obtain credit ratings from different sources and these are provided as input in the application through the four rating tables The application re classifies the rating information to Basel standard ratings The rating reclassification lookup table fsi_rating_classification is used to reclassify all the bank ratings to their Basel ratings This is done so that the reclassification rule need not be repeated for each o
105. Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 3 Select the Target Table from Target Entities drop down list The selected entities are displayed in the Target Entities pane of Target Table Map Panel To map Source to Target do one of the following o Select a Definition and Target Entity in each column and click button o Click button to Auto Map the selected definitions and Target Entities o You can Un Map a definition from a Target Entity by clicking button or Un Map All definitions by clicking button o Click Save and save the mapping details Specify the Properties in the Source Target Mappings grid l Click icon in the Source Target Mappings tool bar The Properties screen 1s displayed 2 Specify the properties by entering a value or selecting an option from the drop down list In the Properties screen you can specify the Loading Mode as Direct Batch or Bulk In Bulk mode you cannot specify the Batch Size and commit happens at the end of the batch load Also in Bulk mode batch loading is faster for lesser records as compared to larger number of records which sometimes lead to loss of data while loading NOTE In Batch and Bulk modes if any of the foreign keys are in Disabled state before loading the data using T2T and the property Disable Primary Key is set to Yes then all the Primary Keys and corresponding Foreign Keys are disabled before loading and are enabled back after loading Hence the initial status of for
106. Basic Release 6 0 0 0 0 Glossary AMA ASCII BCBS BIS CAR CCR CET1 Ratio CRE CRM CVA DeF EAD FFIEC FTP GL GRC GUI IFSB IMA IMM IR LGD LIBOR Advanced Measurement Approach American Standard Code for Information Interchange Basel Committee on Banking Supervision Bank of International Settlements Capital Adequacy Ratio Capital Conservation Buffer Credit Conversion Factor Counterparty Credit Risk Common Equity Tier 1 Ratio Commercial Real Estate Credit Risk Mitigants Credit Valuation Adjustment Data entry and Forms Queries Exposure At Default Federal Financial Institutions Examination Council File Transfer Protocol General Ledger General Risk Charge Graphic User Interface Islamic Financial Services Board Internal Models Approach Internal Modeling Method Interest Rate Loss Given Default London Inter Bank Offered Rate Oracle Financial Software Services Confidential Restricted 258 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 OBIEE OFSAA OFSAAI OTC Non Securitization Exposure PD RBA RBI RDBMS Regulatory Reporting RRE RWA SCD SFA SFT SRWA TXN SLR Stress Testing T2T VaR Oracle Business Intelligence Enterprise Edition Oracle Financial Services Analytical Application Oracle Financial Services Analytical Application Infrastructure Over the Counter The exposures that are not securitized by the bank which
107. Code whose details are to be duplicated Click ml button in the List toolbar to copy a selected Process definition The Process Definition Copy Mode screen is displayed Copy button is disabled if you have selected multiple Processes In the Process Definition Copy Mode screen you can Create new Process definition with existing variables Specify a new Process Code and Folder Click Save Create new Process definition by updating the required variables Specify a new Process Code Folder and update other required details Click Save The new Process definition details are displayed in the Process screen By default version 0 is set if you have authorization rights else the version is set to 1 Authorize Process Definition A Process definition when created modified should be approved by an authorizer An authorizer can Approve Reject a pre defined Process definition listed within the Process screen To Approve Reject Process s in the Process screen you need to have Authorizer function mapped to your role If you are an authorizer then all the Process definitions created modified by you are auto Approved and the Active status is set to Yes Else the Active status 1s set to No and can be authorized Select the checkbox s adjacent to the required Process Code s Do one of the following To Approve the selected Process definitions click Z button e To Reject the selected Process defini
108. D for margin lending transaction and also does netting and RWA calculations on such transaction as per Basel II guidelines Oracle Financial Software Services Confidential Restricted 2 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Chapter 1 Introduction to Basel Regulatory Capital 1 1 Overview In 1988 Bank for International Settlements came out with the first guidelines on capital adequacy called the Basel I accord Basel I that is the 1988 Basel Accord primarily focused on credit risk Assets of banks were classified and grouped into five categories according to credit risk carrying risk weights On 4 July 2006 the BIS Committee issued a comprehensive version of the Basel II Framework This document is a compilation of the June 2004 Basel II Framework the elements of the 1988 Accord that were not revised during the Basel II process the 1996 Amendment to the Capital Accord to incorporate Market Risks No new elements have been introduced in this compilation The major outlines of Basel Il accord is to comply with the three pillars e The First Pillar Minimum Requirements for Tier 1 Tier2 and Tier3 Capital Credit Risk Market Risk Operational Risk The Second Pillar Supervisory Review Process and e The Third Pillar Market Discipline Changes relating to Securitization from Basel 2 5 accord as incorporated in the previous versions of the OFS Basel Regulatory Capital R
109. DEFO Data Entry screen cu The search fields are displayed Select Field Name from the drop down list 1 2 3 Enter the value data in the Search field 4 Click Go The search results are displayed in the list To perform an Advanced Search in the DEFO Data Entry screen l Click within the Search fields The Advanced Search Screen 1s displayed 2 10571 Advanced Search Screen Windows Internet Explorer Advanced Search Parentheses Field Operator Value Parentheses Join Join El Latest Record Indicator e 2 Select the required Parentheses Join Field Operator from the drop down list and enter the Value as required to query the Form data Oracle Financial Software Services Confidential Restricted 40 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 3 Click GO The results are displayed with the field names containing the searched data Edit Form Details You can edit the permitted Form field values in the DEFO Data Entry screen However you cannot modify the primary key fields which are displayed in non editable format To edit Form Details in the DEFO Data Entry screen gt 1 Open the required Form in view mode and atic Ol The editable fields are enabled 2 Enter update the required details 3 Click Save and update the changes If required you can click Reset to undo the changes and return to original field values If you have edit
110. DIM_STD_MITIGANT_TYPE ON FCT SUB _EXPOSURES n std mitigant type skey DIM_STD _MITIGANT_TYPE n std _mitigant type skey LEFT OUTER JOIN DIM_PARTY ON FCT_SUB_EXPOSURES n issuer_skey DIM_PARTY n Party Skey LEFT OUTER JOIN DIM_BASEL_PRODUCT_TYPE ON FCT_SUB_EXPOSURES n basel prod type skey ANSI Join DIM BASEL PRODUCT _TYPE n basel prod type skey LEFT OUTER JOIN DIM_GAAP ON FCT SUB_EXPOSURES n gaap_skey DIM_GAAP n_gaap_skey LEFT OUTER JOIN DIM_COUNTRY ON FCT SUB _EXPOSURES n country_skey DIM GOUNTRY n_country skey LEFT OUTER JOIN DIM BASEL ASSET CLASS ON FCT SUB EXPOSURES n_ basel asset class skey DIM BASEL ASSET CLASS n_basel_asset_class_skey LEFT OUTER JOIN RUN_PARAMETERS ON FCT SUB EXPOSURES n_run_parameter_setup_skey RUN_PARAMETERS n run parameter setup skey LEFT OUTER JOIN DIM RUN_IDENTIFIER ON DIM RUN_IDENTIFIER n_run_identifier_ skey FCT SUB _EXPOSU RES n_run_identifier_skey Click Exposures under field Pooling Basis in the Details of Pooling Screen The following figure displays the table Fact Sub Exposures from which Exposure Data is identified using the Attribute Account Surrogate Key Oracle Financial Software Services Confidential Restricted 62 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release Level Details 6 0 0 0 0 Details of Hierarchy Exposures Name H0131 Short Description Exposures Long Description Exposures Comments Created By SYSADMN Creation Da
111. Delete save Reset Properties Help E System Configuration Administration dQ Advanced Analytics Infrastructure A AMHM UMM Offline Population Financial Services Applications You Business Analysts need to have View Derived Entities function role mapped to access Derived Entity section in the BMM framework You can access Derived Entity by expanding BMM section within the tree structure of LHS menu The Derived Entity screen displays the options to define and edit the derived entity definitions for a selected table Create Derived Entity You can define Derived Entity only if you have Add Derived Entity function role mapped in the Infrastructure system You can create a Derived Entity based on Data Set or Source Application To define a Derived Entity based on Source Application you need to have defined permissions for the particular Source Application in the Atomic schema You can also authorize a Derived Entity created by other users if you have the authorizer rights Oracle Financial Software Services Confidential Restricted 86 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 OFSAA Infrastructure Windows Internet Explorer SEE Financial Services Analytical Applications Infrastructure User stuser ORACLE Change gt e O q Connected to MODELST In E 4bout EA 2 14M Last jin Date 1 05 2012 1 EPM casen i Connected to MODELST Derived Entity
112. EXPOSURES n_std_mitigant_ type_ skey DIM_STD_MITIGANT_TYPE n_std_mitigant_type skey LEFT OUTER JOIN DIM_PARTY ON FCT_SUB_EXPOSURES n_issuer_skey DIM_PARTY n Party Skey LEFT OUTER JOIN DIM_BASEL_PRODUCT_TYPE ON FCT_SUB_EXPOSURES n basel prod type skey DIM GAAP n_gaap_ skey LEFT OUTER JOIN DIM_COUNTRY ON FCT_SUB EXPOSURES n country_ skey DIM_COUNTRY n_country_skey LEFT OUTER JOIN DIM_BASEL_ASSET_CLASS ON FCT SUB_EXPOSURES n_basel_asset_class_skey DIM _ BASEL ASSET CLASS n_basel_asset_class_skey LEFT OUTER JOIN LEFT OUTER JOIN DIM_RUN_ IDENTIFIER ON DIM _ RUN IDENTIFIER n_run_identifier _skey FCT_SUB_EXPOSURES n_run_identifier_skey DIM_DATES D_CALENDAR_DATE MISDATE AND DIM_RUN n_run_skey SRUNSK AND Date Filter FCT_SUB_EXPOSURES V_EXPOSURE_TYPE NON SEC AND 1 COALESCE n_volatility_haircut 0 COALESCE n_forex_haircut 0 COALESCE n_maturity_mismatch_haircut 1 gt 0 Order By FCT_SUB_EXPOSURES INNER JOIN DIM_DATES ON FCT_SUB_EXPOSURES n_mis_date_skey DIM_DATES n_date_skey LEFT ANSI Join DIM_ BASEL PRODUCT _ TYPE n_basel prod type_skey LEFT OUTER JOIN DIM_ GAAP ON FCT_SUB_EXPOSURES n_gaap_skey RUN_ PARAMETERS ON FCT SUB EXPOSURES n _run_parameter_setup _ skey RUN PARAMETERS n_run_parameter_setup_skey The X Variable function for Exposures identifies the Exposures data from the Entity Fact Sub Exposures using the Attribute Account Surrogate Key The X Variable function for Mitigant
113. FICATION_STD e NON_SEC_DATA_POPULATION e NON_SEC_LEVERAGE_RATIO o SEC_DATA_POPULATION SEC_LEVERAGE_RATIO MKT_RISK_LEVERAGE_RATIO BASELII_CAPITAL_STRUCTURE e LEVERAGE_RATIO The process flow for calculation of leverage ratio is as follows Non Securitization Exposure Data Population Data from the Product Processors are populated to non sec processing table in the process NON_SEC_DATA_POPULATION Non Sec Exposure Measure used in the Leverage ratio is the summation of the following products On Balance Sheet Item Repo Style Transaction Derivative Transaction Off Balance Sheet Item Details on the calculation of these exposure measures are mentioned in the following section Non Securitization Exposure Measure Calculation After data is populated in non sec processing table the exposure measure 1S calculated in the process NON_SEC_EXPOSURE_ MEASURE CALCULATION As the CCF value which is further used in exposure measure calculations for off balance sheet items are different for leverage ratio calculation and capital calculation leverage ratio cannot be calculated as part of the Capital Calculation Run Details on the calculation of non sec exposure measures are as follows On Balance Sheet Items The accounting value of the on balance sheet items is considered The on balance sheet item is the net of specific provisions and valuation adjustments The following items are not considered while calculating the expos
114. FSAA Infrastructure Windows Internet Explorer SEE Financial Services Analytical Applications Infrastructure User stuser RAES Logout li ue AE out Last Login Date 09 05 U1 2 05 23 16 M Last F alled LOgIF E ate 09 157201 PAIK 52 12 SM ConnectedFF FATOR In IN Business Hierarchy Business Hierarchy amp Search and Filter Code Short Description Hierarchy Type Hierarchy Subtype Authorized 2 Business Hierarchy ES 1 10 326 Sk O Code Short Description Long Description Hierarchy Type Hierarchy Sub Type Entity Attribute BANDS bands bands REGULAR Bl Enabled DIM _BANDS n_band_code DER_HR1 DER_HR1_gd DER_HR1_ld REGULAR Bl Enabled DER_RRF COMMON_COA_ID H0001 Product Type Product Type REGULAR BI Enabled DIM_PRODUCT v_prod_code BI Enabled DIM_CUSTOMER_TY PE v_d_cust_type N_FAILED_BUSINESS_ DAYS H0002 Customer Type Customer Type REGULAR Unsettled Transaction Days Unsettled Transaction Days Hierarchy Hierarchy H0003 Collateral Type Collateral Type REGULAR Enabled DIM_COLLATERAL_TYPE v_collateral_type_code H0004 Collateral Issuer Type Collateral Issuer Type REGULAR Enabled DIM_ISSUER_TYPE v_issuer_type_code HOOO4CRP Hierarchy MKR SA EQU Hierarchy MKR SA EQU REGULAR Non Bl WW_CRP_MKR_SA_EQU_REP LEWELO HOOOSCRP Hierarchy MKR SA COM Hierarchy MKR SA COM REGULAR Non Bl WW_CRP_MKR_SA_COM_REP ALL POS_LONG H0006 Basel ll Product Type Basel ll Product Type REGULAR Bl Enabled DIM_BASEL_PRODUCT_TYPE v_basel_prod_type_code HO00
115. Financial Software Services Confidential Restricted 194 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 e Regulatory Adjustment Goodwill and Other Intangibles DTAs Cash Flow Hedge Reserve Gain on Sale of Securitization Transaction cumulative gain and losses due to change in Own Credit risk Defined Pension Fund Asset are direct download in STG_GL_DATA table Insignificant Investment treatment for accounting entity where Parent Bank Holding is not more than 10 of issued common shares The total investment amount is checked against the set limit of 10 of CET1 amount of the parent bank amount post regulatory adjustments The amount above 10 limit goes for deduction The total deduction amount is pro rated among each tier of capital based on the percentage of investment in each tier of capital The amount arrived is deducted from each tier of Capital The investment amount below the 10 limit is treated as per the trading book and banking book rule for the instrument belonging to trading book and banking book respectively The application computes as follows o Entities are marked as insignificant investment entities by updating the flag F_SIGNIFICANT_INVESTMENT_IND in Fact Entity Information FCT_ENTITY_INFO with value N o The exposure amount of banking book and trading book exposures to these entities are summed by grouping their component of capital and compared against 10 of parent bank
116. IPROD74SEG AAIPROD74SEG AAIPROD74SEG AAIPROD74SEG AAIPROD74SEG Y Page 1 22 4 Version O Se O 0 O 0 O 00 O SO O0O O 00 O O O O O amp Jump to page Active mw iD Ll a a y ad Y a P z lt 6 lt S lt lt S S lt 5 lt 4 6 a S om on oD oO oO oO oO o oO oa oO n a un fh GB hh FH HF HF HF Fh Hh Hh BH BB lt lt T mM The Process screen displays the processes created in the current Information Domain with the metadata details such as Code Name Folder Version and Active You can archive restore the existing PR2 definitions using the Metadata Restore Archive utility and also migrate PR2 RRF definitions through the Command Line Utility across Information Domains Setups Create Process You can build a Process by adding one or more members called Process Nodes If there are Predecessor Tasks associated with any member the tasks defined as predecessors precede the execution of that member To define a process in the Process screen Oracle Financial Software Services Confidential Restricted Click G4 button from the List toolbar The Process Definition New Mode screen is displayed 109 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Run Rule Framework Windows Internet Explorer Process Run Rule Framework gt gt Process gt gt Process Definition New Mode 2 Linked to Folder AAIPROD74SEG Master Info
117. ITAL ACCT HEAD GL items and Non GL items are differentiated in the column F_GL_IDENTIFIER with flag Y indicating GL items and flag N as an indicator for non GL items Mapping Table FSI CAPITAL STANDARD MAPPING For certain standard account head line items which are processed by the application for example Net Tier 1 Capital Total eligible capital Tier 1 Capital Ratio Capital Ratio you are expected to provide the mapping for these items as Others in the column v_capital_account_identifier in the FSI_CAPITAL_STANDARD_MAPPING table These Capital line Oracle Financial Software Services Confidential Restricted 221 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 items mapped as Others are used in the T2T CAPITAL_STD_ACCT_HEAD_ POP to insert records into FCT_STANDARD_ACCT_HEAD from FCT_CAPITAL_ACCT_HEAD FACT Table FCT CAPITAL ACCT HEAD GL items and non GL items are differentiated in the column F_GL_IDENTIFIER with Flag Y indicating GL items and Flag N indicating non GL items The T2T which populates data from STG_GL_DATA to the table FCT_CAPITAL_ACCT_HEAD populates value Y in the column F_GL_IDENTIFIER The T2T which populates data from STG_STANDARD_ACCT_HEAD to the table FCT_CAPITAL_ACCT_HEAD populates value N in the column F_GL_IDENTIFIER The reclassification of GL and non GL skeys to standard account head skey N_STD_ACCT_HEAD_SKEY happens in FCT_CAPITAL_ACCT_HEAD table by either the following
118. M_ lt DIM gt minvalue 1 maxvalue 999999999999999999999999999 increment by 1 Executing SCD Components To execute the SCD component from OFSAAIT Batch Process perform the following steps For a more comprehensive coverage of configuration and execution of a batch see Oracle Financial Services Analytical Applications Infrastructure User Guide e From the Home menu select Operations then select Batch Maintenance Click New Batch symbol in Batch Name container and enter the Batch Name and Description o Click Save Select the Batch you created in the earlier step by clicking the check box in the Batch Name container 8 Click New Task symbol in Task Details container Enter the Task ID and Description e Select Run Executable from the Component ID list Oracle Financial Software Services Confidential Restricted 220 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 e Click Parameters A pop up window will open enter the following values and then click Save e Executable scd lt map ref num gt gt For example scd 2 The Basel batch created for SCDs is the lt infodom gt SCD Infodom refers to the Information Domain name The map_ref_num can be looked up from table 7 Wait When the file is being executed you have the choice to either wait till the execution is complete or proceed with the next task Click the list box of the field provided for Wait in the Value field t
119. Market Data Expected Exposure calculated with Stress Market Data Expected Exposure Data Population The data requirement which is required as input for calculation of CVA Charge using Advance Approach is as follows Oracle Financial Software Services Confidential Restricted 211 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 LGDMKT This is the loss given default of the counterparty based on the spread of a market instrument of the counterparty It should be based on market assessment and not an internal estimate LGD Market should be an input for each counterparty Si This is the credit spread of the counterparty at each tenor Ti which is used to calculate CVA of the counterparty Spread data is an input for each counterparty and tenor level Ti This is the tenor at which the Expected Exposure EE and spread are provided Tenor is an input for each EE and spread EEi This is the expected exposure EE of the counterparty at revaluation time ti where exposures of different netting sets of counterparties is added Expected exposure is an input at each counterparty and tenor level Di This is the default risk free discount factor for each revaluation time bucket Default risk free rate is an input for each counterparty and tenor ti Counterparty Level CVA Calculation CVA RWA calculation at counterparty level is computed by the following formula CVA RWA 12 5 K Where
120. Market Risk Run is executed This Run is expected to execute in following circumstances The following tasks are performed when the Run is executed e IRC Data o Market prices of the instruments e Bank positions This Run populates the instrument level data 1 e required by the actual Run for further processing The instrument level data such as number of units of the instruments on that particular MIS date is downloaded in bank instrument position table This data will be moved to fact table for further processing The OTC instrument price is expected as a download For non OTC instruments the data for instruments price 1s captured in Market Instrument Contract table This data 1s further moved to fact table For IR instruments the interest rate required is captured in IRC Rate Hist table This data is moved to fact table This data is required for term structure 1 e used in Modified Duration and Greeks parameter calculation Oracle Financial Software Services Confidential Restricted 170 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Process Flow Capital Consolidation Rating Process Market Risk Process Position E Risk ae Assignment Capital Charge for Interest Rate Instrument Capital Charge for Equity Capital Charge for FOREX Capital Charge for Commodities Capital Charge for Options Summary Data Population Capital Consolidation For a reporting bank the level at whi
121. Mode screen Add Measures Hierarchies to Target To select the Target for a Rule in the Rule Definition New Mode screen 1 Click the icon from the List grid and select El icon The Measure Selector Hierarchy Selector screen is displayed The Measure Selector and Hierarchy Selector screens are displayed depending on the Type of the Rule you have selected 1 e the Computation Rule and Classification Rule respectively T Measure Selector Webpage Dialog Search in A1234s Ascending Descending List 6 Page 1 1 Jump to page Selected Measures 2 Name Code Tal Name MSR Alpha Value M0254 E MSR Historical Drawdown Percent MSR Historical Drawdown Percent M1627 O MSR Historical No Of Exposures in Reta MSR Historical No Of Exposures in Reta M1628 C MSR Historical Non Sec Default Weighte M1625 O MSR Historical Probability of Default M1626 C MSR Historical Realised LGD M1683 Note Measure from different entity will not be allowed as target measure s _ok Close The LHS pane of the Measure Selector Hierarchy Selector screen displays the available Measures Hierarchies under the selected Information Domain and Dataset 2 Select the checkbox s adjacent to the members you want to select as Target 3 Click L icon to move the selected measures to the Selected Measures Selected Hierarchies pane NOTE Measures from different entities are not allowed as target me
122. Oracle Financial Services ICAAP offering this application can also be used as a standalone application Pillar 2 guidelines of Basel II accord require banks to have policies and procedures designed to ensure that the bank identifies measures and reports all material risks All material risks faced by the bank should be addressed in the capital assessment process Thus the banks are required to identify all the risks and determine which risks are materials to the bank Further ICAAP is based upon the principle of proportionality which states that the specific design of the bank s ICAAP is proportionate to the risk level complexity and the scale of a bank s activities Oracle Financial Software Services Confidential Restricted 6 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 The guidelines on Bank Wide Risk Management Internal Capital Adequacy Assessment Process of OENB Austria states that The decision as to which systems are useful and appropriate in which areas for each bank should be made on the basis of the bank s specific risk structure Based on indicators the bank itself should identify the areas in which it should employ more complex risk measurement and management methods as well as the areas in which simpler methods would suffice Thus a bank may use a standardized approach for market risk under ICAAP in case the materiality assessment of market risk is low
123. Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Part No E23951 01 March 2013 ORACLE User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Part No E23951 01 Copyright O 2013 Oracle and or its affiliates All rights reserved Primary Author Sindhu Koppara and Meera Menon Contributor Oracle and Java are registered trademarks of Oracle and or its affiliates Other names may be trademarks of their respective owners Intel and Intel Xeon are trademarks or registered trademarks of Intel Corporation All SPARC trademarks are used under license and are trademarks or registered trademarks of SPARC International Inc AMD Opteron the AMD logo and the AMD Opteron logo are trademarks or registered trademarks of Advanced Micro Devices UNIX is a registered trademark of The Open Group This software and related documentation are provided under a license agreement containing restrictions on use and disclosure and are protected by intellectual property laws Except as expressly permitted in your license agreement or allowed by law you may not use copy reproduce translate broadcast modify license transmit distribute exhibit perform publish or display any part in any form or by any means Reverse engineering disassembly or decompilation of this software unles
124. Other Financial Services Components Analytical Applications Reconciliation Framework After data is configured into the relevant tables you also have an option to perform General Ledger GL Reconciliation using our OFS Analytical Applications Reconciliation Framework NOTE The Oracle Financial Services Analytical Applications Reconciliation Framework has to be additionally licensed by the bank OFS Analytical Applications Reconciliation Framework compares the balances from the bank s operational systems to the balances in the bank s financial systems which are reflected in the GL Thus the OFS Analytical Applications Reconciliation Framework finds out differences 1f any between the two On the basis of such reconciliations adjustment entries are passed when required to ensure that the data from the operational systems tally with the balances in the GL If you have identified the account or contract that is responsible for the difference then you can rectify the difference by posting a correction entry on that account Therefore OFS Analytical Applications Reconciliation Framework aims to bring the operational system at par with the financial system GL by passing adjustment entries or correction entries or both For more information on the Oracle Financial Services Analytical Applications Reconciliation Framework refer to the Oracle Financial Services Analytical Applications Reconciliation Framework User Manual For more informa
125. Precedence O Object O Object FM as FP ibA lib A 3 Select Auto Map to override the predefined precedence and to set predecessor tasks as precedence To manually select predecessor tasks for a task o Select a task from Tasks In lt Process Name gt dropdown box The other tasks are listed in the Available Precedence pane o Select the tasks to set as predecessor tasks and click gt button o The selected tasks are listed in the Existing Precedence pane NOTE You cannot select tasks as predecessor tasks if they have cyclic dependencies with the selected task In the Precedence Selector screen you can also o Click Ascending or Descending button to sort the selected tasks in Ascending or Descending order h o Click or L7 button to move up or move down the selected tasks o Click button to remove selected tasks from the Existing Precedence pane Oracle Financial Software Services Confidential Restricted 115 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 4 Click OK The precedence is set for the tasks in the selected process Move Tasks among Processes You can move the tasks which has no dependency among different processes in the Process Definition New Mode screen To move tasks 1 Select the checkbox s adjacent to the tasks to move to a different process 2 Click LA button The Move to dialog is displayed Run Rule Framework
126. RBI Common Equity Tier 1 Capital Ratio 3 CAP820 0 04 1 1 2014 12 31 20 4 CAP820 0 045 1 1 2015 12 31 99 99 CAP821 0 045 1 1 2013 12 31 20 Required Common Equity Tier 1 Capital Ratio Required Tier 1 Oracle Financial Software Services Confidential Restricted 197 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 V_STD_ACC T_HEAD_ID CAP821 CAP821 CAP821 CAP821 CAP821 CAP822 F_LATEST_RECO N_CAPITAL_COMP D_STAR ey RD_INDICATOR ONENT_VALUE T_DATE D_END _DATE a 1 1 2014 12 31 20 Y 1 1 2015 12 31 99 Y 9 Y 1 1 9 1 1 0 055 4 9 9 1 1 2012 12 31 20 Y 2 4 9 3 9 1 1 2014 12 31 20 Y 1 1 2015 12 31 99 Y 9 1 1 2012 12 31 20 Y 1 1 1 2014 12 31 20 Y 14 1 1 2015 12 31 99 Y 9 0 08 1 1 2012 12 31 99 Y 99 0 045 0 055 V_CAPITAL_ADEQU ACY_REGULATOR V_STD_ACCT_ HEAD_DESC Capital Ratio Required Tier 1 Capital Ratio Required Tier 1 Capital Ratio Required Capital RBI Adequacy Ratio RBI RBI Required Common Equity Tier 1 Capital Ratio Required Common Equity Tier 1 Capital Ratio Required Common Equity Tier 1 Capital Ratio Capital Ratio Capital Ratio Capital Ratio Required Capital BIS Adequacy Ratio The Total RWA CAP838 for the entity that has third party minority holding in it is a download value in STG_STANDARD_ACCT_HEAD Capital Buffers Ove
127. S Foundation IRB Approach Risk Weighted Asset Calculation Credit Risk BIS Standardised Approach Risk Weighted Asset Calculation Credit Risk BIS Advanced IRB Approach Risk Weighted Asset Calculation Credit Risk BIS Foundation IRB Approach Capital Calculation IFSB Standardised Approach CAR Standard Formula Risk Weighted Asset Calculation Credit Risk IF SG Standardised Approach Capital Calculation IFSB Standardised Approach CAR Discretionary Formula Risk Weighted Asset Calculation Market Risk IFSB Standardised Approach Risk Weighted Asset Calculation Operational Risk IF SB Basic Indicator Approach Run Select a Run Risk Weighted Asset Calculation Credit Risk BIS Standardized Approach and click E to view the details of the Run shown in the following figure Oracle Financial Software Services Confidential Restricted 50 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Information i BASEL6DOM Domain Run Rule Framework gt gt Run Segmen BIS 2 A Search and Filter AQ Search E Reset i 0 Metadata Browser Source Model Name Active Yes y 6 5 Data Model i Folder Type v a e Data Transformations oy w E Data Sets i 2 List 20 owl View sa Export w Fire Rur gt Page 1 7 Jump to page H E Measures cod i S ode 4 Name Type Folder Version H S Hierarchies a i 1305855181022 Capital Calculation
128. Select the process on which you want to add the component 2 Click Component button The Component Selector screen is displayed 3 Run Rule Framework Webpage Dialog List Tasks In ROOT 6 A Process Components O Object E Td Data Extraction Rules Bank Capital Group Components Reclassification 7 a S Load Data Rules Basel Customer Type Reclassification 73 Transformation Rules Basel lesuer Type Reclassification i baseltargetpopup f Base Rules i Fiter_check Ae Ceai Pales C ATTRIBUTION_ANALY SIS_ADVANCE_APPROACH E ATOM7325EG Bank Capital Group Components Reclassitica Basel Customer Type Reclassification Basel lesuer Type Reclassification Basel Product Type Reclassification Basel ll Collateral Type Reclassification STD Basel ll lesuer Type Reclassification Basel ll Underlying Instrument Basel Methodology Assignment Non Sec F Basel Methodology Assignment FIRB Equity Basel Methodology Assignment FIRB Equity i More wt i gt Note Subprocesses cannot be removed from this window Oracle Financial Software Services Confidential Restricted 113 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 On the List pane of the Component Selector screen you can click button to expand the members and view the process components 3 Select a Process Component and click gt to move the component to the Tasks In lt Process Na
129. Sept 2011 page 34 for Basel III implementation monitoring where the formula of total additional asset to be included in exposure measure is provided Also the Basel III accord is silent on the inclusion of securitization and market related transactions however the application has considered securitization as well as the market related transactions in the calculation of Leverage Ratio Process Flow Non Securitization Data Population Non Securitization Exposure Measure Calculation Securitization Exposure Data Population Securitization Exposure Measure Calculation Market Risk Exposure Measure Calculation Capital Measure Calculation Leverage Ratio Calculation Output Population A prerequisite for leverage ratio processing is Staging Market Risk Data Population Market risk exposure is aggregated from the outstanding positions of the instruments Hence population of market risk positions Oracle Financial Software Services Confidential Restricted 203 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 is a pre requisite for the exposure measure calculation of market risk Market risk positions are calculated by executing the Run Basel III Staging Data Population Market Risk BIS Standardized Approach Leverage ratio is calculated by executing the Run Basel ITI Leverage Ratio Calculation This Run contains the following processes e BASELIIICAPITAL_CONSOLIDATION e PARTY_RECLASSI
130. Set is a group of tables whose inter relationship is defined by specifying a join condition between the various tables X Variable Objective Function Co efficient Constraints Bounds Output Click Non Sec Optimizer STD under Sub Process Exposures Mitigant Optimizer appearing in the Run Details Screen The following figure displays the metadata mapped to Non Sec Optimizer STD Oracle Financial Software Services Confidential Restricted 65 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Details of Optimizer Non Sec Optimizer STD Name Non Sec Optimizer STD Code 1147069858460 Created By SYSADMN Creation Date 06 MA4 Y 2006 12 30 55 PM Last Modified By SYSADMN Last Modification Date 08 JUN 2006 04 30 12 PM Comments NA Dataset Non Securitization Optimizer Dataset Operation Type Minimize Objective Function X Variable Exposures Mitigants 0 Exposure Constraint 4 Mitigant Constraint Integer Identifier Pooling Required Auto Pooling Pooling Basis Output BP Lower Bound for Optimizer lt BP Non Sec Objective Function Co efficient for STO Constraint Identifier Constraint Coefficient Operator Condition Value Constraint Identifier Constraint Coefficient Operator Condition Value NE Objective Function Coefficient Constraints Exposures BP Sub Exposure Pre Mitigant EAD Amt BF Sub Exposure Pre Mitigant EAD Amt Mitigants BP CRM Pre Mit
131. Type BASELINE RUN 2 Run Execution Details EF 3 to 3 of 3 Run Skey Run Execution Id FIC MIS DATE Execution Status Execution Date Time of Execution Vv O 103 RQEXE018 10 20 2011 ONGOING 11 25 2011 17 22 31 Figure 2 Run Execution Summary Screen Click the checkbox against Run Execution Id for the following e View Parameter details Clicking the icon displays the parameter details like Run Execution Parameter Detail e Copy Clicking icon to display the Run Execution Parameter screen with the parameters populated as the selected execution and you can modify or can create a batch and execute the same Run Execution Summary Run Name Capital Calculation FRB IRB Ape Run ID 1206182237482 Run Type BASELINE RUN 2 Run Execution Details v Run Skey Run Execution Id 103 RQEXE018 gt Run Execution Parameters Windows Internet Explorer zz Run Details Capital Calculation FRB IRB Approach Run Name spits Calculatio Bl App R Run Execution Parameters Legal Entity Lan Consolidation Type FIC MIS Date Run Execution Description 2 Audit Panel Crested By BASELSOL Last Modified By BASELSOL Last Modified Date 11 22 2011 3 to 3 of 3 e Execute Clicking Da icon triggers the batch which has been created from the Run Execution Parameter screen and the status of the triggered batch is displayed In the execution summary screen multiple selections of the execution i
132. VED 2 Click haa icon in the adjacent to the Folder field in the Linked to grid The Folder Selector dialog is displayed Oracle Financial Software Services Confidential Restricted 92 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 e Folder Selector Webpage Dialog Search List 6 Page 1 1 Jump to page Name Code ATOM7325EG ATOM732COD E ATR ATTR E als BIS C IFs IFSB E INDIA INDIA USA USA 3 Select the checkbox adjacent to the required folder Click OK You can also enter a keyword and click the A icon in the Search field of Folder Selector dialog to locate a particular folder 4 Click the icon adjacent to the Dataset field in the Linked to grid The Dataset Selector dialog is displayed with the list of datasets available under the selected folder Oracle Financial Software Services Confidential Restricted 93 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Dataset Selector Webpage Dialog Search List 20 Page 1 6 Jump to page Name Code 12348 A1234 Account Summary 045001 ANS DATASET ANSIDS ANSI JOIN DATASET 05801 Capital Structure Dataset DS0015 Counterparty Detaile Dataset S2007 Counterparty Equity Dataset DS2020 Counterparty Unconditional PD Dataset DS2010 Country DataSet COUNTRYDS01 Country DS CNTROSO1 data set AZ Dataset for ARIMA DSARIM DataSet for Transition
133. Webpage Dialog Mowe to ROOT Note 4 sub process can not be moved to its sub process oK Loose 3 Select the process subprocess to which you want to move the task 4 Click OK The screen is refreshed and the task is displayed under the selected process Remove Tasks from a Process You can remove delete the tasks which have no dependency from the Process Definition New Mode screen To remove tasks 1 Select the checkbox s adjacent to the tasks you want to remove 2 Click Mi button The Warning dialog is displayed 3 Click OK The selected tasks are removed from the process In the Process Definition New Mode screen you can also view the details of a selected task by clicking 4 button 4 Click Save The process definition is saved with the provided details and is displayed in the Process screen The default version of a new Process definition created by an Authorizer is 0 and the one created by non Authorizer is 1 The Audit Trail section at the bottom of Process Definition New Mode screen displays metadata information about the Process definition created The User Comments section facilitates you to add or update additional information as comments You can view individual Process definition details at any given point To view the existing Process definition details in the Process screen select the checkbox adjacent to the Process Code whose details are to be viewed Click button in the List to
134. _Product_Skey V_Product_Name D_End_Date F_Latest_Record_Indicator ME 5 31 2010 12 31 9999 N_Product_Skey is the surrogate key column which is a unique key for each record in the dimension table V_Product_Name is the product name D_Start_Date indicates the date from which this product record is valid D_End_Date indicates the date to which this product record is valid F Latest Record Indicator A value Y indicates this is the latest record in the dimension table for this product and N indicates it is not If the V_Product_Name column is set as a Type 1 and if there is a change in the product name to Personal Loan from PL in the earlier example in the next processing period then when SCD is executed then the record in the earlier example would be changed to D_End_Date N_ Product a eae V_Product_Name D_Start_Date D_End_Date F_Latest_Record_Indicator srororo 12319999 Y Type 2 SCD Methodology The Type 2 method tracks historical data by creating multiple records for a given natural key in the dimensional tables with separate surrogate keys With Type 2 the historical changes in dimensional data are preserved In the earlier example for the change in product name from PL to Personal Loan if history has to be preserved then the V_Product_Name column has to be set as Type 2 in which case when SCD is processed for the processing period in which the change happens it will insert a new record as shown in the Or
135. _date SYSDATE VOID Filter Expression Cancel User Info User Comments amp User Info Created By Creation Date Last Modified By Modification Date Authorized By Authorization Date 2 Enter the details in the Business Measure Details section as tabulated Fields marked in red asterisk are mandatory Enter a distinct code to identify the Measure Ensure that the code is alphanumeric with a maximum of 8 characters in length and there are no special characters except underscore cc 39 Note the following The code can be indicative of the type of Measure being created A pre defined Code and Short Description cannot be changed Same Code or Short Description cannot be used for Essbase installation SSSUNIVERSESS MISSING MI CALC DIM ALL FIX ENDFIX HISTORY YEAR SEASON PERIOD QUARTER MONTH WEEK DAY In Unauthorized state the users having Authorize Rights can view all the unauthorized Metadata Oracle Financial Software Services Confidential Restricted 75 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Enter a Short Description based on the defined code Ensure that the description is of a Short Description maximum of 8 characters in length and does not contain any special characters except c6 99 underscore Enter the Long Description if you are creating subject orien
136. a Integrator framework The Source Designer screen displays the list of pre defined applications Data Sources and Mapped Sources in the LHS menu and consists of three sections namely Define Applications Define Sources and Map In the Source Designer screen you can Define Data Source Applications e Define Data Sources Map Data Sources to Applications Generate Data Models for each Application Oracle Financial Software Services Confidential Restricted 12 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release amp Data Integrator Source Designer S Applications Source Designer Data Sources gt 2 Define Applications E As Application Name BASEL_SRC BKP_BASEL_SRC f Description Common STAGING A Mapped Sources 2 Define Sources A ti Source name Description Source type Flat File RDBMS Real Application Clusters 2 Type Remote Database name TNS Name Table Owner Database Oracle Server name JDBC Drivers Oracle Driver Server port Source Date format User ID Locale English Password 2 Map a Application Attribution_Analysis v Available Sources Source Applications E Available Sources gt Mapped Sources BASEL_SRC Attribution_SRC BKP_BASEL_SRC Common l gt STAGING E ta te Define Data Source Application A data source application is a logical group of data sources You can define data source applications and modify or remove the appl
137. a set Long Description amp Entities Epa 1 4 4 la Selected Entities WF_STAGE_DETAILS RISK_MAP ROLEDETAILS R_GROUP_DETAIL USE USE amp Data Set Definition WF_STAGE_DETAILS N_STAGE_MANDATORY_IND INSTR STRING STRING INT INT a ANSI Join Join Fiter Condition 1 ISK_MAP HRCSA033 SYSDATE VOID Date Filter R K R A0 YSD E VOID ue WF_STAGE_DETAILS V_STAGE_DESC Order By cas Save Cancel User Info User Comments amp User Info Created By Creation Date Last Modified By Modification Date Authorized By Authorization Date 2 Enter the details in the Data Set Details section as tabulated Fields marked in red asterisk are mandatory Enter a distinct code to identify the Data Set Ensure that the code is alphanumeric with a maximum of 8 characters in length and there are no special characters except underscore c6 99 Note the following The code can be indicative of the type of Data Set being created A pre defined Code and Short Description cannot be changed Same Code or Short Description cannot be used for Essbase installation SSSUNIVERSESS MISSING MI CALC DIM ALL FIX ENDFIX HISTORY YEAR SEASON PERIOD QUARTER MONTH WEEK DAY In Unauthorized state the users having Authorize Rights can view all the unauthorized Metadata Enter a Short Description based on the defined code Ensure that the description is of a Sho
138. able for nth to default mitigants Required for eligibility of nth to default credit derivative mitigant Attachment point of tranches based on original balances Required for eligibility of nth to default credit derivative mitigant Market Risk Overview Basel Committee introduced Market Risk capital charge calculation in 1996 as an Amendment to the earlier Basel accord looking at the risk born by a financial institution having exposures in the trading book BIS defines Market risk as the risk of losses in on and off balance sheet positions arising from movements in market prices It is the risk that arises out of the adverse movements of the market factors Basel outlays two basic approaches for calculating the capital charge for Market risk o Standardized Approach Internal Model Method Approach Oracle Financial Software Services Confidential Restricted 169 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Standardized Approach In standardized approach STD Approach the market risk capital charge need to be calculated for the following instrument types e Interest Rate related instruments IR Instruments Equity Position Risk Foreign Exchange risk e Commodities Options Pre requisite for MR processing Execution of the Run Staging Data Population Market Risk BIS Standardized Approach is usually a onetime activity This should be executed once before actual
139. ables Specify a new Rule Code and Folder Click Save o Create new Rule definition by updating the required variables Specify new Rule Code Folder and update other required details Click Save The new Rule definition details are displayed in the Rule screen By default version 0 is set if you have authorization rights else the version is set to 1 Authorize Rule Definition A Rule definition when created modified should be approved by an authorizer An authorizer can Approve Reject a pre defined Rule definition listed within the Rule screen To Approve Reject Rule s in the Rule screen you need to have Authorizer function mapped to your role If you are an authorizer then all the Rule definitions created modified by you are auto Approved and the Active status is set to Yes Else the Active status is set to No and can be authorized Select the checkbox s adjacent to the required Rule Code s Do one of the following To Approve the selected Rule definitions click a button To Reject the selected Rule definitions click ES button A Rule is made available for use only after the approval For a rejected definition a comment with the rejection details will be added Oracle Financial Software Services Confidential Restricted 106 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Export Rule to PDF You can export single multiple Rule definition details to a
140. ack and forth in the Rule Definition View Mode screen You can Modify all the details except ID Code Version Active and Type of a Rule definition To modify an existing Rule definition in the Rule screen select the checkbox adjacent to the Rule Code whose details are to be updated Click LA button in the List tool bar Rule Definition Versioning The default version of a new Rule definition created by an Authorizer is 0 and the one created by non Authorizer is 1 When you edit and save a Rule you are prompted either to overwrite the already existing details and save the same as latest version version 0 or to create a subsequent version wherein the existing details are retained as of current version 1 Note that a definition with version 1 when edited by an authorized user changes to 0 and an unauthorized user remains as 1 Copy Rule Definition The Copy Rule Definition facilitates you to quickly create a new Rule Definition based on an existing Rule or by updating the values of the required Rule To copy an existing Rule Definition in the Rule screen 1 Select the checkbox adjacent to the Rule Code whose details are to be duplicated 2 Click E button in the List toolbar to copy a selected Rule definition The Rule Definition Copy Mode screen is displayed Copy button is disabled if you have selected multiple Rules In the Rule Definition Copy Mode screen you can o Create new Rule definition with existing vari
141. acle Financial Software Services Confidential Restricted 214 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 example below N_Product_Skey V_Product_Name D_End_Date F_Latest_Record_Indicator 5 31 2010 12 31 9999 E ee ee pr A new record is inserted to the product dimension table with the new product name and the latest record indicator for this is set as Y indicating this is the latest record for the personal loan product and the same flag for the earlier record is set to N Pre requisites The setup tables accessed by the SCD component including SYS_TBL_MASTER SYS_STG_JOIN_MASTER have the required entries The tables SYS_TBL_MASTER and SYS_STG_JOIN_MASTER are seeded You will only need to add entries in these tables if you add user defined dimensions Tables used by SCD Component The SCD Components provide the details of mapping between the Stage Table and its corresponding Dimension table Sys_table_master and Sys_stg_join_master form part of the SCD Components and are executable for each report extraction date MIS The tables provide information on whether the history of a table attribute is maintained or not SYS_TBL_MASTER The application installer will populate one row per dimension for the seeded Dimensions in this table Oracle Financial Software Services Confidential Restricted 215 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0
142. ails STG_LEGAL_ENTITY_DETAILS If this column has value it is given priority over loss absorbency percentage corresponding to the bucket The minimum Capital Conservation Ratios requirement for different quartiles specified by different regulators is expected as a download in Stage Benchmark Capital Conservation Ratio STG_BENCHMARK_CAP_CONS_RATIO This data is populated to the semi static table Benchmark Capital Conservation Ratio FSIBENCHMARK CAP_CONS_RATIO using a SCD process Conservation ratios specified once are valid till the next revision Leverage Ratio Overview During the financial crisis banking institutions built up excessive on balance sheet and off balance sheet leverage which forced the banking sector to reduce its leverage To prevent building of excessive leverage on the institutions balance sheet the Basel committee has introduced a non risk based leverage ratio which is a new regulatory tool supplementing risk based capital requirement The application calculates the leverage ratio for a Reporting Bank The minimum required leverage ratio is 3 Regulatory leverage ratio is calculated as an arithmetic mean of the monthly leverage ratio over a quarter Monthly Leverage Ratio is calculated at the end of the month The leverage ratio is calculated by dividing an institution s capital measure by the total exposure Leverage Ratio Capital Measure Exposure Measure Capital Measure is defined as Net Tier 1 Capital whi
143. al Restricted 246 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 4 Click E to select the MIS date of the latest Basel Run in Select MIS date field 5 Select the relevant Run from the dropdown list in Select Run ID field 6 Click 2 to select the period of analysis NOTE If monthly quarterly half yearly or yearly is selected the previous MIS date field is auto populated accordingly If custom 1s selected then click EE to select the previous MIS date 7 Select the relevant Run from the Previous Run ID field list 8 Select No in the Approach Rule changes field if there are no changes in the rules for previous MIS date run shown in the following figure or else follow the step 10 9 Select the Previous Run ID executed for previous MIS date and Previous MIS Date modified Run Schedule for Execution select Execute 10 Select to schedule the execution for a particular date or else The application performs the analysis to quantify the change in CAR based on the approach selected The Attribution Analysis reports and dashboards are generated in the Basel Regulatory Capital Analytics which has to be licensed by the bank additionally 5 4 Reporting Oracle Financial Services Basel Regulatory Capital Analytics Release 6 0 0 0 0 provides the customer with a reporting cum information framework which can be used for generating reports and viewing information relevant to the capital c
144. al across jurisdictions and lack of disclosure To address this issue of inconsistency the Basel committee has prescribed a new definition of capital to strengthen the global capital framework under Basel III As per the new definition in the Basel III accord total capital consists of sum of the following elements Tierl Capital Common Equity Tier 1 Additional Tier 1 Tier 2 Capital Each component of Capital is subject to the following restrictions where CET1 must be at least 4 5 of total risk weighted asset Tier 1 capital must be at least 6 0 of total risk weighted asset Total capital must be 8 0 of total risk weighted asset Each component of Capital undergoes minority interest and regulatory adjustments The minority interest is applicable for a Bank only Most of the regulatory adjustment line items are to be deducted from CET 1 For a Banking organization the accounting entity that are not part of regulatory consolidation the Oracle Financial Software Services Confidential Restricted 192 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 investment amount partly goes for deduction from its respective component of capital and partly goes for risk weighting as per Banking or Trading book rule Significant entity investment amount which are common shares along with Mortgage Servicing Rights and DTA due to temporary differences goes for threshold deduction where each line item are subjec
145. al counterparty type in the future Any new counterparty type against which the concentration needs to be calculated can be included by modifying the Rule Single Counterparty Concentration Treatment Eligibility in the US_SCP_ENTITY_DATA_PROCESSING process The counterparty for which the Single Counterparty calculations needs to be done should be added to the list of counterparty types in the rule and should be mapped as eligible Question 29 Is CRM process mandatory to calculate the Single Counterparty Credit Risk exposures Credit Risk Mitigation process is not mandatory and is left to the discretion of the bank whether to go for CRM or not Therefore the application provides with the flexibility to incorporate the CRM process or opt out of it If the CRM process is to be included then the application takes into account the eligible mitigants as described above and calculates the Net Credit exposure taking the mitigant value into account The CRM process can be selected or omitted from the Run Management Screen for a Run Management related Run using the User defined Run Parameters Rule for a User Defined Run For more information refer to the User Defined Run Table Question 30 Is it possible to change the mitigant allocation order Exposure mitigant allocation order can be modified for future business requirements This can be done by altering the mitigant allocation DT Data Transformation For more information about the Mitigant Allocatio
146. al is classified as eligible only 1f its original maturity is more than 1 year and residual maturity is more than 3 months Mitigant risk weight Similar to non sec exposures collaterals or mitigants are also assigned a risk weight based on their issuer type credit rating and original maturity of the mitigant For financial collateral under the BIS Standard Approach the RW used is 0 For mitgants issued by bank the application offers two choices for calculating RW on the basis of credit rating Option I Option II Mitigant haircut assignment The application does computations for three kinds of mitigant haircut which are volatility haircut forex haircut and maturity mismatch haircut Volatility haircuts are calculated and amount of the exposure to the counterparty and the value of collateral or mitigant is adjusted to account for any future fluctuations in the market value After the adjustment the application gives the volatility adjusted amounts for both exposures higher than original exposure amount and collateral lower than original amount When the exposure and collateral are in different currencies the application makes an adjustment by applying forex haircut When the residual maturity of the CRM is less than that of the underlying credit exposure a maturity mismatch occurs When there is a maturity mismatch and CRM has an original maturity of more than a year maturity mismatch haircut is applied to adjust the value The a
147. al risk charge The application applies 8 general risk charge for equity instrument type Summary Output The Equity risk charge gets reported out of market risk summary table under equity charge reporting line Specific and general risk for equity is also reported separately from the summary table Forex Risk Charge The process flow for Forex capital charge is as follows Calculation of Capital for Forex Position Forex Data Population Calculation of Net Open Position Forex Capital Charge Summary Output Forex Data population All foreign exchange exposure data is expected at a net level by each currency in a separate table meant only for forex exposures data Forward currency position asset liability accrued interest profit and loss structural position etc in different currencies are captured separately in the forex exposure table Calculation Net Open Position The net open position is the maximum value of the net long and net short position across all currency exposures plus the value of gold Forex Capital charge The application applies the short hand method for forex risk charge calculation by treating all the currencies to be same and applying 8 risk charge on net open position Summary Output The forex risk charge gets reported out of market risk summary table under forex charge reporting line e Commodity Risk Charge The process flow is as follows Oracle Financial Software Services Confident
148. al that has not been deducted is obtained from the capital calculation for more information refer to Capital Structure on Page 187 where the application calculates the percentage of amount deducted which in turn is deducted from the value 1 to obtain the value of percentage not deducted Total additional asset amount is populated from entity details table to the entity processing table for further processing This amount is used during total exposure measure amount calculation Total Exposure Measure Amount Calculation The exposure amount for each category of product along with total additional Asset for significant investment entity is calculated and summation of all transactions related to each category of the product is stored against each line separately Exposure measures for different products are aggregated against different standard account heads in accounting head processing table Standard Account Head Identifier Standard Account Head Description CAP846 Exposure Measure of On Balance Sheet Item and Off Balance Sheet Item CAP850 Exposure Measure of OTC and SFT transaction CAP847 Exposure Measure for Market Related Instrument CAP849 Exposure Measure for Sec Transaction CAP851 Exposure Measure for Total Additional Asset for Significant Investment Entity CAP848 Total Exposure Amount If the exposure measure of any of the product is calculated by any other application other than OFS Basel Regulatory Capital application a
149. al to and greater than 3 All the 15 time bands are grouped to 3 zones for horizontal disallowance as per the zone definition given in Basel II Market Risk guidelines The entire end to end processing of general risk charge calculation is done in a separate table meant only for it and can be pulled out and analyzed in the form of reports All the processing steps and related data are stored in the table starting from time bands assignment zone identification thereafter the matched and unmatched position following horizontal and vertical disallowance and net open position by each currency o Modified Duration Ladder Approach Under Modified Duration Ladder approach the application creates duration ladder based on modified duration calculated for each instrument Similar to residual maturity ladder the general risk charge under modified duration ladder is also calculated for each currency and insignificant positions across multiple currencies are put into a single modified duration ladder for horizontal and vertical disallowance calculation The duration ladder time band created in the application is based on the definition given by Basel II guidelines on market risk Like residual maturity for duration based ladder approach the application creates three time zones for each modified duration time band All the processing attributes used under modified duration ladder approached is stored in a separate table starting from modified duration assu
150. an select maximum of nine Filters for a Rule In Filter Selector screen you can o You can search for a specific member type by selecting from the drop down list and clicking 4 button You can also modify your search criteria specifying the nearest keyword in the like field o The Pagination option helps you to manage the view of existing Hierarchies within the Oracle Financial Software Services Confidential Restricted 98 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 system o Click 4 button to view the details of a selected member o Click Ascending or Descending button to sort the selected components in Ascending or Descending order o Click L or LE button to re arrange the selected list of members 5 Click button to remove selected members from the Selected Filters pane Click OK The selected filters are listed in the Rule Definition New Mode screen Add Hierarchies to Source The Source and Target can be selected from the List grid To select the Source for a Rule in the Rule Definition New Mode screen 1 Click the icon from the List grid and select The Hierarchy Selector screen is displayed 3 Hierarchy Selector Webpage Dialog Search in Ascending Descending List 16 Page 1 1 Jump to page Selected Hierarchies 4 Name Code O Name ABH Short ABH E Country Hier1 CNT1 Total Checked CNT1 C Country Hier2 CNT2 Total Un
151. ancial Services Analytical Applications Infrastructure DAS 7 Language US English Y User ID Password You can select the required language from the Language drop down list The language options displayed in the drop down are based on the license Enter the User ID and Password provided by the System Administrator and click Login You will be prompted to change your password on your first login Alternatively you can also choose to change your password any time ORACLE Financial Services Analytical Applications Infrastructure User ID PQAUSER Old Password New Password Confirm Password OK Cancel Refer to the following guidelines for Password Creation Passwords are displayed as asterisks stars while you enter This is to ensure that the password is not revealed to other users Ensure that the entered password is at least six characters long The password must be alphanumeric with a combination of numbers and characters The password should not contain spaces Passwords are case sensitive and ensure that the Caps Lock is not turned ON Oracle Financial Software Services Confidential Restricted 9 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 By default the currently used password is checked for validity if password history is not set New password should be different from previously used passwords based on the password history w
152. and issued to ABCP Program and so on If the data is not available to assign a risk weight the application marks these exposures for deduction Risk weights corresponding to the external ratings are assigned in the entity Securitization Risk Weight Map Master FSISEC_RW_MAP_MASTER and the final applicable risk weight is updated in Securitization Exposures after the multiple assessments of the ratings o Pre CRM EAD Computation The application assigns the credit conversion factor CCF to the off balance sheet items as specified by the Basel Accord The CCF percentages are assigned based on the Bank Role this is applicable only for the Originator Bank Role the Product Type like the Eligible Liquidity Facility and the applicable ratings The CCF Percentages are also assigned to the exposures based on whether there is any Early Amortization provision applicable to the transaction In those cases the CCF assignment are based on the Early Amortization type controlled or uncontrolled the Pool Type and the ratio of three month average excess spread to the trapping point Then the application computes the Pre Mitigation EAD This is computed based on the Bank role and the Product type The application calculates the EAD for the Investors and the Originators separately based on the calculations given in the Basel II Accord Sec CRM Process Mitigant Eligibility Mitigant Risk Weight Haircut Assignment and Allocation of Mitigants to Exposures are h
153. andled in Sec CRM sub process o Mitigant Eligibility The application identifies the eligible mitigants based on the criteria as mentioned by the Basel Accord It identifies the following mitigants in the case of securitized exposures Collateral Guarantees and Credit Derivatives The application is capable of using the Simple Approach as well as the Comprehensive Approach for the mitigants which are part of the collateral This is similar to the mitigant eligibility of the non securitization process The application processes the multiple assessments of ratings for the mitigants also This is required since some of the mitigant eligibility criteria are based on the ratings Oracle Financial Software Services Confidential Restricted 166 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 and risk weight of the mitigants The application identifies the eligibility of the financial collateral separately for the simple approach and the comprehensive approach The eligibility of the collateral mitigants are based on the party type of the mitigant mitigant type the credit rating assigned to the mitigant or the party as applicable and whether the collateral is classified as a senior or not In the case of equity the eligibility is based on the main index equity and the equity trading status In the case of Mutual funds the eligibility is based on the eligible mutual fund indicator The application identifie
154. ansaction where CCF assignment is applicable is assigned as prescribed in the Basel II guidelines Market Risk Exposure Measure Calculation Market risk data that is populated through Staging MR data population Run is populated in the market risk processing table and the exposure measure is calculated in the process MKT_RISK_EXPOSURE_MEASURE_CALCULATION The following market related instruments are considered for exposure measure The total exposure measure used in the leverage ratio is the sum of the exposure amount for all products Interest rate Equity Forex Commodity Options Netting of long and short position is done at instrument level The post netting value is considered as exposure measure While calculating exposure amount for subsidiaries that are part of regulatory consolidation and used in the leverage ratio the exposure amount is limited to the share holding percentage For example A subsidiary which is part of regulatory consolidation and parent holding in the subsidiary is 45 only exposure amount limited to 45 is Oracle Financial Software Services Confidential Restricted 205 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 considered for exposure measure calculation Similarly if the holding is more than 50 the entire amount is considered for exposure measure calculation Capital Measure Calculation Capital measure is calculated in BASELI_CAPITAL_STRUCTURE process
155. apital Consolidation Level Run Definition User Defined LE Solo Consolidation Cap Consl Basel Entity Tyr Run_Validation Cap Consl Effective Shareh Cap Cons Basel Approach EXCHANGE RATE_DATA_ RUN_EXE PARAMETERS 4 W p saca laQloscal In the preceding figure Rules DTs and T2Ts mapped to a Sub Process Capital Consolidation Approach Oracle Financial Software Services Confidential Restricted 52 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 are as follows Rules Run Product Code Assignment Type 3 Rule Run Definition Mode Assignment User Defined Type 3 Rule Run Definition User Defined Run Param Assignment Type 3 Rule Capital Consolidation Level Selection Type 3 Rule Cap Consl Basel Entity Type Reclassification Type 2 Rule Cap Consl Effective Shareholding Percent of an Entity Type 3 Rule Cap Consl Basel Approach Type Reclassification for Entity Type 2 Rule Basel II Credit Rating Reclassification Type 2 Rule T2T ENTITY INFO DATA POP ENTITY SHR HLD PERCENT POP GL ACCT CAPITAL HEAD POPULATION RATING_DETAILS_DATA_POPULATION NON_SEC_EXP_DATA_POPULATION MITIGANT_DATA_POPULATION NON_SEC_EXP_DATA_POPULATION DT Raun Validation Run Param Validation Upd_Rating Details This document will help you navigate to the smallest element of a Rule You can similarly navigate to the smallest element of a T2T and DT Rule
156. ariable x Optimizer Available Hierarchies Selected Hierarchies a s e lt lt Am m P lt 4 m i r Objective Function Coefficient SEARCH i Operation Type a Minimize Maximize Integer Identifier Output Pooling Required 7 Pooling Basis SEARCH Output SEARCH Done F amp Local intranet Protected Mode Off fav 100 y Once all the input parameters are given you can save the definition with proper name in the desired segment This definition can be added in the optimizer task for the execution Optimizer updates the covered factor for each exposure based on the objective function and the constraints defined by you Mitigant Allocation Optimizer Pooling is performed to identify the below cases One or Many Exposure to One Mitigant One Exposures to Many Mitigants Many Exposures to Many Mitigants The treatment of each of the pooled cases in the optimizer engine has been detailed in the following section One or Many Exposure to One Mitigant The Case one or many exposure to one mitigant is treated as follows by the optimizer engine o First the exposures are sorted from highest risk weight to lowest For advanced approach the sorting is based on the capital o EAD amount of each exposure post credit conversion is determined o The credit risk mitigant is allocated to the exposure with the highest risk weight If there is more than one exposure with the same risk weight the exposure with the lowest cur
157. ary data is considered All the GL line items are expected at Solo level for each entity The consolidated data is discarded Assumption The GL codes are expected to be unique across entities in STG_GL_DATA and DIM_CAPITAL_ACCT_HEAD Oracle Financial Software Services Confidential Restricted 185 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Process Flow Level Selection and Approach Selection Calculation Gross Capital Calculation for T1 T2 and T3 Internal Transaction and Reciprocal Cross Holding Transaction Regulatory Adjustment to Tier 1 and Tier 2 Calculation of Net Capital Total Capital Calculation RWA Calculation for CR MR OR and Phase in arrangement Capital Ratio Calculation Level Selection and Approach Selection Calculation To process the Capital for a Banking Organization the organization level at which the capital has to be calculated and also whether to execute Solo Run or Consolidation Run must be defined If Solo is selected only for that particular selected banking organization the capital is calculated and if Consolidation is selected all the entities that fall under the umbrella of the selected organization is part of Capital calculation This is done in task Capital Consolidation Level Selection in process CAPITAL_CONSOLIDATION Based on the share holding percentage of the Parent Bank in the subsidiary and the consolidation approach to be fo
158. as follows One integrated application which allows for multiple jurisdictional computations Different approaches have been configured for various portfolios Financial institutions can migrate to more advanced approaches as and when required Oracle Financial Software Services Confidential Restricted 3 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Comprehensive coverage of Credit Risk Mitigation techniques which ensures optimum allocation of Credit Risk Mitigants to exposures for maximum RWA reduction Extensive pre built instrument coverage built to meet Basel II and III guidelines which means banks can get up and running quickly with minimal preprocessing It is a fully transparent application where all Rules and Approaches are visible to business users and reviewers auditors Audit Trail is present to maintain accountability of Rules changes user activity or system modifications Integrated Stress Testing Framework This Assess regulatory capital requirements under stress scenarios as per guidelines within a single system for Compliance Strategic decision making Capital planning Comprehensive and user friendly modeling framework providing industry standard statistical techniques and business models for PD LGD and EAD o The application has the capability to build or host models 1 3 Application s Interface with
159. as vw Alias gt Alias Definition Add mode 2 Alias Details Entity Alias Name CEGM Save Cancel User Info User Comments 2 User Info Created By Creation Date Last Modified By Modification Date Authorized By Authorization Date The Alias Details grid in the Add Alias screen displays the entity name you have selected in a non editable field 3 Enter the Alias name you wish to provide for the selected entity in the Alias Name field Oracle Financial Software Services Confidential Restricted 69 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 4 Click Save The Alias name is listed under the Aliases grid for the selected entity The User Info section at the bottom of Add Alias screen displays metadata information about the Alias Name created The User Comments section facilitates you to add or update additional information as comments You can view individual Alias definition details at any given point To view the existing Alias definition in the Alias screen select the required Alias and click the icon The View Alias screen displays the details of the selected Alias definition The User Info grid at the bottom of the screen displays the metadata information about the Alias definition along with the option to add comments You can remove Aliases which are assigned for an entity by clicking m icon Data Sets Data Set refers to a group of tables whose int
160. asures You can select maximum of five measures and a single Hierarchy to the target In Measure Selector Hierarchy Selector screen you can o Search for a member by specifying the nearest keyword and clicking A button o The Pagination option helps you to manage the view of existing members within the system Oracle Financial Software Services Confidential Restricted 100 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 o Click button to view the details of a selected member o Click Ascending or Descending button to sort the selected components in Ascending or Descending order PA o Click or 1 button to re arrange the selected list of members o Click tl button to remove selected measures from the Selected Measures Selected Hierarchies pane 4 Click OK The selected members are listed in the Rule Definition New Mode screen In the List grid you can also o Click LA icon to move a selected member between Filter Source or Target o Click icon to view the selected member details Once all the necessary information in the first screen of the Rule Definition New Mode 1s populated click Next button to navigate to the concurrent procedures of defining a Rule Hierarchical Member Selection The second screen of Rule Definition New Mode screen displays all the information you have provided in the Linked to and Master info grids You can view the filters you have
161. at reporting group level both internal and standardized as well as at firm level Loan Loss Forecasting and Provisioning International Financial Reporting Standards IFRS guidelines have set out requirements on classification and measurement of financial assets and liabilities It specifies two approaches for the measurement of assets namely Amortized Cost and Fair Value approach The 3 phases in which IFRS 9 is issued is as follows Phase I Classification amp measurement Phase I Impairment Phase III Hedge Accounting Oracle Financial Services Loan Loss Forecasting amp Provisioning addresses the requirements of Phase II Impairment of IFRS 9 The exposure draft on Phase II requires institutions to adopt an Expected Loss approach for impairment provisions LLF amp P supports two approaches Incurred Loss and Expected Loss to impairment provision calculations LLF amp P fills a key gap in bank s credit risk suite of applications Basel committee has strongly supported the move from incurred loss approach to expected loss approach for provisioning calculation Market Risk Oracle Financial Services Market Risk is concerned with the estimation of market risk for the portfolios held by the bank These portfolios may belong to the trading book or the banking book Oracle Financial Services Market Risk enables a bank to estimate the market risk of a portfolio based on its underlying positions through the estimation of risk measur
162. ating The risk assigned to a particular rating is as per Basel guidelines The risk weight rules operate on the basis of risk weight table FSI_RW_MAP_ MASTER Highly rated exposures are allocated low risk weight and correspondingly poorly rated exposures are allocated high risk weights In case the exposure has more than one rating rated by more than one agency the final rating is assigned on the basis of multiple assessments The application updates the risk weights against the exposures directly when ratings are not used Options for risk weighting are selected during Run definition in case of Run Management Runs or a setup code from USR DEFINED RUN PARAMETERS is set in the rule Run Definition User Defined Run Param Assignment The details on how to set up this table is discussed in the section Run Management Oracle Financial Software Services Confidential Restricted 151 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Apply Risk Weight 1 using Sovereign Ratings Apply Risk Weight 1 using Sovereign Ratings Yes Apply 100 Risk Weight Apply Risk Weights Yes using ECA Scores Risk Weight Process START Option lor for Banks Option lor for PSE s Apply 100 RW for Corpor ate ECA Scores for Soverei ene Assign Risk Weights and Ratings after multiple Update ratings and risk weights after issue vs issuer Assign Risk Weights dir
163. ation section 2 Click Stored Procedure in the Transformation Process Flow grid 3 Click icon in the Parameter Definition tool bar A new row is inserted and allows you to define the run time parameters to the transformation o Double click the Parameter Name and enter the details o Double click and select the required Data Type from the list o Double click on the Default Value and enter the details 4 Click Browse in the Stored Procedure Editor tool bar and navigate to the file path containing the stored procedure You can select either a text file or HTML file You can click icon in the Stored Procedure Editor tool bar to Check Syntax of the stored procedure You can upload a Business Process Flow diagram corresponding to the selected Stored Procedure Transformations in jpg png gif or vsd format o Inthe Business Process Flow grid click Browse and locate the file path o Click E icon in the Business Process Flow tool bar and upload the file Once uploaded the Upload Status changes to Yes and a hyperlinked image icon 1s displayed to view the Business Process Flow diagram in the Post Load Transformation Designer screen You can also view the uploaded Business Process Flow diagram from the Metadata Browser gt Data Transformations screen 5 Click Finish and save the Stored Procedure Transformation details The Transformation details are added to the list in LHS menu and a confirmation dialog is displayed Click OK You can load
164. ave a Post Script either at Global or definition level You can select the ROWID checkbox to create a Merge Statement based on ROWID instead of Primary Keys In a Rule Execution ROWID is considered while creating Merge Statement if Use ROWID checkbox is selected in either Global Parameters Configuration screen or Use ROWID Rule definition properties If Use ROWID checkbox is not selected in either Global Parameters Configuration screen or Rule definition properties then the flag is set to N and Primary Keys are considered while creating in Merge Statements 8 Click OK The properties are saved for the current Rule definition Add Members to Filter You can define filters for a Rule definition such as Hierarchy Filter Data Element Filter Hierarchy or Filter Group NOTE In order to access Filter Selector screen and to select the pre defined filters you need to have FILTERRULE function mapped to your role To create a filter for a Rule in the Rule Definition New Mode screen 1 Click El icon from the List grid and click the W icon The Filter Selector screen is displayed Oracle Financial Software Services Confidential Restricted 97 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 3 Filter Selector Webpage Dialog Search in A1234s Filter Group vw like Ascending Descending List 16 Page 1 1 Jump to page Selected Filters 4
165. be used to optimize Merge Query by selecting the specified query For example SELECT IS PARALLEL Select Hints In a Rule Execution Merge Query formed using definition level Select Hint precede over the Global Select Hint Parameters defined in the Optimization tab of System Configuration gt Configuration screen In case the definition level Select Hint is empty null Global Select Hint if defined is included in the query Oracle Financial Software Services Confidential Restricted 96 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Field Name Description Refers to a set of semicolon separated statements which are to be executed before Merge Query on the same connection object Pre Seript In a Rule Execution Global Pre Script Parameters defined in Configuration screen are added to a Batch followed by Rule definition level Pre Script statements if the same has been provided during rule definition However 1t is not mandatory to have a Pre Script either at Global or definition level Refers to a set of semicolon separated statements which are to be executed after Merge Query on the same connection object Post Script In a Rule Execution Global Post Script Parameters defined in Configuration screen are added to a Batch followed by Rule definition level Post Script statements 1f the same has been provided during rule definition However it is not mandatory to h
166. ble for options that are displayed on the Run Definition screen In this table the column names are populated against the questions Configuration of RM_SETUP_APPROACH_DETAILS is explained in Run Management Maintenance section The column names and values that need to be updated for the selected option are given in the below table Regulation Basel Segment IFSB Approach Hierarchy Selected Option run_parameters run_param column name eters column value Non Securitization Standardized Claims on Sovereign Yes Use ECA Country Scores for risk weighting claims on Sovereign OPT0004 v_nss_eca_for_soverign mom Non Securitization Standardized Tene oClaims on PSE OPTOO08 Option used for claims on domestic PSEs v_nss_rw_option_dpse pu Non Securitization Standardized oClaims on Bank OPT0012 Option for risk weighting claims on IIFS v_nss_rw_option_bank none Non Securitization Standardized OPT0016 oClaims on Corporate Supervisor permission to risk weight all corporate claims at 100 v_nss_100pct_rw_corp No OPT0017 Non Securitization Standardized a oEquity Exposures In Banking Book Method v_nss_equity_approach OPT0034 Option for risk weighting Equity Exposures In Banking Book Non Securitization Standardized V_CRM_METHOD ens OCRM Approach for Banking Book Approach OPT0053 Forms Approach OPT0054 Non Securitization Standardized eii OHaircut P y v_ns_haircut_method OPT0056 Securitization Standardized N A v_sec_approach OPT0500 Standar
167. ble hierarchies under the selected Folder 2 Select the checkbox s adjacent to the Hierarchies that you want to select as Job condition 3 Click gt to move the selected hierarchies to the Selected Hierarchies pane In Hierarchy Selector screen you can also o Search for hierarchies by specifying the nearest keyword and clicking A button o The Pagination option helps you to manage the view of existing Hierarchies within the system o Click 4 button to view the details of a selected Hierarchy o Click Ascending or Descending button to sort the selected Hierarchies in Ascending or Descending order o Click L or L button to move up or move down the selected Hierarchies o Click button to remove selected Hierarchies from the Selected Hierarchies pane NOTE Ensure that you have selected only one Job Condition and the same hierarchy is not selected as both Run amp Job conditions 4 Click OK The selected hierarchies are listed in the Run Definition New Mode screen In the List grid you can also Oracle Financial Software Services Confidential Restricted 125 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 o Click LA button to move a selected member between Run Condition and Job Condition o Click button to view the selected member details Once all the necessary information in the first screen of the Run Definition New Mode is populated click Next but
168. c User Guide Release 6 0 0 0 0 Business Metadata Management 2 3 1 Data Integrator Framework Data Integrator framework within the infrastructure system is a comprehensive data integration platform that facilitates all the data integration requirements from high volume and high performance batch loads to event driven integration processes and SOA enabled data services Data Integrator is a software application based on the ETL Extract Transform Load structure which is used for data transformation and merging In Data Integrator you can standardize and integrate the data from various source systems into a single standard format for data analysis To better understand the OFS Basel Regulatory Capital application the following components of the Data Integrator framework is elaborated in this section Warehouse Designer Post Load Transformation Warehouse Designer In the Warehouse Designer you can define Data Source Models Map Data Source to Applications and associate Database Extracts to a Table File for data extraction The Warehouse Designer consists of the following sections o Data Sources o Database Extracts o File Extracts Data Sources Designer Data Sources Designer within the Data Integrator Framework of the Infrastructure facilitates you to generate data models by defining and mapping the required applications and data sources You Business Analysts need to have ETL Analyst function role mapped to access the Dat
169. c to the current download Once the pdf is generated you can open save the file from the File Download dialog You can either save the file on the local machine or view the file contents in a PDF viewer The downloaded PDF displays all the details such as Linked to Properties Master info Audit Trail List Mapping Details and Comments of all the Process definitions selected Trace Process Definition Details You can trace the metadata details of individual Process definitions To trace the underlying metadata details of a Process definition in the Process screen 1 Select the checkbox adjacent to the Process Code whose details are to be traced 2 Click L button from the List toolbar The Process Definition screen is displayed with the details such as Traced Object Name and Definition Type other Processes and Runs in which the selected Process is used In the Trace Definition screen you can also select individual Process or Run and click button to view the definition details Oracle Financial Software Services Confidential Restricted 118 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Delete Process Definition You can remove Process definition s which are no longer required in the system by deleting from Process screen 1 Select the checkbox s adjacent to the Process Code s whose details are to be removed 2 Click Mi button from the List tool bar 3 Clic
170. can add a record new setup codes with options by looking up information from RM_SETUP_APPROACH_DETAIL the setup table for options that are displayed on the Run Definition screen In this table the column names are populated against the questions Configuration of RM_SETUP_APPROACH_DETAILS is explained in Run Management Maintenance section The column names and values that need to be updated for the selected option are given in the below table Regulation Basel Segment IFSB Approach Hierarchy Selected Option run_parameters run_param column name eters column value Non Securitization Standardized Claims on Sovereign Use ECA Country Scores for risk weighting claims on Sovereign OPT0004 v_nss_eca_for_soverign Oracle Financial Software Services Confidential Restricted 140 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Approach Hierarchy Selected Option run_parameters run_param column name eters column value Non Securitization Standardized Lee oClaims on PSE P OPT0008 Option used for claims on domestic PSEs v_nss_rw_option_dpse pa oro Non Securitization Standardized eran oClaims on Bank OPTOO12 Option for risk weighting claims on IIFS v_nss_rw_option_bank Pe oPTooi3 Non Securitization Standardized OPT0016 v_nss_100pct_rw_corp OPT0017 Non Securitization Standardized Simple Risk Weight oEquity Exposures In Banking Book Method v_nss_equity_ approach OPT0034 Supervisor p
171. cation cannot be deleted 1 Select the required application from the LHS menu The application details are displayed in the Define Applications grid 2 Click button in the Define Applications tool bar Click OK in the information dialog to confirm deletion Define Data Sources Data Source refers to the physical structure or location of the source file Data Source can either be a file or a table with rows and columns and can reside on a remote server or on a local desktop machine Applications access Data Source using a FTP connection You can define Data Sources and also modify or remove the Data Source details in the Source Designer screen To define Data Source in the Define Sources grid 1 Enter the Source Name of the data source 2 Enter a description or related information about the application 3 Select the Source Type as either Flat File default or RDBMS If Flat File Source Type is selected select the server Type as either Local or Remote from the drop down list and enter the details as tabulated NOTE For source type as Flat File Remote the fields 1 e Server port FTP drive FTP share Source date format and password are mandatory Fields marked in red asterisk are mandatory Specify the Source Date Format to be used as default date format for source data Local extraction and mapping which is unless modified in the Define Extracts screen Server Name Enter the Server Name or IP address where the Data S
172. cesses and Runs in which the selected Rule is used In the Trace Definition screen you can also select individual Process or Run and click 43 button to view the definition details Delete Rule Definition You can remove Rule definition s which are no longer required in the system by deleting from Rule screen 1 Select the checkbox s adjacent to the Rule Code s whose details are to be removed 2 Click button from the List tool bar 3 Click OK in the information dialog to confirm deletion An information dialog is displayed confirming the deletion of the Rule definition s and asking the authorization Oracle Financial Software Services Confidential Restricted 107 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 2 4 2 Process A set of rules collectively form a Process A process definition is represented as a Process Tree The Process option in the Rules Framework provides a framework that facilitates the definition and maintenance of a process By defining a Process you can logically group a collection of rules that pertain to a functional process You can define a Process with the existing metadata objects using a hierarchical structure which facilitates the construction of a process tree Process tree can have many levels and one or many nodes within each level Sub processes are defined at level members and process hierarchy members form the leaf members of the tree NOTE
173. ch is the summation of Net CET1 and Net AT1 Capital amount post regulatory adjustment Exposure Measure is the summation of on balance sheet items off balance sheet items Over the Counter OTC Structured Financial Transactions SFT securitization and all market related instrument s transaction amounts Mitigation amount is not considered while calculating exposure amount An additional Total Asset of the Entity where parent bank holding is more than 10 of the issued common share capital of the entity and entity is not part of the regulatory consolidation also forms a part of the Exposure Measure Oracle Financial Software Services Confidential Restricted 202 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 NOTE While executing a solo Run the parent entity s exposure amount related to on balance sheet items off balance sheet items OTC SFT securitization and market related instruments are considered The total consolidated asset of the significant entity 1s not calculated in exposure measure while executing a solo Run Executing a consolidated Run requires subsidiary data and total consolidated assets of significant investment entity Assumptions Total additional asset to be included in the Exposure Measure calculation for the Significant Investment subsidiary is not explicitly stated in the Basel III Rules June 2011 revision hence we have followed the instructions as published by BIS in
174. ch the consolidation is done is identified by the application You can choose solo or consolidation level for each entity in the rule present in the capital consolidation process This particular process handles entity level details The entity data is captured in Legal Entity Details table All the child entities underlying a parent will be considered for RWA consolidation When consolidation is the level selected for a reporting bank each child entity data is consolidated with the parent entity post Entity shareholding percent multiplication Rating Process Rating data is expected for all instruments which bears an interest rate risk The rating data is reclassified into Basel equivalent standard rating and the standard rating is considered for assigning specific risk charge for each interest rate instrument In case there exists multiple ratings for the same issue the application does a multiple assessment check as per the multiple assessment logic detailed in the Basel I guidelines Market Risk Process Market Risk Process includes position conversion and capital charge calculation for each instrument type as detailed below Position Conversion Position conversion is done before capital charge calculation under market risk In Position Conversion different instruments are broken into long and short positions and carried forward for specific and general risk charge calculation All derivative instruments undergo position conversion so that
175. checked CNT2 E CNT2 Total Unchecked Country H0153 C Country Country Hier1 CNTYHIE1 Country Hier2 CNTYHIE2 COUNTRYH CONH CountryH1 CH1 CountryH111 CH111 CountryH2 CH2 CountryH22 CH22 CountryH222 CH222 HIERSK2 HIERSK2 JPHR1 Total Checked JPHR1 MLSTEST sd MLSTEST RRFHIER2 RRFHIER2 O O O O O O O O O O The LHS pane of the Hierarchy Selector screen displays the available hierarchies under the selected Folder 2 Select the checkbox adjacent to the Hierarchies you want to select as Source 3 Click l gt icon to move the selected hierarchies to the Selected Hierarchies pane You can select maximum of nine Sources for a Rule In Hierarchy Selector screen you can o Search for a member by specifying the nearest keyword and clicking A button o The Pagination option helps you to manage the view of existing Hierarchies within the system o Click 4 button to view the details of a selected hierarchy Oracle Financial Software Services Confidential Restricted 99 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 o Click Ascending or Descending button to sort the selected components in Ascending or Descending order dle o Click or L7 button to re arrange the selected list of hierarchies o Click button to remove selected hierarchies from the Selected Hierarchies pane 4 Click OK The selected hierarchies are listed in the Rule Definition New
176. counterparties pastdue OPT0025 subject to a 150 RW e No Non Securitization Standardized OPT0027 oUse of 0 RW for Gold Bullion held in own vaults or on allocated Yes v_nss_0_rw_for_gold Non Securitization Standardized oPast Due basis OPT0028 OPT0030 v_nss_borrower_ccy_rat _mdb OPT0031 Non Securitization Standardized Simple Approach OPT0037 oSFT v_ns_sft_method VaR Model OPT0039 M v_ns_otc_method M M Non Securitization Standardized oUse of borrower s domestic currency rating for exposure in foreign exchange transactions Non Securitization Standardized oOTC Standard Approach OPT0043 Non Securitization Standardized CEM OPT0045 oLong Settlement Transactions v_ns_lst_approach OPT0046 Standard Approach OPT0047 Non Securitization Standardized Supervisory Haircut v_ns_haircut_method OPT0056 oHaircut Own Estimate N A Yes O IM CE IM CE OPT0057 Securitization Supervisory Formula Approach V_SSF_SIMPLE_N_L OPT0611 oUsage of Simplified Method for computing N and LGD GD N Standardized Approach v_mrs_interest_rate_met OPT1003 oInterest Rate Risk Gener al Market Risk hod Duration Method OPT1004 General Market Risk Maturity Method Standardized Approach Mae tate v_mrs_commodity_risk OPT1008 oCommodity Risk Simplified Approach _method OPT1009 Standardized Approach v_mrs_options_method OPT1013 oOptions Simplified Approach OPT1014 Delta Plus Approach ae Maturity Ladder Approach
177. creen you can generate Source Model using Data Catalogs You can specify the Filter criteria for selection Filters are patterns for entity names in the Database and can restrict the source model generation to a specific set of entities Specify the filter entries by entering details in the Starts with Contains and Ends with fields The Source Model is generated even 1f one of the specified filter conditions matches You can also specify multiple conditions for a single filter type using comma separated values For example tables starting with TB and TM can be specified as TB TM 4 Click Generate The Source Model is generated and the status is displayed in a confirmation dialog Click OK NOTE If the Source Model has already been generated a confirmation dialog is displayed to replace the existing model Click OK or Cancel The Source Model is generated in the specified directory which has to be extracted or transferred to the Business Data Model Database Extracts Data extraction refers to the process of retrieving unstructured data from data sources for further data processing storage or migration You can extract data sources to a Table or a File You Business Analysts need to have ETL Analyst function role mapped to access the Data Integrator framework within the Infrastructure system Oracle Financial Software Services Confidential Restricted 17 User Guide Oracle Financial Services Basel Regulatory Cap
178. ct hierarchies from available hierarchies Pooling is done based on the combinations of the selected hierarchy In the output tab you can select the measure for pooling output Once all the parameters are selected you can save the definition in the desired segment This pooling definition can be added in pooling task for execution On successful execution it assigns pool ID to exposure mitigant combination A pre requisite for Optimizer is to update the pool id in Sub Exposures table for a selected Run Optimization definition 1 Click the Basel Regulatory Capital tab under Risk Applications section on default screen 2 Click the Optimizer tab Oracle Financial Software Services Confidential Restricted 158 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 BASEL II ORACLE E BASEL II y E gt 9 Portfolio Definition B i Run Definition Run Execution Dataset SEARCH Attribution Analysis Pooling Define Objective Function X Variable Optimizer Available Hierarchies Selected Hierarchies a gt gt lt lt vr UH vr lt m r lt 4 m Objective Function Coefficient SEARCH Operation Type Minimize Maximize l Constraints Integer Identifier No Constraint Name No Constraints Available X Variable Bounds No Bounds defined Allocation based on rank 3 Local intranet Protected Mode Off fa y 100 v
179. cter position tab space The data is formulated in such a way that the data fields are of same size and the file is compact in size For example the character spacing of a Birth date data column is known and hence the extra spaces between the Birth date column and other column can be eliminated File Extract File Extract 2 Define Extract BB 8 Flat File Name File Load Type Applications 2 Flat File Entities dll 1 5 5 Source Table Source Column Data Type Field Order Date Format OOL_MAPPING ACCOUNT_POOL_MAPPING model_id EDINK_1 Fid_2 Stri 2 EDINK_1 2 Source Target mappings co Hm Ww F 1 2 2 a Source Table Source Column Target Table Target Column Null If Default If Expression Transformations MisDate ACCT_TP_RATES d_period_end_date Transformations SysDate ACCT_TP_RATES d_period_start_date Z Transformations FileName CCT_TP_RATES The File Extracts screen displays the list of pre defined File Extract Mappings in the LHS menu and the options to define and Map the required Flat File to populate the required Database Table In the File Extracts screen of the Warehouse Designer you can Define Flat File definition and Source Properties Map the Flat File to Target model Table and Specify Target Properties Oracle Financial Software Services Confidential Restricted 24 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide R
180. curitization Standardized oHaircut Supervisory Haircut v_ns_haircut_method OPT0056 _ o Standardized Approach General Market Risk Duration Method v_mrs_interest_rate_method OPT1003 oInterest Rate Risk Standardized Approach Simplified Approach v_mrs_options_method OPT1013 oOptions Delta Plus Approach OPT1014 Segment BRAZIL Approach Hierarchy gt Seed Option RUN PARAMETERS estama name colma Approach Hierarchy Selected Option RUN_PARAMETERS column name column value Non Securitization v_crm_method Eee ETE CN Regulation Basel IT Segment BIS Approach Hierarchy Selected Option RUN_PARAMETERS RUN_PARA column name METERS column value Non Securitization Standardized Ow OPT oClaims on Sovereign v_nss_eca_for_soverign OPT0004 Ye Use ECA Country Scores for risk weighting claims on Sovereign Non Securitization Standardized opro oClaims on PSE Option I v_nss_rw_option_dpse OPTO00S Option used for claims on domestic PSEs Option II OPTOOO9 Non Securitization Standardized OPT oClaims on Bank Option I v_nss_rw_option_bank OPT0012 Option for risk weighting claims on Banks i Option II OPT0013 Non Securitization Standardized OPTO016 v_nss_100pct_rw_corp oClaims on Corporates OPT0017 Supervisor permission to risk weight all corporate claims at OPT0020 v_nss_lower_rw_cre 100 without regard to external rating Non Securitization Standardized oClaims Secured by Commercial Real Estate Yes Has the national supervi
181. cution are as follows View defined parameters of a Run Parameters can be entered at the Run Level The Existing Parameter values can be edited and there is an option to create and execute a batch Oracle Financial Software Services Confidential Restricted 224 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Portfolio Definition Adding a New Hierarchy for Portfolio Creation To add a new hierarchy for portfolio creation the hierarchy code needs to be added in PORTFOLIO_HIERARCHY_MASTER as shown below V_HIERARCHY_CODE Contains hierarchy code of the hierarchy to be added F_LATEST_RECORD_INDICATOR To be set to Y for the hierarchies which have to be displayed D_RECORD_START_DATE Start date of the hierarchy D_RECORD_START DATE End date of the hierarchy Portfolio Definition Screen To access the Portfolio Definition Screen 1 Click Risk Applications on the Left Hand Side LHS pane of OFSAAI Screen 2 Click Basel Regulatory Capital 3 Click Portfolio Definition ORACLE p Basel Regulatory Capital Basel Regulatory Capital Portfolio Definition Summary e Run Definition E Run Execution E Attribution Analysis Portfolio Name Pooling st Optimizer amp Portfolio ES y 1to9of 9 Name Description Created By Creation Date Last Modified By Last Modification Date dd d SHIKHA 01 17 2013 E test4s tt SHIKHA 02 08 2013 tests6 testS6 SHIKHA 02 08 20
182. d ensure that there are no applications mapped If a model is generated using the Data Sources the same cannot be unmapped and neither be deleted 1 Select the required Data Source from the LHS menu The Data Source details are displayed in the Define Sources grid 2 Click button in the Define Sources tool bar Click OK in the information dialog to confirm deletion Map Data Sources to Applications You can associate the defined data sources to the required applications using the Map functionality You can map one or more data sources to serve multiple applications and load separate sources of data into the warehouse When mapped the application and all the associated data sources are grouped You can identify the source data with reference to the source business application To Map Data Sources to Application in the Map grid select the required Application to map the Data Sources Do one of the following Select the Application from the Mapped Sources list in the LHS menu Select the Application from the Application drop down in the Map grid On selection the mapping details for the selected Application are displayed in the Available Sources available and Source Applications mapped list To map the Data Source to the selected Application do one of the following o Select the required Data Source from the Available list and click L gt button You can press Ctrl key for multiple selections To map all the listed Data S
183. d from CET1 will be risk weighted at 100 Since investment in accounting entities which are outside the scope of regulatory consolidation by parent bank are long term investments and mostly into equity related instruments therefore these investments does not undergo any Credit Risk Mitigation process The GL codes are expected to be unique across entities in Stage General Ledger Data STG_GL_DATA and Capital Accounting Head Dimension DIM_CAPITAL_ACCT_HEAD Oracle Financial Software Services Confidential Restricted 193 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Process Flow Capital Consolidation Calculate the Minority Interest in CETL AT and T2 belonging to third party and Internal transactioninCET1 AT and T2 Gross Capital Calculation for CET1 AT1 and T2 Regulatory Adjustment Phase intreatment for Regulatory 4djustment Insignificant Investment treatment for accounting entity where Parent Bank Holding is not more than 10 of issued common shares Significant Investment Treatment for accounting entity where Parent Bank holding is more than 10 if issues common shares Threshold Deduction Post Phase in Treatment Regulatory Adjustment and Threshold Deduction Bifurcation of Insignificant and Significant Investment amount Net Capital Calculation RWA Calculation for CR MR OR and Phase in arrangement Capital Ratio Calculation e Calculate the Minority Inter
184. d from Tier 1 or CAR Does the application have a provision for that Yes The application is flexible to compute such changes It can be modified to compute buffer from Tier 1 Capital and CAR The logic for computing this buffer is similar to the one used for Buffer from CET 1 Capital The application can calculate buffer form Tier 1 Capital by taking remainder of following o Excess of Tierl Capital Ratio over benchmark 6 0 after catering to the shortfall if any in Tier 2 Capital to its respective benchmark level which is 2 minus Required Benchmark Buffer from CET1 Capital Hence Capital Conservation Buffer excludes any additional CET1 needed to 8 Total Capital Ratio To calculate buffer form Total Capital remainder of following is taken o Excess of Total Capital Ratio over benchmark 8 0 minus Required Benchmark Buffer from Tier 1 Capital Credit Valuation Adjustment Question 11 How will the application handle Index Decomposition if data for index is not provided and index decomposition is selected In this case the application will calculate CVA charge without decomposition The Run can be successfully executed and Index Hedge position will be treated with decomposition Question 12 How does the application handle an Index Hedge position marked to counterparty wherein multiple counterparties which are part of Index and Index decomposition are selected The application creates a single name CDS hedge for all the cou
185. d improve insight into customer behavior Data in the Basel Regulatory Capital Requirement application is configured and computed using the components of OFSAAI The main objective of this section is to familiarize you with the important modules of OFSAAI to help understand the functionality of the Basel Regulatory Capital Requirement application This module documents the following e Unified Metadata Manager Data Integrator Framework Data Entry Forms and Queries Metadata Browser Business Metadata Management Rule Framework System Configuration Segment Metadata mapping e Administration Save metadata Utilities o User Group Batch execution Map 2 2 Access OFSAA Infrastructure Infrastructure can be accessed through your web browser as soon as the System Administrator SA installs and configures Oracle Financial Services Analytical Applications Infrastructure The SA will provide you with a link through which you can access Oracle Financial Services Analytical Applications Infrastructure You can access the Infrastructure application using this link For more information on Starting Infrastructure Servers refer OFSAAI 7 3 Installation manual 2 2 1 OFSAA Infrastructure Login While accessing OFSAAIT the Splash screen is as displayed Oracle Financial Software Services Confidential Restricted 8 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Fin
186. de Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Slowly Changing Dimension batch The needs to be executed when you are installing the application for the first time Subsequently this batch needs to be executed only when new data is added The tasks processed and the order in which the tasks are processed are specified in the Run Charts Basel Common batch The following tasks are mapped to the Basel Common batch Data Population This task populates the table DIM_DATES Party Role Map Calculation This task populates the party and the role mapping from STG_PARTY_ROLE_MAPPING to FSI PARTY_ROLE_MAPPING FSI IRCS Calculation This task populates FSI_IRCS from STG_IRC_RATE_HIST PARTY_FINANCIAL_DATA_POPULATION Batch Populates the party financial data Need to be executed as required when the party financial data is available BASEL_DAILY Batch This batch is to be executed on a daily basis This batch is used to populate the exchange rate between different currencies for each date 5 2 3 Run Management The Run Management framework is a unique feature of the Basel Regulatory Capital application which enables a business user without assistance from a technical analyst to easily define and execute a Run This framework allows you to define a Run by selecting a combination of different Basel approaches for RWA computation It also allows you to define a Run for a combination of portfolios The applicatio
187. define an expression to join the column data corresponding to each table 1 Click Eng button in the Extract Entities tool bar 2 Inthe Specify Expression screen do the following o Enter the Expression Name O Time Number Integer and Timestamp 3 Define an expression by doing the following o Select the Table in the Entities section O Oracle Financial Software Services Confidential Restricted Select the Data Type from the drop down list The available options are String Date Select the Function You can select Transformations Database Functions or 19 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 4 NOTE Extraction Functions Extract functions are populated from the DATABASE_ABSTRACT_LAYER table which resides in config schema Define the Operators by selecting Arithmetic Concatenation Comparison Logical or others operators Specify the ANSI Join or Join to map the table to columns and enter the filter criteria to include during extraction For example SMISDATE can be a filter for run time substitution of the MIS Date procedure that has a placeholder for String data type enclose the placeholder in single quotes Using double quotes would generate error during extract definition or batch execution Also expressions with Date Timestamp data type placeholders are not supported In the Expressions tool bar you can also
188. define transformations to the source data before extracting loading it to Target database to populate the data warehouse amp Data Integrator Post Load Transformation Designer Transformations amp Transformation Process Flow ES TE insert Transformation P Post Load e 3 4 Update Transformation 4 d 1 auf Transformation B E Input Parameters A Stored Procedure 4 External Library amp Post Load Transformation Definition Name PLTD_Trans_1 PA Post Load Transformation Definition Transformation One escripti Next Reset The Post Load Transformation Designer screen displays the list of pre defined Transformations in the LHS menu and the Transformation Process Flow to help you navigate and define Post Load Transformations The Post Load Transformation Designer screen facilitates you to create update and delete the following transformations s Insert Update Transformation Stored Procedure Transformation e External Library Insert Update Transformation Insert Update Transformation facilitates you to define transformation parameters create expression with source destination and join filter conditions add transformation logic and query the SQL Rule generated To Insert or Update Transformation in the in the Post Load Transformation Designer screen 1 Click icon in the Transformation Process Flow tool bar 2 Inthe Post Load Transformation Definition grid o Enter the Transformation Name Ensure that there are no s
189. dequacy published on June 2006 Offsetting of position for specific risk charge is done only in cases where positions are identical and related to the same issuer General Risk Charge General Risk charge is calculated for each interest rate risk exposure for a reporting bank General Risk charge is calculated based on two methods o Residual Maturity Ladder Approach o Modified Duration Ladder Approach Under both the methods the application creates time bands and based on residual maturity or duration places each instrument in the respective time bands for offsetting The matched and unmatched position across time bands and across three zones attracts general risk charge as per the definition stated in Basel II guidelines for market risk o Residual Maturity Ladder Approach Under Residual Maturity ladder the general risk charge is calculated for each currency For multiple currencies the horizontal and vertical disallowance calculation is done by creating separate residual maturity ladder for each currency unless the interest rate risk exposures are insignificant for the reporting bank In case of insignificant exposures in multiple currencies exposures are grouped into a single residual maturity ladder for general risk charge calculation Under residual maturity method the application first creates around 15 residual maturity time bands The time bands definitions are given in the Basel II guidelines based on coupon being less than 3 or equ
190. dized Approach v_mrs_commodity_risk oCommodity Risk Comm y Rips _ method OPT1008 Maturity Ladder Approach OPT1009 Segment CBRC ee column value General Market Risk Duration Method v_mrs_interest_rate_method Standardized Approach oInterest Rate Risk General Market Risk Maturity Method OPT1004 Standardized Approach Simplified Approach OPT1008 oCommodity Risk v_mrs_commodity_risk_method Oracle Financial Software Services Confidential Restricted 240 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Approach Hierarchy Selected Option RUN_PARAMETERS column name RUN_PARAMETERS column value Standardized Approach Simplified Approach OPT1013 oOptions v_mrs_options_method Delta Plus Approach OPT1014 Segment INDIA RUN_PARAMETERS Approach Hierarchy Selected Option RUN_PARAMETERS column name column value Non Securitization Standardized oSFT Simple Approach v_ns sft_ method OPT0037 Non Securitization Standardized v_ns_otc_method oOTC OPT0041 Non Securitization Standardized oHaircut Supervisory Haircut v_ns_haircut_method OPTO056 a gt Standardized Approach General Market Risk Duration Method v_mrs_interest_rate_method OPT1003 OInterest Rate Risk Standardized Approach Simplified Approach v_mrs_options_method OPT1013 oOptions Delta Plus Approach OPT1014 Segment BRAZIL Approach Hierarcny Selected Option RUN PARAMETERS column name cum vue Approach Hierarc
191. dren Parent Siblings Children Descendants or Last Descendants In the Hierarchy Browser screen you can also o Click W or All to sort the members by Code or Name to expand or collapse the members under a node Oracle Financial Software Services Confidential Restricted 126 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 o Click or EM to expand a branch or collapse a branch o Click EX or LE to view the code values of members right or left o Click or to show code or show name of the members o Click a or y to move the members up or down in the Selected Members pane 2 Click button adjacent to a filter details to launch it The Preview SOL Query screen 1s displayed with the resultant SQL equivalent of the launch result The Detail Information grid displays the Jobs and Job Condition defined in the primary page of the Run Definition New Mode screen o Click button adjacent to the Job Names to reorder the selected Jobs o Select the checkbox in the selected Hierarchy member column to apply the Job condition o Click a Job to view the details in the Show Details screen You can click Back button to navigate back to the first page of the Run Definition New Mode screen to modify any details Once all the necessary details are entered Click Save The Run definition is saved with the provided details and is displayed in the Run screen The default ve
192. ds is available to trigger a batch Oracle Financial Software Services Confidential Restricted 235 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 R Run Execution Summary 2 Run Execution Details y 1 to 3 of 3 Run Skey Run Execution Id Time of Execution 70 RQEXE 101 RQ 14 03 12 OE im imi f SSS mimim 103 2 16105 Batch Triggered successfully Batch ID BASEL52_1308182237482_20111125_5 OK 5 2 5 Run Management Maintenance You also have the option of modifying the various parameters in Run Management These parameters can be modified in the Run Management Setup tables The relevant Run Management Setup tables configured in the Basel application are as follows RM_SETUP_SEG_REGULATION_MAP This table contains the list of regulations mapped to each segment Primary key gt V_SEGMENT_CODE V_REGULATION Indicative values V_SEGMENT_CODE Contains the segment Code V_REGULATION Contains the regulation mapped to the segment To add a new regulation under a particular segment an entry needs to be done in the RM_SETUP_SEG_REGULATION_MAP table RM_SETUP_APPROACH_MASTER This table contains the list of approaches used Primary key gt N_APPROACH_KEY V_SEGMENT_CODE V_APPROACH_ENABLED Is a flag to identify if the approach is enabled N_GROUP_ID A unique number for each risk type Value is set to Y if this process is used in all executions for exa
193. duct 2 List 1 Net Pool Nettable Agreement Basel Il Product Type Exclude Nettable Eligibility Yes 2 SFT OTC Cross Product O o The Rule exclude screen displays only the child nodes associated to a Parent node Ensure that the selected parent has associated child nodes and is not the default member in the target o Select the checkbox adjacent to Rule code that you want to exclude and click OK Once all the necessary details are entered click Save The Rule definition is saved with the provided details Oracle Financial Software Services Confidential Restricted 105 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 and is displayed in the Rule screen The default version of a new Rule definition created by an Authorizer 1s 0 and the one created by non authorizer is 1 The Audit Trail section at the bottom of Rule Definition New Mode screen displays metadata information about the Rule definition created The User Comments section facilitates you to add or update additional information as comments You can view individual Rule definition details at any given point To view the existing Rule definition details in the Rule screen select the checkbox adjacent to the Rule Code whose details are to be viewed Click button in the List tool bar The Rule Definition View Mode screen is displayed with all the details of the selected Rule Click Next and Back buttons to navigate b
194. e A A E ABcso0 A500 A1500 C ABCDS00 ABCSO00 ABCS00 E ABH Short ABCD500 ABCD500 ABH Short ABH ABsd AB AC sd AC Amortization Type H1501 asset hierarchy ASSETHIE asset number hierarchy ASSETNUM Bank Base Role H0022 Basel Il Asset Class H0007 Basel Il Bank Role H0023 Basel Il Collateral Type H0018 Basel Il Credit Rating H0010 Basel Il Credit Rating for Collateral El H0113 Basel Il Credit Rating for Mitigant Risk H0142 O O O O O O O O O d O O v Ok Close The LHS pane of the Hierarchy Selector screen displays the available members under the selected Folder 1 Select the checkbox s adjacent to the members you want to select 2 Click gt to move the selected members to the Selected Hierarchies pane In Hierarchy Selector screen you can o Search for a member by specifying the nearest keyword and clicking A button o The Pagination option helps you to manage the view of existing Hierarchies within the system o Click button to view the details of a selected member o Click Ascending or Descending button re arrange the selected list of members h o Click or 1 button to move up or move down the selected members o Click button to remove selected members from the Selected Hierarchies pane 3 Click OK The selected Hierarchies are listed in the Run Definition New Mode screen Select Jobs for Run You can select the required Jobs for the Run defi
195. e Annexure 4 of Basel II guidelines The exposure amount is the sum of current exposure amount and the notional principal multiplied by the add on percent Transactions in which bilateral netting is applicable the exposure amount is netted and calculated Off balance sheet items All the off balance sheet items listed below are converted into credit exposure equivalent through CCF assignment o Commitments including liquidity facilities o Unconditionally cancellable commitments o Direct credit substitutes o Acceptances o Standby letters of credit o Trade letters of credit o Failed transactions and unsettled securities 100 CCF is uniformly assigned However any commitment that is unconditionally cancellable at any time by the bank without prior notice a CCF of 10 is applied The exposure amount for off balance sheet items is obtained after multiplying the undrawn amount with the CCF percent and the exposure amount Securitization Data Population Securitization exposure data is populated to securitization processing table in the process SEC_DATA_POPULATION Securitization Exposure Measure Calculation After securitization exposure data is populated exposure measure is calculated in the process SEC_EXPOSURE_MEASURE_CALCULATION Securitization transactions follow the accounting measure of exposure The exposure amount of both the originator and investor are considered to arrive at the exposure amount The securitization tr
196. e Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 3 Click Run Definition on the LHS Pane The Run Summary Screen is displayed wherein you can define your own Runs Run Definition UI Buttons Name Icon Pagination Options Helps in navigating from one page to another View Pee O tepetoviewdtieoradedRm Y Helps to view details of a defined Run EC A Click this icon to allows er update details of a defined Run ia ndena aae in defining a new Portfolio This icon helps in searching a particular Run Type the Run Name in the Run Name Text Box and Search click this icon The Reset icon refreshes the Run Name field back to the default blank field Defining a Run Follow the steps given below to define a new Run l Select the relevant jurisdiction from the Segment dropdown in the Run Management Screen 2 Click to add a new run 3 Select the Regulation for which the Run needs to be created A 2 Information Domain Information Domain Segment Regulation Basel Il v 4 Enter the name of the Run and a relevant description in fields Run Name and Comments respectively in the Run Management screen 2 Run Information n Name Comments 5 Click to select the relevant run type Capital Calculation or Single Counterparty Exposure for which you want to create the Run shown in the following figure a amp Select Run Type Y Capital Calculation S
197. e Description Select the type of the Run from the dropdown box either as Base Run or as Type Simulation Run 5 Click button in the Master info grid The Properties dialog 1s displayed 3 Properties Webpage Dialog Effective Start Date oxoz2012 55 Effective End Date ox09 2012 5H Last Operation Type Created Y ou can edit the below tabulated details in the Properties dialog Field Name Description Effective Start Date Select the Effective Start Date by clicking H Calendar button Effective End Date Select the Effective Start Date by clicking H Calendar button By default this field displays the last change done to the Run definition While Last operation Type creating a Run the field displays the operation type as Created 6 Click OK The properties are saved for the current Run definition Select Run Condition for Run Y ou can select conditions to preset the initialization mechanism of a Run To select a condition for a Run in the Run Definition New Mode screen 1 Click button from the List grid and select Run Condition W The Hierarchy Selector screen 1s displayed Oracle Financial Software Services Confidential Restricted 122 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 3 Hierarchy Selector Webpage Dialog E Ascending Descending List 20 Page 1 10 Jump to page Selected Hierarchies 3 Name Code Ol Nam
198. e Financial Software Services Confidential Restricted 251 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 all the Sold Credit Protection Underlying data The tagging is achieved by the use of V_EXPOSURE_ID and the V_PARENT_EXPOSURE_ID For a securitization pool being provided protection the V_EXPOSURE_ID is the Pool ID and the V PARENT_EXPOSURE_ID is the Sold Credit Protection ID All the underlying of the Securitization Pool has their individual exposures ID as V_EXPOSURE_ID and the Pool ID as the V PARENT_EXPOSURE_ID For securitization underlying in a resecuritization pool the V_EXPOSURE_ID is the securitization exposure ID the V_PARENT_EXPOSURE_ID in the Sold Credit Protection ID and the F_SECURITIZED_FLAG is Y Question 26 In the case of Investor records how does the application expect the underlying data The data expectancy of Investor records is similar to that of the nth to default sold credit protection The underlying data is expected in the Underlying exposure table with the underlying data identifier as INV Question 27 How does the application handle the Investment grade criteria The application assumes that any rating above BB is investment grade This is done using a hierarchy and hence can be configured by you when there are changes to this definition of investment grade US Related Changes Single Counterparty Exposure Limit Question 28 How do we include any speci
199. e along with the other sources The various sections and the available options in the Database Extracts screen are as tabulated In the Define Extract grid you can define the Database Extract details In the Extract Entities grid you can define expressions to join tables and specify filter for data extraction In the Source Target Mappings grid you can map the source table of a selected Information Domain to the target model Define Database Extracts and Map Table to Table You can extract data from source table to the required table in the Database Extracts screen By default Extract to Table option is enabled in the Database Extracts screen Extraction to Table is supported only when the source and target tables belong to the same database type Extract to Table does not have any definition Source properties To extract data source to table do the following Oracle Financial Software Services Confidential Restricted 18 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 ORACLE Database Extract 2 Define Extract Extract Name ExtractTo Y Applications 2 Extract Entities Source Table BP_MEAS MAP Financial Services Analytical Applications Infrastructure Logout a RBar Change Password Database Extract Prd_ext_1 O File Attribution_Analysis Source Column Sources ATTRIBUTION_SRC Data Type User pr2user oc BAIPROD 4
200. e filter details in the field provided Filters The filters provided in this field are considered for Run execution 5 Click OK The details are saved and the Run is executed as per the Fire Run details You can remove Run definition s which are no longer required in the system by deleting from Run screen selecting the Run Codes whose details are to be removed and clicking the Im icon 2 5 System Configuration System Administrators define the Servers Database and Information Domain along with the other Configuration processes such as segment and metadata mapping hierarchy security and designing the Infrastructure Menu functions System Configuration is mostly a onetime activity which helps System administrator to make the Infrastructure system operational for usage System Configuration activities should be performed by the infrastructure administrator using the admin credentials To access System Configuration you must be mapped to SYSADM function role within the Infrastructure system 2 5 1 Segment Metadata Mapping Segment refers to a logically divided part of the whole object based on specific requirement Segment Metadata Mapping in the System Configuration section facilitates you to map unmap the required business metadata definitions such as measures hierarchies cubes and attributes to the selected segment within a specific Information Domain Based on the mapping users mapped to the segment are restricted to access only th
201. e rate that is used for currency conversion is the exchange rate for the entity of the exposure which the mitigant belongs to The list of tables and corresponding columns where currency conversion is carried out is attached below a Currency Conversion Tables and Columns Reclassification The application reclassifies the bank s product types and party types to Basel standard product and party types Then based on Standard Basel product and party type it forms an asset class for each exposure Reclassification for equity is done by the application in a separate Rule Similarly the application does reclassification for mitigant on the basis of its mitigant type and reclassifies it to standard mitigant type Product Type Reclassification Product types used by reporting bank in the input data are reclassified to standard product types as recommended by Basel Committee in the accord The product types after reclassification are stored as Basel product types The reclassification is based on a simple logic For Example Housing Loan is reclassified as Residential Mortgage Exposure as per the Basel II guidelines Party Type Reclassification Similar to the product type the customer type and issuer type which are stored as counterparty type are also reclassified as standard counterparty type The Basel application is designed to include customer type issuer type and legal entity type in a single table stg_party_master This is app
202. e relevant metadata to view and edit during metadata maintenance and information security Oracle Financial Software Services Confidential Restricted 131 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Metadata Segment Mapping Metadata Segment Mapping 2 Map Metadata Inform sion Domain BASELINF2 User Segment BASELSEG Measure Hierarchy Cube 0 Attribute Available Metadata Selected Metadata No Metadata 110001 MSR Hon Sec Outstanding Principal M0001CRP Original Exposure Pre Conversion Factors MO002CRP Of Which Arising from Counterparty Credit Ris MOO03CRP Value Adjustments and Provisions Associated MO004CRP Guarantees M0005 MSR Non Sec Add On Percent M0005CRP Credit Derivatives MO006 MSR Non Sec Notional Principal L gt MO006CRP Financial collateral simple method MO007 MSR Non Sec Current Exposure Amount E MO0OYCRP Other funded credit protection 110008 MSA Non Sec Undrawn Amount MOD0SCRP Total Outflows MO009 MSR Non Sec CCF Percent M0009CRP Total Inflows M0010CRP olatility adjustment to the exposure M0011 MSR Hon Sec Double Default Flag 11001 1CRP Financial collateral adjusted value Exam M0012 MSR Non Sec Probability of Default MO012CRP Volatility and maturity adjustments M0013 MSR Non Sec Loss Given Default Y gt E E Save You System Administrator need to have SYSADM function role mapped to your role t
203. each of the past three years for a standard line of business is multiplied by a fixed percentage of 15 Then the average is considered to calculate the capital charge If the annual gross income is negative or zero in any of the past three years then the value from the numerator is excluded thereby reducing the base denominator by the same count The Capital Charge formula is as follows Ksa p Gi n x a j n Standardized Approach In this approach banking activities are divided into eight lines of business The Gross Income for each line of business is multiplied by the beta factor which is pre defined in the Basel II Accord Every year the gross income of the standard line of business is multiplied by respective beta factor The total capital charge is calculated as the three year average of the sum of the regulatory capital charges across each lines of business every year The total Capital Charge is calculated as follows Krsa gt years 1 3 MAX i gt Gl x As 0 3 Where Krsa the Capital Charge under the Standardized Approach Gl annual gross income in a given year as defined in the Basic Indicator Approach for each of the eight lines of business Bis a fixed percentage set by the committee relating the level of required capital to the level of the gross income for each of the eight lines of business Alternative Standardized Approach This approach is an extension of the standardized approach In this approach for
204. ectly to exposures without ratings for Cash CRE etc e Pre CRM RWA Computation Pre CRM RWA is calculated for all asset classes by multiplying the Pre CRM EAD with Risk assessment agreement Apply Risk Weights using exposure rating Apply Risk Weights Using exposure rating Apply Risk Weights Using exposure rating Apply Risk Weights using sovereign rating Weight In the Standardized approach RWA for Unexpected Loss is calculated as Non Sec Pre Mitigation Pre Volatility Haircut Exposure at Default Non Sec Risk Weight for UL before Mitigation Over the Counter Derivative Products Overview The Basel committee has introduced Counterparty Credit Risk CCR wherein the counterparty could default before the final settlement of a transaction Unlike the firm s exposure to credit risk arising from a loan the CCR creates a bilateral risk of loss Market value of the transaction can be positive or negative to either party in the transaction at different points in time till the maturity or closure of the transaction The market value of the transaction depends on the movement of the underlying risk factor Basel committee has proposed Rules to calculate the exposure at default EAD or exposure amount for the instrument with Counterparty Credit Risk NOTE All OTC Derivatives and Repo products are part of CCR computation Also all the trades with Central Counterparty CCP are assigned a zero risk weight The a
205. ed Question 20 The criteria to calculate the surplus capital in CET1 for Minority Interest is Minimum CET1 plus the Capital Conservation Buffer If the criteria changes in the future to include the countercyclical buffer along with CET1 and CCB then can the application handle such modifications The application has the flexibility to include any parameter or delete any parameters to calculate the Minority Interest In such a case the Rule can be modified to include additional parameters or delete if required Question 21 Is there any flexibility in the Rule to add or delete any regulatory adjustment line item during the calculation of CET1 Yes the application has the capability to add or delete any regulatory adjustment line item This is handled in the Rule by adding or deleting any regulatory adjustment line item Question 22 Considering that the phase in treatment criteria specified as per the accord changes in the future where the deduction values and risk weighting values change then can this scenario be handled by the application without affecting other sections The application is flexible to accommodate any scenario for Phase in treatment For example if in the future the phase in criteria changes from 20 40 60 80 to 25 45 65 85 then the application has the capability to change the value as well during the phase in the deduction amount that is not deducted to be risk weighted with some different percentage Question
206. ed Entities Join Condition Trace Cubes Trace Definitions Trace Forms To know more about the Source Hierarchy and Target Measure used in this Type 3 Rule return to the Rule Screen Select the Source Hierarchy Cap Consl Entity Level Ind and click B icon to view details of the Source Hierarchy In the following figure the Source Entity from which data is computed and populated into the Target Business Processor is displayed in the Entity field Click Fact Entity Information to see the description of the table Click Capital Consolidation Entity Indicator to view the description of the Attribute whereby in this case the entities appearing in the Fact Entity Information are flagged as Y if the entity is participating in Capital Consolidation Oracle Financial Software Services Confidential Restricted 56 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Be ee Trace Dimensions Trace Cubes Trace Definitions Trace Forms Details of Hierarchy Cap Consl Entity Level Ind Name H0242 Short Description Cap Consl Entity Level Ind Long Description Cap Consl Entity Level Ind Comments Created By SYSADMN Creation Date November 26 2008 2 54 38 PM Last Modified By SYSADMN Modification Date November 27 2012 7 24 08 PM Authorized By SYSADMN Authorization Date November 27 2012 7 24 09 PM Type REGULAR Bl Enabled No Is Parent Child No Entity Fact Entity Information Attribute
207. ed an Authorized record the same is again marked for authorization Once the record is updated a modified status flag is set and only these record changes can be rolled back The Roll Back option is supported in view mode only for authorized records i e records which are updated and saved Add Form Data You can add a row to the required table and enter the field details To Add Form Data in the DEFQ Data Entry screen 1 Open the required Form in view mode and click MA By default five rows are displayed You can modify by specifying the number of required rows in Display Rows field and clicking Reset 2 Enter the required numeric data in the new fields If you want to view the numeric data separated by commas enter the details accordingly 3 Click Save and update the data to the selected table Authorize Record You need to have DEFQMAN and SYSAUTH function roles mapped to access and authorize Forms in the DeFQ framework You can Authorize a single record or all the records of a selected Form with the in the DEFO Data Entry screen You can authorize record in a table which has a primary key field A primary key field in the record is indicated by PK You need to have the authorization rights defined by the user who has created the record You can also Reject or Hold inappropriate records in the table Oracle Financial Software Services Confidential Restricted 41 User Guide Oracle Financial Services Basel Regulatory Capi
208. ed on the satisfaction of the criteria as specified in the Basel Accord All the guarantees and credit derivative issued by Issuers who are reclassified as Other Entities will be treated as eligible for Non Securitization exposures if they have any rating assigned to them All the guarantees and credit derivative issued by Issuers who are reclassified as Other Entities will be treated as eligible for Securitization exposures if they satisfy the current rating and the original rating criteria specified by the Basel Accord Haircut Assignment The application assigns the various haircuts as applicable to the Mitigants In the case of collateral following simple approach for recognition there will be no haircuts assigned to the Mitigant In the case of collateral following Comprehensive approach Oracle Financial Software Services Confidential Restricted 191 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 the application is flexible to use the Supervisory haircuts and scale up if required based on the minimum holding period or use the Bank s own estimate of haircuts The application applies the Volatility haircut forex haircut and the maturity mismatch haircut to the mitigants as appropriate This is as per the Basel Accord regulations The volatility haircuts for debt securities which are mitigants have been modified to include the securitized exposures Only eligible mitigants are considered for haircut a
209. edit rating which includes the unrated issuers as well The application performs the multiple assessments for the mitigants similar to the process followed in the case of non securitized exposures and arrives at a single rating for the mitigant Then the application assigns the final risk weight to the mitigant In case of financial collateral mitigants like cash and gold zero risk weight is assigned o Haircut Assignment The application assigns the various haircuts as applicable to the Mitigants In case of collateral following simple approach for recognition there are no haircuts assigned to the Mitigant In case of collateral following comprehensive approach the application is flexible to use supervisory haircuts and scale up if required based on the minimum holding period or use the Bank s own estimate of haircuts The application applies the volatility haircut forex haircut and the maturity mismatch haircut to the mitigants as appropriate This is as per the Basel Accord regulations Only eligible mitigants are considered for haircut assignment and for further processing The eligible mitigants flows from mitigants table to sub exposures table o Allocation of Mitigants to Exposures The application computes the mitigant value post all haircuts Then it uses the pooling and optimizer logic to allocate the exposures to the mitigants This is slightly different from the optimizer logic of non securitization exposures as the securitized ex
210. eign and primary keys can be changed from Disabled to Enabled In case of Direct mode the Foreign Keys will not return to its initial state 3 In the Hint tool bar specify Hints 1f any for faster loading Oracle hints follow HINT format 4 Click icon and save the defined Database Extracts mapping details An information dialog is displayed on completion Click OK Define Database Extracts and Map Table to File You can extract data from source table to the specified file in the Database Extracts screen To extract data to a file along with the other sources you need to define the Database Extracts and specify the Extract Entities Source Target mapping is not required since the table structure is completely extracted to the specified file To extract data source to file do the following Specify the Database Extract details in the Define Extract grid 1 Enter the Extract Name Ensure that there are no special characters or extra spaces in the name specified 2 Select Extract to File checkbox 3 Select the required data source Application from the drop down list 4 Select the mapped Sources from the drop down list Oracle Financial Software Services Confidential Restricted 21 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Specify the Source Properties in the Define Extract grid l Click icon in the Define Entities tool bar 2 Specify the properties by enteri
211. ejected by the authorizer On Authorization the Business Hierarchy details are removed On Rejection the Business Hierarchy details are reverted back to authorized state You cannot update Business Hierarchy details before authorizing rejecting the deletion An un authorized Business Hierarchy definition can be deleted Business Processor Business Processor refers to a uniquely named data element of relevance which can be used to define views within the data warehouse It typically implies aggregated information as opposed to information at a Oracle Financial Software Services Confidential Restricted 81 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 detailed granular level that is available before adequate transformations A Business Processor encapsulates business logic for assigning a value to a measure as a function of observed values for other measures Business Processors are required Measurements that require complex transformations that entail transforming data based on a function of available base measures Measurements that require complex transformations that entail transforming data based on a function of available base measures require Business Processors A supervisory requirement necessitates the definition of such complex transformations with available metadata constructs Business Processors are metadata constructs that are used in the definition of such comp
212. elcome to Release 6 0 0 0 0 of the Oracle Financial Services Basel Regulatory Capital Basic User Guide This guide is intended for Technical Analyst This user ensures that the data is populated in the relevant tables as per the specifications executes schedules and monitors the execution of Runs as batches Business Analyst This user reviews the functional requirements and information sources like reports Data Analyst This user would be involved with cleaning validation and importing of data into the OFSAA Download Specification Format e Administrator The Administrator maintains user accounts and roles archives data loads data feeds and so on The administrator would control the access rights of users Documentation Accessibility For information about Oracle s commitment to accessibility visit the Oracle Accessibility Program website at http www oracle com pls topic lookup ctx acckid docacc Access to Oracle Support Oracle customers have access to electronic support through My Oracle Support For information visit http www oracle com pls topic lookup ctx acc zid info or visit http www oracle com pls topic lookup ctx acc zid trs if you are hearing impaired Structure 1 Introduction to Basel Regulatory Capital Basic 2 Overview of OFSAA Infrastructure 3 OFS Basel Regulatory Capital Application 4 Application Processing 5 Reporting 6 Process Tuning A Frequently Asked Questions Glossary Related I
213. elease 6 0 0 0 0 File Extraction In the File Extracts screen you can Load file data incrementally from any RDBMS data source to a table based on certain criteria Ensure that the ASCII file types are not loaded into the staging area using FTP which can corrupt the file causing load failure The following steps are involved while defining File Extracts 1 Create Flat File Definition 2 Define Flat File Properties o Definition Source properties Specified when defining the Flat File Extracts o Loading Target properties Specified when mapping the Flat File Extracts 3 Map the Flat File to the Target Model The various sections and the available options in the File Extracts screen are as tabulated In the Define Extract grid you can define the File Extract details e In the Flat File Entities grid you can specify the required entities for data extraction Define File Extracts and Map File to Table You can define File Extracts such as Delimited File or Fixed Width File and Map to the required database Table By default the Delimited File Extract option is selected To extract file data to table do the following File Extract amp Define Extract ES gt Flat File Name File Load Type Delimited File O Fixed Width File Applications ACCOUNT_OPEN v ACCOUNT_OPEN 2 Flat File Entities emag 1 1 1 8 8 Y Y Source Column Data Type Field Order Date Format Fid_1 String 1 Source Table STG_1_Customer
214. elease are prevalent in the current release as well The main highlights of Basel II accord of December 2010 rev June 2011 were e Stricter Capital Basel III requires banks to hold 4 5 of common equity up from 2 in Basel II and 6 of Tier I capital up from 4 in Basel Il of risk weighted assets RWA e Capital Buffer Basel III also introduces additional capital buffers 1 a mandatory capital conservation buffer of 2 5 and 11 a discretionary countercyclical buffer which allows national regulators to require up to another 2 5 of capital during periods of high credit growth e Leverage Ratio In addition Basel III introduces a minimum leverage ratio and two required liquidity ratios The leverage ratio 1s calculated by dividing Tier 1 capital by the bank s Total Exposure Banks are expected to maintain the leverage ratio in excess of 3 e CVA Risk Basel III introduced CVA risk charge in addition to counterparty default risk charge for Over the counter derivative portfolio e Liquidity Coverage and Net Stable Funding Ratio The Liquidity Coverage Ratio requires a bank to hold sufficient high quality liquid assets to cover 1ts total net cash outflows over 30 days the Net Stable Funding Ratio requires the available amount of stable funding to exceed the required amount of stable funding over a one year period of extended stress 1 2 Key Benefits The advantages that you can gain from the OFS Basel Regulatory Capital application are
215. elect the Effective Start Date by clicking H Calendar button Effective End Date Select the Effective Start Date by clicking H Calendar button By default this field displays the last change done to the Process definition While Last operation type creating a Process the field displays the operation type as Created 7 Click OK The properties are saved for the current Process definition Define Sub Process to Root You can define sub processes to the base process being created or for a pre defined sub process under a base process To create a sub processor in the Process Definition New Mode screen 1 Click Sub process button The Sub Process in ROOT dialog is displayed Oracle Financial Software Services Confidential Restricted 112 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 T Run Rule Framework Webpage Dialog sub Process inROOT Ub Process Name 109456783331 12 M 2 Enter the Sub Process Name and click OK The sub process is listed under the root process as a branch NOTE You can further create sub processes for the existing processes or for the base process by selecting the process and following the above procedure Add Component to Base Process Sub Process You can add process components to the base process as well as the sub processes To add the process components from the Process Definition New Mode screen 1
216. elect the Excel Map checkbox to enable Bulk Authorization NOTE In case you have selected Excel Map checkbox you need to select Excel Name from the Store Field As list in the DEFO Field Properties screen Only on selection the SelectExcelSheetName list is displayed for authorizer in the DEFO Data Entry screen 7 Click Next The DEFO Field Properties screen is displayed with the Form details such as Field Name Display Name In View In Edit Add Allow Add Store Field as Rules and Format Type Oracle Financial Software Services Confidential Restricted 32 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Financial Services Analytical Applications Infrastructure User qtuser ORACLE Logout hange Password About Connected to FFWOTDOM Form_App_Sys Table Name BUSINESSLINE_LOCATION STEP Number of Rows to be displayed 5 Page Size 20 O Batch Commit Message Details Details FormFilter Filter Data Versioning oo E HREF001 HREF001 Display Text Field Normal None j HREF002 HREFOO2 Display Text Field v Normal v None v E LOCALE LOCALE Display v Text Field Y Normal v None v Fa UK_HREF001 UK_HREFO01 Display w Text Field v Normal b None v UK_HREF002 UK_HREF002 Display Te
217. elected Definitions and Target Entities You can Un Map a Definition from a Target Entity by clicking button or Un Map All Definitions by clicking button You can also search for a specific Definition by entering the keywords and clicking Search icon or click Add icon to create an expression to join column data in the Specify Expression screen Click Save and save the mapping details Specify the Target Properties in the Source Target Mappings grid 1 Click icon in the Source Target Mappings tool bar The Properties screen is displayed Oracle Financial Software Services Confidential Restricted 26 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 2 Specify the properties by entering the required value or selecting an option from the drop down list 3 Click icon and save the details Post Load Transformation Transformation refers to a rule describing the conversion of source data from source to the destination During the data extraction a transformation rule facilitates in structuring the required data from sources to the target or an intermediate systems for further processing Based on the selected mode transformations can be applied to execute the process successfully For example an SQL rule with the SELECT statement can retrieve source data from specific table s Post Load Transformation within the Data Integrator framework of Infrastructure system facilitates you to
218. ending button to sort the selected components in Ascending or Descending order o Click or button to re arrange the selected list of Business Processors o Click button to remove the selected Business Processors from Selected Business Processors pane 3 Click OK The selected Business Processors are listed under the Combination Mapper grid along with the Source and Filer definition details Optional After selecting Business Processor s in the Combination Mapper grid you can set the Default Target member specify Parameters and exclude child nodes for the Rule definition o You can set the selected Target member as default by clicking button on the header bar of required Business Processor and selecting Default Member checkbox When a Target member is selected as default all the unmapped Source member combinations for that Target object will be logically mapped to the default member and the corresponding target appears disabled Run time parameters cannot be applied for such defaulted target BP s However the logical mappings will not overwrite the physical mapping o You can specify parameters for the selected Business Processor Select the checkbox s adjacent to the required Business Processor and click button adjacent to a checkbox selected The Parameters pop up is displayed NOTE A physical mapping is established when mapping is explicitly done upon a combination of source and target members o For a Classification Rule
219. ential Restricted 255 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 handled in the Rule by adding deleting any regulatory adjustment line item Question 40 What if the Bank does not calculate any of the CR RWA MR RWA and OR RWA and directly provides a value against each of these line items The application supports and has taken into account for such direct download value for RWA in table STG_STANDARD_ACCT_HEAD against appropriate Standard Account head identifier CAP169 for Credit RWA CAPO90 for Market Risk RWA and CAP170 for Operational RWA for entities for which bank don t calculate RWA using our application These values will flow into FCT_STANDARD_ACCT_HEAD And respective process should be removed from the run for e g if Market risk RWA is available as download market risk related processes should be removed from the Run Market Risk Basel IT Question 41 Does the Greeks Engine calculate Greeks parameters for all kind of Options Currently Greeks Engine calculates parameters only for normal options The exotic options are not covered by Greeks Engine Mitigant Eligibility Basel ITT Question 42 The Reporting Bank have a wholesale exposure and for that have got a guarantee from an issuer who can be reclassified under the Other Entities The current rating of the guarantor is B How does the application handle this in Basel II and Basel III runs The application handles
220. equired 8 Select Save with Authorization checkbox to authorize and upload the data The 3 mandatory fields 1 e Maker_id System_Date and Authorization_Status are displayed in the Select Excel Columns grid 9 You can also select Bulk Authorization checkbox to assign the Excel Name across the selected column For example the selected column v_fic description will have the Excel Name assigned NOTE Ensure that the selected Varchar2 column contains the required length to hold the Excel Name In order to select Bulk Authorization you need to have Save with Authorization checkbox selected 10 Select Save Mapping The Excel Entity Mapping screen displays the excel database Oracle Financial Software Services Confidential Restricted table mapping details In the Excel Entity Mappings screen you can also do the following 46 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 o Click L button in the Mappings Summary tool bar to View the mapping details o Click button in the Mappings Summary tool bar to Edit the mapping details o Click button in the Mappings Summary tool bar to Delete the mapping details Excel Upload Excel Upload helps you to upload Excel Data to destination table in the database You need to have XLUSER function role mapped to access Excel Upload screen and retrieve mapping definition pre defined by XLADMIN user to upload exce
221. er relationship is defined by specifying a join condition between the various tables It is a basic building block to create a query and execute on a data warehouse for a large number of functions and to generate reports Data Set function within the Infrastructure system facilitates you to create data sets for a cube and specify rules that fine tune the information for querying reporting and analysis Data Sets enhances query time by pre defining the names of tables required for an operation such as aggregation and also provides the ability to optimize the execution of multiple queries on the same table set Refer to Scenario to understand the Data Set functionality You Business Analysts need to have DATVIW function role mapped to access Data Set section in the BMM framework You can access Data Sets by expanding BMM section within the tree structure of LHS menu Financial Services Analytical Applications Infrastructure User stuser ConnectedAAFATOMIn LINU ORACLE ogout ange About Last Login Date 09 05 2012 08 24 15 AM Last Failed Login Date 09 05 2012 03 52 12 AM Data Sets Data Sets amp Search and Filter Code Short Description Authorized amp Data Sets ela O Code Short Description Long Description DS0001 Non Securitisation Exposure Non Securitisation Exposure DS0001_C DS0001_C_Non Securitisation Exposure _Non Securitisation Exposure DS0002 Exposure Mitigant Dataset Exposure Mitigant Dataset DS0003 Securitisati
222. ermission to risk weight all corporate claims at 100 without regard to External Option for risk weighting Equity Exposures In Banking Book Non Securitization Standardized V_CRM_METHOD lana OCRM Approach for Banking Book Approach OPT0053 oros Approach OPT0054 Non Securitization Standardized Ee oHaircut v_ns_haircut_method OPT0056 Securitization Standardized N A v_sec_approach OPTOS500 Standardized Approach v_mrs_commodity_risk oCommodity Risk Commodity Rist _method OPT1008 Maturity Ladder Approach OPT1009 Segment CBRC da column value General Market Risk Duration Method v_mrs_interest_rate_method Standardized Approach oInterest Rate Risk General Market Risk Maturity Method OPT1004 Standardized Approach Simplified Approach OPT1008 oCommodity Risk v_mrs_commodity_risk_method Maturity Ladder Approach OPT1009 Standardized Approach Simplified Approach OPT1013 oOptions v_mrs_options_method Delta Plus Approach OPT1014 Segment INDIA RUN_PARAMETERS Approach Hierarchy Selected Option RUN_PARAMETERS column name column value Non Securitization Standardized oSFT Simple Approach v_ns_sft_method OPT0037 Non Securitization Standardized CEM v_ns_otc_method oOTC OPT0041 Oracle Financial Software Services Confidential Restricted 141 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 RUN_PARAMETERS Approach Hierarchy Selected Option RUN_PARAMETERS column name column value Non Se
223. ersion should happen always as per following order of instrument types o Exotic Options o Options o Basket Futures o Swaps o Forwards Futures o Credit Derivatives After position conversion of Basket Futures instrument types we do position offsetting on different position of same kind of instrument types and reach at post offset exposure amount Example of a Forward Rate Agreement FRA Position Conversion A purchased FRA may be depicted via two notional zero coupon positions one short position liability up to the maturity of the underlying credit transaction and one long position claim up to the settlement of the FRA Suppose a firm purchases 3 x 6 month FRA principal 1000 interest rate 6 The above position is broken down into two opposite zero coupon bond positions as given below First Position Position Long Value of Notional Position PV 1000 1 5 0 25 987 87 Maturity E 3 months Coupon Zero Coupon of less than 3 Second Position Position 3 Short Value of Notional Position PV 1000 1 5 0 5 975 90 Maturity 6 months Coupon z Zero Coupon of less than 3 A sold FRA will have positions exactly opposite to the one given in the example above i e the long position will become short and vice versa with the value maturity and coupon remaining the same Oracle Financial Software Services Confidential Restricted 175 User Guide Oracle Financial Services Basel Regulatory Capital Basic
224. es such as Value at Risk Conditional Value at Risk and so on It also enables a bank to carry out Stress Testing and Back Testing procedures for validation Risk measures based on VaR have multiple applications the scope of Oracle Financial Services Market Risk is not only restricted to Regulatory Reporting but also extends to the internal reporting needs of the bank Oracle Financial Services Market Risk supports the estimation of market risk of user defined portfolios covering a wide range of instruments Credit Risk Economic Capital Economic Capital is the capital level required by the bank to cover the losses within a given probability Economic capital is attributed mainly to three risks Credit Risk Operational Risk and Market Risk Economic Capital methodologies can be applied across products lines of business and other segments as required Basel Committee as a part of pillar 2 requirements in Basel accord emphasizes banks to have their own methods processes to calculate adequate capital for the risk they assumed The focus on Economic Capital calculation is industry wide to measure risk to optimize performance by reallocating capital to strategically important businesses as well as businesses with high returns An Economic Capital framework relates the risk of investment to the amount of capital required thus putting business performance or investment return into a proper perspective relative to risk On identifying the risk type EC
225. ese information the process pertaining to the non securitization exposures is followed In the case of Reporting Bank providing only the exposure level information the application expects few pool level and tranche level parameters which are required for further processing to be provided in the Exposures table The mitigants data are populated from the staging table to the processing table The exposures which are mapped to the mitigants are captured and this is also populated from the staging table to the processing table Securitization Data Population has been handled in the Process SEC_DATA_POPULATION Mitigant data population has been handled in the Process MITIGANT_DATA_POPULATION and Exposure Mitigant Mapping Population has been handled in the Process SEC_EXP_MITIGANT MAPPING_ POP CREDIT_RATING PROCESSING All the rating information of the exposures and the mitigants are populated from the staging tables to the processing tables The exposure and the tranche rating information are captured in the account rating tables and the mitigants rating information are captured in the instrument rating details This is handled in the CREDIT_RATING_PROCESSING process SEC_RECLASSIFICATION and MITIGANT RECLASSIFICATION The application uses the standardized data for all kinds of calculation Product type like Eligible Liquidity Facility Bank Role like Originator Pool Type like Mortgage Backed Securities Before any calculation the application reclassifies
226. esecsesecsesecsesecsesecsesecsesecsesecsesecsesecsesecsesesses 136 3 2 ANDION ANA SIS wassvcasirivenivticcduveesGccsensevdcanuedsuanrensedsuauseducaavecsseaesedousawerssdsiswedtuauaudaswaaswedecens 138 3 241 RISK WVGIRNTEG A ine cesavsions a iA 138 Credit RWA iia dci 139 MIER At ad nmaneaares 139 Sr A A O N 140 3 2 2 A o A O A a EAEN 140 CHAPTER 4 KEY OPERATIONAL CONCEPTS 1 www sesssscecsecssssccssnsssnsessseeseeeeeeennnnnnensnans 141 4 1 Basel eraa liada 141 Oracle Financial Software Services Confidential Restricted V User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 4 1 1 Risk Weighted Assets CalCulation cooooccnncnocnnncnocnnnnonnnnnnnnnnnnnnnnnononnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnss 141 Credit RISK IA acca o O cc wiped age Snel Gatre te sul usm case told clea caaeeeeenaelineatoae 141 Non SecuUntiza Oia 141 Secure 159 MAKER A RT 164 ONE Wi A AA AA 164 Standardized APPO aia 165 Internal Model Method ti 177 Operational RIS Kid 178 DIEE E E E E EE E A E E cite cuit A Miata ceca ad cadena cle ciont a nenaaataa cieas 178 Key Data Element N N N T 180 4 1 2 A AE E semen muiaeaenmucaanaeguecates 180 OVINA E A 180 ASSUMIDO Nisar AS AAA OAN 180 A RO O A 181 Key Datailementss dan 182 4 1 3 Capita CONS OMAN dt 182 4 2 AA AP E ancient eases tune vausespanned dens voestensness habe vesscensoaasdens sae aeouens 183 4 2 1 Changes 0 iBIS See mentre 183 Credit
227. ess Hierarchy Business Hierarchy refers to Organizing Data into logical tree structure to represent the groups and relations among various levels at which measure can be viewed A measure can be viewed at different levels depending upon the hierarchy breakdown of the dimension category For example consider the following structure Oracle Financial Software Services Confidential Restricted 77 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Mumber of Customer Measure Income Group Dimension gt 100 000 USD gt 50 000 USD Hierarchy 100 000 USD Hierarchy Age Group Age Group Parent Level Parent Level gt 60 yrs lt 70 yrs Child Lewel gt 50 yrs lt 60 yrs Child Level gt 30 yrs lt 50 yrs Child Level You can view the Number of Customers Measure across Income Group Dimension which is further broken down by different age groups Hierarchy While number of customers is a metric it is useful when viewed based on some categorization such as customer income profile or customers having an annual income of over USD 100 000 per annum to provide better quality of information You Business Analysts need to have SYSBAU Oracle Cube Administrator ORACUB and View Hierarchy function role mapped to access Business Hierarchy section in the BMM framework You can access Business Hierarchy by expanding BMM section within the tree structure of LHS menu gt O
228. est in CET1 AT and T2 belonging to third party and Internal transaction in CET1 AT and T2 Minority Interest as per the Basel HI guidelines are calculated and the surplus amount in each tier of Capital which is attributed to third parties are deducted from the Gross capital of each tier of capital o Minority interest is calculated as the third party s interest share holding percent in the surplus capital available capital Minimum required capital o All the values required for processing are populated into Minority Interest Capital FSI_MINORITY_INTEREST table which is the processing table for minority interest calculations o The sub process Minority Interest Calculations in BASELIIl CAPITAL_STRUCTURE process covers the above processing The deduction also includes internal transactions in each tier of capital among the various entities which are part of the regulatory consolidation Hence minority interest attributed to third party as well as the internal transactions in each tier of capital is deducted from the gross capital of each tier of capital Gross Capital Calculation for CET1 AT1 and T2 The total Gross Capital for each tier of capital CET1 AT1 and T2 is calculated as per the definition of CET1 AT1 and T2 by adding the relevant financial instrument in each tier of Capital The sub process Provisions and Gross Capital Calculations in BASELTIT CAPITAL STRUCTURE process covers this processing Oracle
229. etained as of current version 1 A definition with version 1 when edited by an authorized user changes to 0 and an unauthorized user remains as 1 Copy Run Definition The Copy Run Definition facilitates you to quickly create a new Run Definition based on an existing Run or by updating the values of the required Run To copy an existing Run Definition in the Run screen Select the checkbox adjacent to the Run Code whose details are to be duplicated Click l button in the List toolbar to copy a selected Run definition The Run Definition Copy Mode screen is displayed Copy button is disabled if you have selected multiple Runs In the Run Definition Copy Mode screen you can Oracle Financial Software Services Confidential Restricted 127 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Create new Run definition with existing variables Specify a new Run Code and Folder Click Save Create new Run definition by updating the required variables Specify a new Run Code Folder and update other required details Click Save The new Run definition details are displayed in the Run screen By default version 0 is set if you have authorization rights else the version is set to 1 Authorize Run Definition All the actions in a Run definition should be approved by an authorizer An authorizer can Approve a pre defined Run definition for further execution or Reject an i
230. f capital and compared against 10 of parent bank s CET 1 capital The portion of amount which exceeds the 10 limit is deducted from CET1 The exposures of AT1 and T2 are fully deducted from respective tier of capital o This is done by calculating deduction percentage for CET1 and by multiplying this percentage with the CET1 exposure s exposure amount to arrive at the amount to be deducted from CET 1 capital o The sub process Significant Investment in Entities outside Regulatory Consolidation Processing in BASELITI_CAPITAL_STRUCTURE process covers the above processing Oracle Financial Software Services Confidential Restricted 195 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Threshold Deduction The three line items significant investment in the Common Shares of BFSI where the bank owns more than 10 Mortgage Servicing Rights MSR and DTAs that arises from Temporary Differences goes for Threshold deduction These three line items are compared with 10 CET1 individually The portion that exceeds 10 limit is deducted from CET1 The remainder amount after deduction are summed up and compared with 15 CET1 Again the portion that exceeds this 15 limit is deducted from CET1 capital The entire processing is done in the sub process Threshold Treatment Calculations in the process BASELIII CAPITAL STRUCTURE Phase in arrangement The regulatory adjustment line items t
231. f the rating processing tables Ratings are populated from the stage tables to FSI tables using the lookup table to fetch reclassified rating Once the application identifies the reclassified ratings risk weight rules update the risk weights in the rating risk weight mapping table Then the multiple assessment DT updates the rating and the risk weights to the exposures For each exposure the Oracle Financial Software Services Confidential Restricted 147 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 application checks the risk weight yielded by each of its ratings and assigns the second greatest risk weight and the rating that yields such risk weight to the exposure For unrated non securitized exposures the application does an issue issuer assessment as per the guidelines of Basel Accord This is done to infer a rating of the unrated exposures based on the rating of a similar instrument referred as reference issue hereafter issued by the same issuer The reference issue is used only when it is of the same currency as the exposure and the exposure is senior or equivalent to the same Data population Pre processing steps Credit Risk exposures data needs to be loaded in the application for all the product types through their respective input tables known as Product Processors Main categories of CR non sec exposures along with their respective table names that are used for data input are as follow
232. fault ID of a newly created Process and is lt lt New gt gt Enter a valid code for the Process Ensure that the code value specified is of Code maximum 30 characters in length and does not contain any special characters except 66 gt Enter a valid name for the Process By default the version field is displayed as lt lt NA gt gt for the new Process being Version created Once the Process definition is saved an appropriate version is assigned as either 1 or 0 depending on the authorization permissions Oracle Financial Software Services Confidential Restricted 111 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Field Name Description By default the Active field is displayed as lt lt NA gt gt for the new Process being created Once the Process definition is saved the status is set to Yes 1f you are an Active Authorizer creating the Rule or No if the created Rule needs to be Authorized by an Authorizer Select the Type based on which you would like to create the rule from the dropdown list 5 Click Ef button in the Master info grid The Properties dialog is displayed la Properties Webpage Dialog Effective Start Date 03 02 2012 E Effective End Date 03 09 2012 E Last Operation Type Created 6 You can edit the below tabulated details in the Properties dialog Field Name Description Effective Start Date S
233. finition E J Run Definition i M5 VENNE UBJECUVE FUNCUUN A Vallanie Run Execution Available Hierarchies Selected Hierarchies KA Attribution Analysis Pooling d Optimizer sl haza lt lt w gt lt 4 m Objective Function Coeficient SEARCH Operation Type Minimize Maximize Constraints Integer Identifier Output Define No Constraint Name it Delete 1 No Constraints Available X Variable Bounds No Bounds defined Define Allocation based on rank 7 Measure for Ranking SEARCH The remaining steps for creating optimizer definitions are same as those mentioned in non securitization process The optimizer works on the minimization constraint logic Single Mitigant mapped to Single or Multiple Exposures If there are one or more than one exposures mapped to a single mitigant the mitigant is allocated to the exposure with the highest seniority If there are more than one exposures with the same highest seniority then the mitigant is allocated to the exposure which yields the highest mitigant value post haircut Single Exposure mapped to Single or Multiple Mitigants If there are one or more than one mitigants mapped to a single exposure the least risk weighted mitigant will be allocated to the exposure If there are more than one mitigants with the same least risk weight then the mitigant which has the highest mitigant value post haircut will be allocated to the exposure Multiple Exposures ma
234. fsetting is done within each time band and for the matched position 1 5 capital charge is applied and the net open position of each time band is carried forward and a capital charge of 06 is applied to all the carried forward amounts For the final net open position post offset across the time bands a capital charge of 15 is applied Summary Output The commodity risk charge gets reported out of market risk summary table under commodity charge reporting line Options Risk Charge Calculation of Capital for Commodities Simplified Approach Delta Plus Approach Scenario Matrix Approach Greeks Calculation Underlying Capital Charge Sensitivity Charge Calculation Summary Output Simplified Approach In simplified approach for option type being long cash and long put or short cash and long call application calculates in the money values for the option In case of in Oracle Financial Software Services Confidential Restricted 180 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 the money option the value is calculated as the number of units multiplied by the difference of underlying forward price and strike price if the residual maturity of the option is greater than 6 months In case of the residual maturity of the option contract being less than or equal to 6 months the in the money value is calculated as number of units multiplied by the difference of underlying current market price and st
235. ftware Services Confidential Restricted 47 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 2 3 3 Metadata Browser The Metadata Browser component of OFSAAI allows you to view the pre defined metadata in the Basel Regulatory Capital application by providing a browsing capability through the various metadata elements that are linked to each other You may start navigating through the Metadata Browser from a Run in a particular segment and drill down to the processes used in the Run the Sub Processes in the Processes and the tasks mapped to each Sub Process Alternatively you may start navigating from the granular metadata element and trace the tasks that use this metadata thereby the Sub Processes Processes and Runs that use the task Tools in Metadata Browser The following are the tools used in Metadata Browser screen The icons appear on the pages as the functions are derived Display the trace details of Definitions mapped to a dimension hierarchy measure cube or mart Display the trace details of Datasets defined for a definition Display the trace details of Dimensions mapped to the definition Display the trace details of Measures mapped to the definition Display the trace details of Cubes mapped to the definition Display the details of the mapped Models for a definition Display the trace details of Hierarchy Attributes of a definition Display the trace detail
236. g from one page to another by clicking the Next Previous icons by clicking the No Records to be viewed per page or by providing the input for the number of records to be displayed per page or on the bar Y ou can also sort the records to view it in convenient way Run Default Parameters Run Default Parameter allows you to enter and save the Run level parameters To input the run level parameters select the checkbox corresponding to that Run and click EF icon on the navigation bar Run Parameters screen 1s displayed where you can view and input Run level parameters related to that Run You are allowed to add or modify the parameter values and store the same NOTE To modify or view the parameters the Modify Run Parameters role should be mapped to your user profile The following parameters are to be updated e Legal Entity The accounts of the selected Legal entity and its child entity depending on the consolidation type selected is processed to calculate provision Parent child relationship between Legal Entity will be as defined in DIM ORG STRUCTURE table Oracle Financial Software Services Confidential Restricted 232 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 e Consolidation Type This field is read in conjunction with Legal Entity field It is a dropdown box and the value could be Solo or Consolidation Select Solo if you want to process direct accounts of the Legal enti
237. g sets in the data Non Netting Exposure To compute EAD for non netting records the application reads the following inputs 1 Total replacement cost which is greater of Mark to Market or Zero for all the contracts 2 An amount for potential future Credit Exposure is calculated based on the notional and multiplied by the add on factor based on the underlying type of the contracts Add on is assigned based on the following as represented in a tabular format Interest Rates FX and Equities Precious Other Gold Metals Commodities Except Gold Over one year to five years 0 50 5 00 8 00 7 00 12 00 Oracle Financial Software Services Confidential Restricted 153 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Interest Rates FX and Equities Precious Other Gold Metals Commodities Except Gold The application assigns the add on percent in the base exposure table by using the Rule Non Sec Add on Estimation Data is populated to OTC exposure table by T2T NETTABLE_POOL_OTC_POPULATION_OTHERS Netting Exposure To compute Exposure at Default for the netting set records the application reads the following inputs 1 Total replacement cost which is greater of Mark to Market for all the contracts 2 An amount for potential future credit exposure is calculated based on the notional and multiplied by the add on factor based on the following formula A net 0 4 Across 0 6 NGR A Gros
238. gher than the percentage prescribed by the regulator of exposure country Hence the required Countercyclical Buffer percentage for each exposure country provided as input should be the one that the home regulator agrees to G SIB status and applicable bucket information for each entity should be provided by the client or the bank In case of a consolidated Run loss absorbency charges applicable to the parent as required by the regulator of parent is applicable for complete run This Run output is supposed to be reported to the jurisdictional regulator of the parent For a solo Run loss absorbency charges as required by regulator for a subsidiary entity are applicable Hence for both solo and consolidated Runs G SIB status of the reporting bank and the applicable bucket is provided by the bank itself As the required Capital Conservation Buffer CCB needs to be met as per the transitional arrangement the Oracle Financial Software Services Confidential Restricted 201 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 required buffer value needs to be setup in Setup Capital Heads FST SETUP_CAPITAL_HEAD for different periods against the standard account head ID CAP823 Different CCB requirements specified by the different regulators can be setup by specifying the regulator codes against the same standard account head ID This regulator code needs to be the same as the jurisdiction code assigned by the Rule J
239. given in the exposures table Question 33 The Reporting Bank which is an Investor in securitization transaction has an unrated securitization exposure How will this unrated exposure be treated by the application The application treats the unrated exposure based on the approach being followed for that exposure The approach followed is the same for the Originator as well as the Investor Standardized Approach o In this case the application calculates the weighted average risk weight of the underlying exposures and assigns this to the exposure o If the details regarding the underlying exposures are not available then the unrated exposures are deducted Ratings Based Approach o In this case the application tries to infer the rating based on the presence of the rated subordinate tranche information belonging to the same pool o The application tries to identify whether there are any rated subordinate tranche belonging to the same pool and which has the credit enhancement level less than that of the unrated exposure and which has the residual maturity more than that of the unrated exposure and which has the seniority less than that of the unrated exposure The seniority is a number denoting the seniority of the cashflows to that tranche and it starts from the value of 1 which is the senior most tranche o Ifthe ratings are inferred the application assigns the rating to the exposure and hence assigns the corresponding risk weight
240. h line of business and for each financial year is required 4 1 2 Capital Structure Overview Basel II capital structure calculates the total capital of the Bank Holding Company The total capital consists of the following components Tier 1 Capital Tier 2 capital e Tier 3 Capital Tier 1 Capital consists of core equity capital retained earnings and disclosed reserves Tier 2 capital consists of undisclosed reserves revaluation reserves discounted by 55 general provisions hybrid debt capital and subordinate term debt Tier 3 consists of short term subordinate debt covering market risk instrument The total capital amount arrived for each tier of Capital is followed by deduction of Goodwill Investment in the subsidiary engaged in BFSI Reciprocal Cross Holding and expected loss greater than Total Provision amount These line items are deducted 50 from Tier capital and 50 from Tier 2 capital Securitization transaction and DTA are deducted from Tier 1 Capital Tier 2 capital is limited to 100 of Tierl capital whereas Tier 3 capital is limited to 250 of Bank s Tier capital The total capital ratio must be no lower than 8 NOTE While executing Solo Run the parent entity data is processed Investment into the subsidiary data undergo RWA calculation as per credit risk and market risk rule Capital line item pertaining to parent entity is only processed For Consolidation approach the Parent entity as well as the subsidi
241. hareholding Percent Dataset Name DS0089 Short Description Entity Shareholding Percent Dataset Long Description Entity Shareholding Percent Dataset Comments Created By SYSADMN Creation Date November 25 2008 4 54 38 PM Last Modified By SYSADMN Modification Date December 16 2009 11 35 47 AM Authorized By SYSADMN Authorization Date December 16 2009 11 35 48 AM act Shareholding Perc Fact Entity Information Run Dimension Date Dimension RENT ENTITY COALESCE PARENT_ENTITY f_cap_consl_parent_entity_ind N Y AND COALESCE PARENT_ENTITY f_cap_consl_entity_ind N Y FCT_ENTITY_SHR_HLD_PERCENT INNER JOIN FCT_ENTITY_INFO ON FCT_ENTITY_INFO n_entity_skey FCT_ENTITY_SHR_HLD_PERCENT n_investee entity skey AND FCT_ENTITY_SHR_HLD_PERCENT n_run_skey FCT_ ENTITY INFO n run_skey AND FCT ENTITY_SHR_HLD PERCENT n mis _ date _skey FCT_ENTITY_INFO n_mis_date_skey INNER JOIN FCT_ENTITY_INFO PARENT_ENTITY ON CANS Join gt FCT_ENTITY_SHR_HLD_PERCENT n_investor_entity_skey PARENT_ENTITY n_entity_skey AND FCT_ENTITY_SHR_HLD_PERCENT n_run_skey PARENT_ENTITY n_run_skey AND FCT_ ENTITY SHR HLD PERCENT n_mis_date_skey PARENT ENTITY n mis_date _skey LEFT OUTER JOIN DIM_RUN ON FCT_ENTITY_SHR_HLD_PERCENT n_run_skey DIM_RUN n_run_skey LEFT OUTER JOIN DIM_DATES ON FCT_ENTITY_SHR_HLD_PERCENT n_mis_date_skey DIM_DATES n_date_skey Date Filter DIM_DATES D_CALENDAR_DATE SMISDATE AND DIM_RUN n_run_skey SRUNSK Order By Select
242. has to be mapped to the node in the target to be added in the target hierarchy The pre configured reclassification rules are modified to map the Bank s data to the Standard data using the Rules Framework For more information refer to Components of OFSAA Infrastructure on page amp 5 2 Processing 5 2 1 Introduction Once data stores are created and Rules Processes and Runs are defined the timing and frequency of the Execution can be established For more information on the Runs pre configured with the application refer to the Run Charts To execute Runs as batches refer to the Operations section refer to the OFSAAI 7 3 User Guide The scheduling of Runs within OFSAATI can be managed on a real time or batch basis Batch processes can be executed daily weekly monthly or to meet specific business needs The Run Management facility also provides the ability to run jobs in a manual or real time basis as required Existing investments in external schedulers can also be used to call web services within this infrastructure 5 2 2 Batch Processing A batch refers to a set of executable processes based on a specified rule Batches relating to the Basel Regulatory Capital application needs to be executed as specified below These batches are executed from the Operations Menu of OFSAAI For more information of the Operations section refer to the OF SAAT 7 3 User Guide Oracle Financial Software Services Confidential Restricted 223 User Gui
243. hat include Goodwill DTA Cash Flow Hedge Reserves Gain on Sale related to Sec transaction Defined Pension Fund Cumulative Gain and losses due to changes in own credit risk Treasury Stock and Reciprocal cross holding will follow Phase in arrangement as per the timelines defined in the Basel II accord Similarly Insignificant Investment Significant Investment and Threshold deduction amount line items will also follow phase in arrangement post Insignificant Significant and Threshold treatment calculation The phase in deduction percent for each year is available in a setup table FSI_SETUP_CAPITAL_HEAD T_HEAD_ID ONENT_VALUE T_DATE _DATE RD_INDICATOR HEAD_DESC ACY_REGULATOR CAP936 0 20 1 1 2012 12 31 20 Y Phase in BIS 12 Regulatory Deduction 13 Regulatory Deduction 14 Regulatory Deduction The entire processing is done in sub processes Provisions and Gross Capital Calculations and Post Phase In Treatment calculations in process BASELII_CAPITAL_STRUCTURE Bifurcation of Insignificant and Significant Investment amount All the investment transactions in Insignificant Entity and Significant Entity goes for bifurcation Insignificant investment amount below 10 are stamped as INSIG RWA and any amount above 10 are stamped as INSIG DED The same logic is applied to Significant Investment amount in CET1 The CET1 amount in Significant Investment entity that is below 15 limit is stamped as SIG RWA and amoun
244. he DEFO Message Type Maintenance Screen 1s displayed 2 Select the message category from the Message Type drop down list 3 Edit the message details by doing the following o The defined Message Subject and Message Content is auto populated Edit the details as required o Add or remove the defined recipients Double click on the required member to toggle between Available and Mapped Recipients list NOTE Selecting Authorizer alerts all the selected authorizers for authorization 4 Click Save A confirmation is displayed on updating the Message Type details Oracle Financial Software Services Confidential Restricted 36 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Forms Authorization Forms Authorization within the Data Entry Forms and Queries section of the infrastructure system facilitates you to view and authorize approve any changes that are made to the privileges assigned to a user in a particular form You need to have FRMAUTH function role mapped to access Forms Authorization screen NOTE You cannot authorize or reject a right request created by you even 1f you have FRMAUTH function role mapped You can access Forms Authorization screen from the left hand side LHS menu of Infrastructure home page Click and expand the Unified Metadata Manager and select Data Entry Forms and Queries gt Forms Authorization Windows Internet Explorer SEE Fi
245. he checkbox adjacent to the record which you want to delete 2 cricid An information dialog is displayed 3 Click OK to confirm and delete the record Excel Upload Excel Upload utility facilitates you to upload excel data sheets to specific destination table and map the table s columns with the columns in MS Excel In order to view the Excel Upload utility within the Infrastructure system you need to manually copy the ssh folder from the Application layer to the Web Server area after the OFSAATI installation Contact System Administrator for more information Excel Upload supports excel files created in Microsoft 2007 along with the earlier versions Also you can map and upload multiple sheets created within a single excel file The Excel Entity Mappings and Upload utilities have the restricted access depending on the following function roles mapped e Users with XLADMIN and XLUSER function roles can perform both mapping and upload operations Users with XLADMIN function role can only define mapping and authorize but cannot upload the file User with XLUSER function can only retrieve mapping definition pre defined by XLADMIN user and can upload the file based on retrieved mapping You can access DEFQ Excel upload by expanding Data Entry Forms and Queries section of Unified Metadata Manager module within the tree structure of LHS menu The DEFO Excel Upload screen displays the Excel Entity Mappings and Excel Upl
246. he table is indicated with an AuthFlag as indicated below Unauthorized records are displayed with the status flag U Authorized records are displayed with the status flag A Rejected records are displayed with the status flag R Modified records are displayed with the status flag M Deleted records are displayed with the status flag D e If an Unauthorized record is on Hold the status flag is displayed as H If a Modified record is on Hold the status flag is displayed as X If a Deleted record is on Hold the status flag is displayed as Z To Authorize Data in the DEFO Data Entry screen a E 1 Open the required Form in view mode and ick R The list of available records for Authorization is displayed If there are no records for Authorization in the selected Information Domain an alert message is displayed 2 Select the Auth checkbox adjacent to the required record with the status flag Unauthorized Put On Hold and click Save A confirmation dialog is displayed Click OK You can also do a Bulk Authorization if Excel Map is selected in the Sort Fields Selection screen Select the mapped Excel Name from the Select Excel Sheet Name drop down list The DEFO Data Entry screen displays only those records which are uploaded though the selected Excel sheet Click Authorize Excel A confirmation dialog is displayed Click OK Y ou can reject hold
247. hen can the input parameters be changed Yes you can change the input parameter by adding or deleting the Rule related to Annual Gross Income To achieve this modify the BP expression Ops Risk Annual Gross Income by adding the newly defined measure or deleting the used measure Data Model can undergo changes if the newly added parameter is not captured The data model changes affect the staging table as well as the processing table Question 18 Can reclassification rule for mapping of internal line of business to standard line of business be modified Yes you can change Reclassification Rule as per jurisdiction requirement You need to add the mapping in the Rule OR Internal LoB to Standard LoB Reclassification as well as make an entry into dim_lob and dim_standard_lob Capital Structure Basel IIT Question 19 Are the list of instruments provided for each component of Capital i e CET1 AT1 and T2 fixed or can the list of instrument be extended or reduced to accommodate as per the requirement The list of instruments mapped to different components of capital is a bare minimum list You can add or delete as per their definition of Capital by adding or deleting a mapping in the Rule Non Sec Standard Product type to Capital Comp Group Reclassification for banking book non securitization exposures and in Rule Mkt Risk Intrument type to Capital Comp Group Reclassification for trading book exposures No data model changes are requir
248. hich can be configured If you encounter any of the following problems contact the System Administrator Your user ID and password are not recognized Your user ID is locked after three consecutive unsuccessful attempts Your user ID has been disabled e Guest user cannot change the password OFSAAI Splash Screen On successful login the Infrastructure splash screen is displayed The splash screen is divided into three frames as depicted in the following image Oracle Financial Software Services Confidential Restricted 10 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Top Header F OFSAA Infrastructure Windows Internet Explorer AAA Financial Services Analytical Applications Infrastructure User ORMUSER ORACCE Logout Change Passwor About Connected to PROD 4 In Setup Connected to AAIPROD74 v A Home Unified Metadata Manager EY Rules Framework fff Forms Framework Operations El System Configuration Administration Advanced Analytics Infrastructure a AMHM UMM Offline Population Financial Services Applications Set My Home Page Forms Framework v pe pe pF Left Hand Side LHS Function Menu Frame The Header frame displays the user details along with the Information Domain selected in the right hand corner in top frame of the screen To exit Oracle Financial Services Analytical A
249. hort Description p i E mooo1 E moo01cre E M0002CRP E moo003crP E mooos moooscRP m0006 MODOSCRP MSR Non Sec Outstanding Principal Original Exposure Pre Conversion Factors Of Which Arising from Counterparty Credit Risk Value Adjustments and Provisions Associated with the Original Exposure Guarantees MSR Non Sec Add On Percent Credit Derivatives MSR Non Sec Notional Principal Financial collateral simple method MSR Non Sec Current Exposure Long Description Measure for Outstanding Principal Original Exposure Pre Conversion Factors Of Which Arising from Counterparty Credit Risk Value Adjustments and Provisions Associated with the Original Guarantees Measure for Add On Percent Credit Derivatives o Measure for Notional Principal Financial collateral simple method Measure for Current Exposure S gt w wo ww Aggregation Function UM SUN w uw w Entity FCT_NON_SEC_EXPOSURES WW_CRP_SA_CR_NON_SEC_REP VW_CRP_SA_CR_NON_SEC_REP WW_CRP_SA_CR_NON_SEC_REP Attribute n_outstanding_principal ORIG_EXP_PRE_CONV_FACTORS OF_ARISING_COUNTERPARTY_CR VALUE_OF_ADJ_PROV_ORIG_EXP VW_CRP_SA_CR_NON_SEC_REP GUARANTEES FCT_NON_SEC_EXPOSURES VW_CRP_SA _CR_NON_SEC_REP FCT_NON_SEC_EXPOSURES VW_CRP_SA CR_NON_SEC_REP n_addon_percent CREDIT_DERIVATIVES n_notional_principal FIN_COLL_SIMPLE_METHOD M0007 w R R FCT_NON_SEC_EXPOSURES n_e
250. hy Selected Option RUN_PARAMETERS column name column value Non Securitization v_crm_method Regulation Basel II Segment BIS Approach Hierarchy Selected Option RUN_PARAMETERS RUN_PARA column name METERS column value Non Securitization Standardized i Ae I oproon oClaims on Sovereign 1 v_nss_eca_for_soverign OPTOO04 Use ECA Country S for risk weighti lai S j se ountry Scores for risk weighting claims on Sovereign OPTOOOS Non Securitization Standardized OPro00s oClaims on PSE Option I v_nss_rw_option_dpse OPTO008 Option used for claims on domestic PSEs Op onTi OPT0009 Non Securitization Standardized OPrO012 oClaims on Bank Option I v_nss_rw_option_bank OPT0012 Option for risk weighting claims on Banks Option II OPT0013 Non Securitization Standardized x OPT0016 oClaims on Corporates Yes v_nss_100pct_rw_corp Supervisor permission to risk weight all corporate claims at Yes OPT0017 OPT0020 v_nss_lower_rw_cre 100 without regard to external rating Non Securitization Standardized oClaims Secured by Commercial Real Estate Has the national supervisor permitted a lower RW for certain Oracle Financial Software Services Confidential Restricted 241 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Approach Hierarchy Selected Option RUN_PARAMETERS RUN_PARA METERS column name column value A n OPT0024 v_nss_pastdue_for_non Past due treatment for non past due loans to
251. ial Restricted 179 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Calculation of Capital for Commodities Commodity Data Population Calculation of Net Open Position Simplified Approach Maturity Ladder Approach Summary Output Commodity Data Population Commodity data is captured at an exposure level with commodity identifier as information Commodity identifier is referred from the list of commodities available in the dimension table meant only for commodities Position Offset Application does a position offset for commodities based on common commodity group identifier The net long and short position is carried forward for commodity risk charge application In case of any derivative position taken on commodity the capital charge is calculated based on position conversion to capture both option or interest rate risk charge if existing and a capital charge for the commodity Simplified Approach In case of simple approach application moves date from market risk exposure table to market risk commodity capital table In Simplified approach application calculates 15 capital charge on the net open long or open short position plus an additional 3 capital charge on gross position long plus short for each commodity group Maturity Ladder Approach In maturity ladder approach Application creates 7 maturity ladders as per the definition given in Basel II guidelines for Market Risk The of
252. ial Restricted 39 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Single Record Editable View Grid Default Multi column Wrapped rows Search Records To view a single record details at any given point You can use the navigation buttons to view the next record in the table To view and edit a single record A list of five rows records is displayed by default and the same can be changed by entering the required number in Display Rows You need to select the required record from the list to view edit and click Save to update the changes To view all the records in a list A list of five rows records is displayed by default and the same can be changed by entering the required number in Display Rows You can click on the column header to alphabetically sort the list of records in the table To view all the columns of a selected record This layout enables you to view a record without having to scroll or with minimum scrolling to view all the columns To view all the rows of a selected record This layout enables you to view a wrapping row easily without having to scroll horizontally to view the columns In the DEFO Data Entry screen you can Search for a record in the View Edit and Authorize modes You can perform a quick Search to find a specific record or run an Advanced Search to further query the record for the required details To search for a record in the
253. ication details in the Source Designer screen To define Data Source applications in the Define Applications grid 1 Enter the Application Name by which you can identify the application 2 Enter a description or related information about the application The application details should contain the name and information pertaining to the source data required For example ABC Corporate can be the source application ABC Corporate sales can be the description and data can be extracted from Oracle database which has RDBMS Source Type Click icon in Define Applications tool bar and save the application details You can also click icon to define another application or click icon to clear the specified details To Edit the Data Source Applications description in the Define Applications grid 1 Select the required application from the LHS menu The application details are displayed in the Define Applications grid 2 Click icon in the Define Applications tool bar 3 Edit the application description as required 4 Click button and save the application details Oracle Financial Software Services Confidential Restricted 13 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 To Delete Data Source applications in the Define Applications grid ensure that there are no data sources mapped If a model is generated using the application the data sources cannot be unmapped and hence the appli
254. icking button Click OK The selected source entities are displayed in the Flat File Entities grid The available columns in Delimited File are Source Table Source Column Data Type Order and Date Format The available columns in Fixed Width File are Source Table Source Column Data Type Order Precision Scale Source Start Position Date Format and Length Specify the Source Properties in the Define Extract grid l Click icon in the Define Extract tool bar The Properties screen is displayed 2 Specify the properties by entering the required value or selecting an option from the drop down list Field Delimiter and Data File Locale are mandatory fields for Delimited File and only Data File Locale is mandatory field for Fixed Width File 3 Click icon in the Define Extract tool bar and save the details Map Source to Target Table in the Source Target Mappings grid 1 Click icon in the Source Target Mapping tool bar The DI Mapping screen is displayed 2 Select the Target Infodom form the drop down list The source details in the selected Information Domain are displayed in the Definition pane of Target Table Map Panel 3 Select the Target Table from Target Entities drop down list The selected entities are displayed in the Target Entities pane of Target Table Map Panel To map Source to Target do one of the following O Select a Definition and Target Entity in each column and click button Click button to Auto Map the s
255. id with Grid Layout multiple rows of data Single Record Layout It displays a single record at a time It is a combination of the Single Record and Grid layout By selecting a record in the grid the record is displayed in a single record format which is editable By default Edit View Layout A E the first record will be displayed in the editable grid Note The column names are editable only during altering the created Form It displays a single record with its column in a grid format You can view a multi Multi Column Layout column layout Form without having to scroll or with minimum scrolling to view all the columns It displays rows of a single record in a wrapped manner in a grid format You can Wrapping Row Layout view a wrapping row layout Form easily without having to scroll horizontally to view all the data Oracle Financial Software Services Confidential Restricted 31 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 It displays the Hierarchical dimensional table with the selected dimension details You can select the following options Dimensional Table Tree Tree View Layout Parent Child Tree Note The process to create a Form using the Tree View Layout differs from the procedure explained below 3 Select the required layout and click Next The List of Available Tables is displayed 4 Select the required Table from the list on which
256. ification Type Classification 2 List love Location Code Name Type Source HBL0028 Counterparty Type Hierarchy Target HBL0045 Standard Counterparty Type Hierarchy Next Preview Pooling Sub Processes can also contain Pooling and Optimizer definitions Pooling identifies and allocates Credit Risk Mitigants to each Exposure into set categories Pooling consists of the following e Data Set A Data Set is a group of tables whose inter relationship is defined by specifying a join condition between the various tables e Pooling Basis Pooling Basis identifies the Exposures and Mitigant data from the Fact Sub Exposures Table e Output is the measure which pools the Exposures and Mitigant mapping into set categories and stores in a target area Click Pooling Sub Exposures Mitigant appearing under Sub Process Exposures Mitigant Pooling in the Run Details Screen The following figure displays the metadata mapped to Pooling Sub Exposures Mitigant Oracle Financial Software Services Confidential Restricted 60 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Details of Pooling Sub Exposures Mitigant Pooling Mame Sub Exposures Mitigant Pooling Code 1147078004924 Created By SYSADMN Creation Date 08 MAY 2006 02 46 45 PM Last Modified By SYSADMN Last Modification Date 12 JUN 2008 05 53 25 PM Comments NA Dataset Non Securitization Optimizer Dataset Pooling Basis Exposures Mitigants O
257. ifies it as CVA Hedge N_CDS_INDEX_AVG_SPREAD Average traded CDS Index Spread which is required for assignment of weight to the index V_REF_ENTITY_PARTY_ID This field captures the counterparty of the hedge transaction Counterparty Level Exposure Population The application expects the uncovered EAD at netting set level or at trade level This is available as an output of Current Exposure Method CEM If more than one netting set is available then the exposures are summed at counterparty level Maturity adjustment discount factor is computed at netting set level or for each netting set using the formula 1 exp 0 05 M 0 05 M Maturity is the notional weighted maturity at netting set level The application sums the data for exposure at counterparty level If more than one netting set is available the exposures are discounted and then summed at counterparty level Weight assignment is done based on the counterparty rating as specified in the following table Data is aggregated at counterparty level and stored in separate counterparty table fe Index Decomposition Required You can select index decomposition which is executed in the Run Management screen Index decomposition option creates single name CDS hedge positions for the counterparties which are part of the CDS Index and also have exposures Index hedge amount is adjusted by the same amount for which single name CDS Hedge is created so as to get maximum benefit fro
258. igant EAD Constraint Co Efficient BP Sub Exposure Mitigant Amount X Variable Bounds BF Upper Bound for Optimizer Integer Identifier NA Output Yes Yes MSR CRM Covered Factor MSR CRM Covered Factor To view further details on the Dataset like the Selected Entities used in the Data Set and the Join Condition as shown in the following figure click Optimizer Data set Oracle Financial Software Services Confidential Restricted 66 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Details of Dataset Non Securitization Optimizer Dataset Name DS0023 Short Description Non Securitization Optimizer Dataset Long Description Non Securitization Optimizer Dataset Comments Created By SYSADMN Creation Date October 16 2012 1 17 36 PM Last Modified By SYSADMN Modification Date October 27 2012 3 53 39 PM Authorized By SYSADMN Sber 27 2012 3 53 40 PR Party Dimension Fact Sub Exposures Date Dimension Run Dimension Mitigant Dimension Standard Mitigant Type Dimension Run Identifier Basel Product Types Dimension Authorization Date Selected Entities Country Dimension Basel Asset Class Join Condition OUTER JOIN DIM_RUN ON FCT_SUB_EXPOSURES n_ run skey DIM_RUN n_run_skey LEFT OUTER JOIN DIM_MITIGANT ON FCT_SUB EXPOSURES n _mitigant_ skey DIM MITIGANT n mitigant_ skey LEFT OUTER JOIN DIM STD MITIGANT TYPE ON FCT SUB
259. ile sh file located in default figdb bin path You can also specify the path till the file name 6 Click Finish and save the External Library Transformation details The Transformation details are added to the list in LHS menu and a confirmation dialog is displayed Click OK You can load the transformation by double clicking in LHS menu to view or edit 2 3 2 Data Entry Forms and Queries Data entry Forms and Queries DEFQ within the Infrastructure system facilitates you to design web based user friendly Data Entry screens with a choice of layouts for easy data view and data manipulation DEFQ consists of the following sections Click the links to view the sections in detail Forms Designer e Forms Authorization e Data Entry e Excel Upload Forms Designer Forms Designer within the Data Entry Forms and Queries section facilitates you to design web based user friendly Forms using the pre defined layouts The DEFO Forms Designer screen displays a list of pre defined options to create modify and delete Forms You can also assign rights and define messages By default the option to Create a New Form is selected and the left pane indicates the total steps involved in the process The available options are as indicated below Click on the links to view the section in detail Create a New Form e Alter Existing Forms Copy Forms Delete Forms Assign Rights e Message Type Maintenance Create a New Form To design a
260. in the grid It provides the following details of the run e Run name e Run Type e Created By e Creation Date e Modification By e Modification Date The Search Panel has a provision to search based on segment Run name and Run type Basel Regulatory Capital ORACLE Basel Regulatory Capital Run Management Summary 3 Portfolio Definition Run Definition 2 Search a i Run Execution Attribution Analysis Segment h Run Name Pooling 2 Optimizer Run Type 2 List of Runs y 1 to 25 of 34 Run Name Run Type Created By Created Date Last Modified By Last Modified Date Vv F Capital Calculation BIS Foundation IRB Approach BASELINE RUN SYSADMN 06 26 2012 SYSADMN 11 23 2012 F Capital Calculation BIS Basel Approach BASELINE RUN SYSADMN 06 26 2012 SYSADMN 07 26 2012 Q i Mark BISS n A E a AE E ES SE BASELINE RUN SYSADMN 06 26 2012 SYSADMN 06 26 2012 Approach r As A e P e Si on Ma BASELINE RUN SYSADMN 06 26 2012 SYSADMN 06 26 2012 Standardised Approach LAs i e Q ee BASELINE RUN SYSADMN 06 26 2012 SYSADMN 06 26 2012 Approach Ala A E arati 3 e E AAA pana BASELINE RUN SYSADMN 06 26 2012 SYSADMN 06 26 2012 Alternate Standardised Approach era a e BASELINE RUN SYSADMN 06 26 2012 SYSADMN 06 26 2012 Standardised Approach Al A a in E e a Are e o E SS 06 26 2012 SYSADMN 06 26 2012 Indicator Approach 7 aa PA You can see the complete list of runs with the help of pagination by navigatin
261. include loans investments Bonds Facilities Purchase Receivables and so on are known as Non Securitized Exposures Probability of Default Ratings Based Approach Reserve Bank of India Relational Database Management System This is a jurisdiction specific requirement These reporting requirements are over and above the Pillar II reporting requirements and to be submitted to respective regulators Residential Real Estate Risk Weighted Assets Slowly Changing Dimension Supervisory Formula Approach Securities Financing Transactions Simple Risk Weight Approach Transaction Statutory Liquidity Ratio Process of defining shocks stress scenarios and specifying a standalone execution of stress scenarios to obtain the stress values of the variables or mapping a scenario to a Baseline Run Table to Table Value at Risk Oracle Financial Software Services Confidential Restricted 259 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Oracle Financial Software Services Confidential Restricted 260
262. ing exposures table for Investors The securitization underlying data for the Resecuritization pool are expected in the Exposures table with an identifier referring the Resecuritization Pool For the Securitization underlying information required for computing the Kssra are required as direct download in the exposures table or else the underlying exposures pool and the tranche information are required in the Underlying Exposures Pool and Tranche table respectively The application computes the capital requirement of each of the non securitized underlying exposures using the PD LGD approach The application then calculates the weighted average capital requirement of these non securitized underlying and updates the Non Securitization Kg for the resecuritized pool The application proceeds with the computation of the Kssra using all the data available The application computes the Kgsra for all the securitized exposures including the exposures which are the underlying for the resecuritization pool The application then calculates the weighted average Kssra Of these securitized exposures and updates the Securitization Kg for the resecuritized pool The application computes the Pool KG for the resecuritized pool using the below formula of Securitization Underlying Securitization KG 100 of Securitization Underlying Non Securitization KG Question 25 What is the data expectancy of the application in the case of Nth to Default So
263. ing of VaR number by comparing the total VaR with hypothetical an actual profit and loss In case the VaR breaches the hypothetical an actual profit and loss solution updates each breach as an exception Risk Weighted Assets VaR number is changed to RWA by multiplying an inverse of 12 5 e Summary Output Population The reporting of VaR numbers happens out of fact market risk summary under respective reporting line item Oracle Financial Software Services Confidential Restricted 182 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Operational Risk Overview Operational Risk OR 1s an adverse outcome resulting from internal events or external events Adverse impact due to internal events can arise from inadequate or failed internal processes people or systems External losses can occur due to theft of information or hacking of systems The Basel II accord has prescribed three methods for calculating OR capital charges and banks can use any of these methods to calculate capital charge Basic Indicator Approach e Standardized Approach Alternative Standardized Approach NOTE While executing Solo Run for computing Operational Risk the parent entity data is processed However for a Consolidation Run the Parent entity as well as the subsidiary data is processed Basic Indicator Approach To calculate the Capital Charge under the Basic Indicator Approach BIA the annual gross income for
264. ingle Counterparty Exposure In a Capital Calculation Run the application calculates the Risk Weights EAD and the RWA for all the credit exposures to a single counterparty In this run we also calculate the capital adequacy ratio to the reporting agency In a Single Counterparty run the application only calculates the concentration of Credit exposure against a particular counterparty No RWA calculation or CAR calculation required If you are creating a Capital Calculation Run 1 Click to select the relevant risk type for which you want to execute the Run shown in the following figure Oracle Financial Software Services Confidential Restricted 228 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 2 Select Select Capital Structures Credit Risk _ Market Risk C Operational Risk O Yes No CRM Yes O No 11 111 Click to select Yes or No to include or exclude Capital Structure Computation and CRM CRM is the process which incorporates the eligible deductions provided against specific exposures by the bank functionality in the Run shown in the preceding figure Click the relevant Risk tab highlighted as per earlier selection of risk type to select the approaches within each risk type shown in the following figure Credit Risk Market Risk Operational Risk If you are creating a Single Counterparty Run 1 Click to selec
265. ion takes the arbitrage information as a mapping in equity arbitrage mapping table where any opposite future derivative created as hedge for the underlying equity exposures is expected The application applies a 2 specific charge on lower of opposite index position created or equity underlying In case of deliberate arbitrage position in equity 90 or more of matched position between index and equity gets a 4 capital charge For the slippage of 10 or less equity weightage in the basket is calculated as particular equity position amount out of total equity amount and then compared with equity weight age as part of index for value less than equal to 10 The 10 value is identified as a slippage and an amount lower of equity or index is carried forward as net open long or open short position anda 8 specific risk charge iS applied Oracle Financial Software Services Confidential Restricted 178 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 In case of depository receipts with opposite position in underlying identical equities the mapping is expected in a depository receipts and issue mapping table where the depository receipts are mapped against the underlying equity with a conversion factor to take care of the conversion amount for offsetting The matched opposite position in underlying equity are offset and the net open position are carried forward for an equity specific and general risk charge Gener
266. is computed according to the asset class of the counterparty Different approaches are followed for counterparties falling under different asset class The asset type prescribed according to Basel is e Corporate Oracle Financial Software Services Confidential Restricted 5 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Sovereign Retail e Specialized Lending Securitization e Banking Book Other Assets Liquidity Risk Management Liquidity Risk Management LRM has emerged as a critical risk management function for banking institutions as regulators increasingly require banks to have a robust liquidity management framework in place As per the Basel Committee on Banking Supervision BCBS liquidity is the ability of a bank to fund increases in assets and meet obligations as they come due without occurring unacceptable losses 1 Oracle Financial Services Liquidity Risk Management Release 2 0 is designed to address liquidity risk of banking institutions across the world It allows institutions to comply with the Individual Liquidity Adequacy Standards ILAS or similar standards issued by other regulators The objective of the LRM Application is to provide a control system to financial institutions to help them identify measure monitor and manage liquidity risk Oracle Financial Services Liquidity Risk Management Release 2 0 supports the following functionalities
267. isted in the Business Processor screen after validating the entries You can view individual Business Processor definition details at any given point by clicking the icon The View Business Processor screen displays the details of the selected Business Processor definition The Oracle Financial Software Services Confidential Restricted 85 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 User Info grid at the bottom of the screen displays the metadata information about the Business Processor definition along with the option to add comments You can update the existing Business Processor definition details except for the Business Processor Code and Short Description by clicking the icon You can copy the existing Business Processor to quickly create a new Business Processor definition based on the existing rule details or by updating the required parameters by clicking the icon You can remove Business Processor definition s which are no longer required in the system by clicking the mi icon Derived Entity Entity refers to a table in which data is stored Derived Entity within the Infrastructure system facilitates you to define entities which are populated through a series of data transformation processes resulting from an existing Data Set or a Source Application An Entity can be used to define other Business Metadata such as measures hierarchies dimensions data sets and cubes
268. ital Basic User Guide Release 6 0 0 0 0 Connected to BASEL6DOM v Database Extract amp Data Integrator DI Browser Attribution_Ana Extract Name s amp BASELSOL Extract To Y File 28 common Applications Attribution_Analysis Sources Attribution_SRC 2 Extract Entities Y Es Source Table Souroe Column Order Data Type Length Date Format Expression Value No Record found 2 Join Filter ANSI Join Hint ANSI Join Filter 2 Source Target mappings m Source Table Source Column Target Table Target Column Expression No Record found 2 Hint Hint The Database Extracts screen displays the list of pre defined Database Extract Mappings in the LHS menu and the options to define and Map the Data Sources to populate the required Table or File You can also make use of Pagination option to view the list of pre defined Database Extracts within the system In the Database Extracts screen of the Warehouse Designer you can e Define extracts Entities and related Properties Map the Source to Target model table or file Database Extraction The Database Extracts screen facilitates you to extract data sources to a Table or a File Extract to Table option is supported only when the source and target tables belong to the same database type You can Load data incrementally from any RDBMS data source to a table based on certain criteria and Extract data to a fil
269. ities grid as Derived Column The specified ANSI Join or Joins Filter and Hints are also displayed and can be edited 7 Click icon in the Define Extract tool bar and save the details NOTE While saving the Database Extract details the system alerts you if the mandatory properties are not specified or if the grid data 1s not validated 8 An information dialog is displayed on completion Click OK Map Source to Target Table in the Source Target Mappings grid 1 Click icon in the Source Target Mapping tool bar The DI Mapping screen is displayed 2 Select the Target Infodom form the drop down list The source details in the selected infodom are displayed in the Definition pane of Target Table Map Panel 3 Select the Target Table from Target Entities drop down list The selected entities are displayed in the Target Entities pane of Target Table Map Panel To map Source to Target do one of the following o Select a Definition and Target Entity in each column and click button o Click button to Auto Map the selected definitions and Target Entities o You can Un Map a definition from a Target Entity by clicking button or Un Map All definitions by clicking button You can also search for a specific definition by entering the keywords and clicking button o Click Save and save the mapping details Specify the Properties in the Source Target Mappings grid Oracle Financial Software Services Confidential Restricted 23 User Guide O
270. itivity risk charge includes delta risk gamma risk and vega risk charge The formula used against each of the sensitivity charge is as per Basel II guidelines on Market risk Summary Output The capital charge for option is reported from summary table where reporting line is options where as the underlying risk charge gets reported under the respective reporting line Scenario Matrix Approach Currently the application does not cater to scenario matrix approach for option contracts Key Data Elements A few key data elements are listed in this section For a complete list of tables and columns to be populated Download Specification document For Staging Data Population the key data elements involved are as follows e Interest Rate Historical Data Interest Rate information for IR instrument is stored here 9 Bank Positions Price of Instrument and No of Units for OTC instruments are stored here e Market Instrument Contract Price of Non OTC instruments is stored here For Market Risk Processing the key data elements involved are as follows Instrument contract Instrument Type Counter party type currency code coupon rate effective date maturity date strike price coupon rate coupon frequency are stored here e Forex Exposures Exposure amount asset amount asset accrued interest asset accrued profit are stored here Oracle Financial Software Services Confidential Restricted 181 User Guide Oracle Financial Service
271. ized Approach Include SFTs for CVA calculation OPT0062 O OPT0063 E Non Securitization Standardized Yes V_CVA_CDS_INDEX_DECOM oCredit Value Adjustments POSITION CVA Standardized Approach CDS Index Needs to be decomposed OPT0065 O OPT0066 E Oracle Financial Software Services Confidential Restricted 144 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Selected RUN_PARAMETERS column Approach Hierarchy Option name Securitization Standardized Securitization Supervisory Formula Approach V_SSF_SIMPLE_N_LGD oUsage of Simplified Method for computing N and LGD Yes Standardized Approach v_mrs_interest_rate_method oInterest Rate Risk General f Market Risk Duration Method General Market Risk Maturity Method Standardized Approach v_mrs_commodity_risk_method oCommodity Risk Simplified Approach Maturity Ladder Approach Standardized Approach A v_mrs_options_method oOptions Simplified Approach Delta Plus Approach Attribution Analysis GUI on page 234 Oracle Financial Software Services Confidential Restricted v_sec_approach RUN_PARAME TERS column value OPT0500 OPT0611 OPT0612 OPT1003 OPT1004 OPT1008 OPT1009 OPT1013 OPT1014 145 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Chapter 4 Key Operational Concepts 4 1 Basel II 4 1 1 Risk Weighted Assets Calculation Credit Risk The ap
272. k OK in the information dialog to confirm deletion An information dialog is displayed confirming the deletion of the Process definition s and asking the authorization of the same 2 4 3 The Run option in the Rules framework helps you to combine various components and or Processes together and execute them with different underlying approaches Further Run Conditions and or Job Conditions can be specified while defining a Run Run Two types of Runs can be defined namely Base Run and Simulation Run Base Run allows you to combine different Rules and Processes together as Jobs and apply Run Conditions and job Conditions Simulation Run allows you to replace a Job with another Job a Job can be a Rule or a Process in addition to what a Base Run does gt OFSAA Infrastructure Windows Internet Explorer Financial Services Analytical Applications Infrastructure User pr2user ORACLE Logout Change Password About Connected to PROD 4 In Setup Run Rule Framework gt gt Run A amp Search and Filter EX Search Reset Code Version 0 Name Active Yes v Folder Type v amp List 20 GS New Vie Edit Remove Authorize Export gt Page1 28 ry ol Code Name 10Apr_stress_1 10Apr_stress_1 Jump to page Type Folder Version Active Base Run AAIPROD74SEG Base Run AAIPROD74SEG Base Run AAIPROD74SEG Yes 10Apr_stress_111 10Apr_stress_111 Yes 10Apr_stress_1111 10Apr_stress_1111 Yes
273. l Basic User Guide Release 6 0 0 0 0 Enter a Short Description based on the defined code Ensure that the description is of a Short Description maximum of 8 characters in length and does not contain any special characters except 66 39 underscore Enter the Long Description if you are creating subject oriented Hierarchy to help users for Long Description whom the Hierarchy is being created or other details about the type subject Ensure that description is of a maximum of 100 characters in length 3 In the Business Hierarchy Definition section select the Hierarchy Type from the drop down list NOTE Hierarchy Type is the basic differentiator and based on your selection the other options to define the Business Hierarchy are available You can select the following Hierarchy Type Sub Type Click the links to navigate to the respective sections and define the required Hierarchy Hierarchy Type Description Hierarchy Sub Type In a Regular Hierarchy Type you can define the following Hierarchy Sub Types Non Business Intelligence Enabled In a non Business Intelligence Enabled Hierarchy you need to manually add the required levels The levels defined will form the Hierarchy Business Intelligence Enabled You can Enable Business Intelligence hierarchy when you are not sure of the Hierarchy structure leaf values or the information is volatile and also when the Hierarchy structure can be directly selected from RDBMS colu
274. l charge stated in Basel II guidelines for market risk Summary Output For reporting purposes the application moves data from market risk capital table to market risk reporting table At the end Risk Weight Asset is calculated in Market Risk summary table by multiplying capital charge with 12 5 The interest risk charge gets reported out of market risk summary table under Interest Risk charge reporting line Specific and general risk charge for interest rate is also reported separately from the summary table Equity Risk Charge The application calculates equity capital charge as summation of Specific Risk charge and General Risk charge The process flow for calculation of Equity Risk Charge is as follows Equity Capital Charge Position Offsetting Specific Risk Charge General Risk Charge summary Output Position Offset Long and short position in the same equity instrument are offset for the matched position and net open position is carried forward as net long or net short position for specific and general risk charge calculation Specific risk charge The application assigns specific risk charge as 8 on gross equity positions For an index equity which is well diversified a 4 specific risk charge 1s applied In case of equity derivative the application takes into account either any future related arbitrage or deliberate arbitrage strategy created on equity In case equity arbitrage is created out of futures the applicat
275. l data Excel Upload supports excel files created in Microsoft 2007 and earlier versions along with the option to map and upload multiple sheets created within a single excel file You need to ensure that the excel data contains the dates in the format as defined in Add Excel Entity Mapping definition To upload excel data in the Excel Upload screen 1 Click Browse in the Excel File to Upload grid The Choose File to Upload dialog is displayed 2 Select the required Excel and click icon The columns in excel are populated in the Sheet drop down list and the Preview grid displays the data of the selected excel file gt DEFQ Excel Upload Windows Internet Explorer Financial Services Analytical Applications Infrastructure User stuser Change Password bout ORACLE Information Domain 4TOM 7351 Excel Upload Excel Upload 2 Excel File to Upload Excel File C Documents and Settings aneeshkiDesktop PR_D Browse a Sheet Sheet amp Preview Product 2 Excel Entity Mappings Select Mapping countryREQUIREDFIELD Browse e Local intranet 3 Click Browse in the Excel Entity Mappings grid The Mapping Selector dialog is displayed with the pre defined mapping details 4 Select the checkbox adjacent to the required mapping definition and click OK 5 Click Upload A confirmation dialog is displayed on successful upload and the excel data is uploaded to the database table Oracle Financial So
276. later point A message 1s sent to the Form creator indicating that records are authorized rejected put on hold Export Form Data You can export the required record s to a selected location in CSV format To Export Form Data in the DEFO Data Entry screen 1 Inthe View mode select the checkbox adjacent to the record s which you want export z pA ci The File Download dialog is displayed Click Save The Save As dialog is displayed 4 Select the location and click Save The selected record is exported Copy Form Data You can copy the existing fields and create new fields in a record When you copy a field the primary key values are incremented from the pre defined value to the next acceptable value However the other fields can be modified as required To copy fields in the DEFO Data Entry screen E 1 Open the required Form in view mode and clickE224 The list of available records is displayed All the primary field data indicated by is incremented by default 2 Click Save The field values are added to the record You can click Edit to modify the values or click Next to copy the next set of fields Oracle Financial Software Services Confidential Restricted 44 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Delete Form Details You can remove a Form details which are no longer required by deleting from the DEFQ Data Entry screen 1 Inthe View mode select t
277. ld Credit Protection records The application expects the Nth to Default Sold Credit Protection data in the Credit Derivatives table and nth to default flag as Y The tagging of the Sold Protection to the Protected Securitization Pool is expected in the Underlying Exposures table All the underlying information pertaining to the Protected Pool is expected in the Underlying Exposures table with the tagging of the Securitization Pool The Pool details are captured in the Pool table For Nth to Default Sold credit protection to resecuritized pool the application expects the Nth to Default Sold Credit Protection data in the Credit Derivatives table and nth to default flag as Y The tagging of the Sold Protection to the Protected Securitization Pool is expected in the Underlying Exposures table All the non securitized exposure underlying information pertaining to the Protected Pool is expected in the Underlying Exposures table with the tagging of the Securitization Pool In case of securitized underlying the tagging of the securitized exposure with the sold credit protection is expected in the Underlying Exposures table with the Securitized flag as Y For this securitized underlying the corresponding exposure details tranche and pool details are expected in the Sec Exposures table Tranche table and Pool table respectively The application expects the underlying data identifier as SCP in the Underlying Exposures table for Oracl
278. le mitigants will be applied a risk weight on mitigant value post haircut adjustment Process Flow SFT EAD calculation is computed in the sub process SFT Exposures RWA Comprehensive Approach SFT Underlying Data Population Volatility Haircut Assignment for SFT Underlying Pre Mitigation Post Volatility Haircut EAD Amount Calculation for Exposures Nettable Pool Data Population Pre Mitigation Risk Weighted Assets Unexpected Loss Calculation for the Pool SFT Underlying Data Population SFT transactions have got two data elements present First the parent transaction is captured and second the underlying information on which the parent transaction is built is captured separately with a data identifier Stg_Underlying Oracle Financial Software Services Confidential Restricted 155 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Exposures v_underlying_data_identifier as REPO for Repo transaction or MLT for Margin Lending Transaction Additionally the underlying data captures parent identifier code against each of the records V_Parent_exposure_ID For multiple underlying data for a single parent the unique parent identifier code is repeated across the underlying data e Volatility Haircut Assignment for SFT Underlying This is computed by the following Rules Exposure Volatility Haircut Assignment for Supervisory Haircut CRM Exposure Volatility Haircut for Equity and Mutual Fu
279. lease 6 0 0 0 0 Financial Services Analytical Applications Infrastructure User stuser ORACLE Change se ERAS A MIMO MOLA Aka aa PALA mo ino ama nanana LONMecieda UMJ TIM NU Logout About Last Login Date 08 08 20 09 48 SM Last Failed Login Date 08 08 20 N9 08 03 4h ps E Alas amp Search and Filter Entity Authorized 2 Available Entities oe Entities CAP_STRUCT_PARAM_MASTER COM_ENTITY_GROUP_MAP COM_ENTITY_PROCESS_DETAILS COM_VALUECODE_MAPPING CONTRA_GL_ACCOUNT CURRENCY_CONVERSION_FACTORS CURRENCY_MASTER DiM_ADJUSTMENT_FACTOR DiM_BANK_BASE_ROLE DiM_BANK_CAP_CONSL_APPR O O O O O O O O O 2 Aliases oe Alias O cecm_1 You Business Analysts need to have SYSBAU Oracle Cube Administrator ORACUB and View Alias function roles mapped to access Aliases section in the BMM framework You can access Aliases by expanding BMM section within the tree structure of LHS menu The Alias screen displays the options to create view edit copy and delete Aliases for a selected entity You can make use of Search and Filter option to search for specific Aliases based on entity name or authorized status Add Alias To create an Alias from the Alias screen 1 Select an entity from the Available Entities list for which you need to create an Alias The Aliases grid displays the available aliases for the selected entity 2 Click E4 icon in the Aliases grid The Add Alias screen is displayed Add Ali
280. lex rules Business Processors are designed to update a measure with another computed value When a rule that is defined with a Business Processor is processed the newly computed value is updated on the defined target gt OFSAA Infrastructure Windows Internet Explorer SEE Financial Services Analytical Applications Infrastructure User stuser Connected OL4P73In DA O Logout CHANJE About Last Login Date 08 08 2012 10 04 48 AM Last Failed Login Date 08 08 2012 10 04 45 4M Business Processor Business Processor amp Search and Filter Code Authorized amp Business Processor Code amp BP002 BP004 BP1 BPCHAR BPISSUE1 BPISU3 BPSU2 Short Description BP123111 BP004123 BP123 BPCHAR_ISSUE BPISSUE1 BPISU3 BPSU2 Short Description Long Description BP1_place_bp place BP004123rrrewrwrwrrrrrrweuriorioriorio BP1 BPCHAR_ISSUE BPISSUE1 BPISU3 BPSU2 Dataset BPDS_FCT_APP BPDS_FCT_APP BPDS_FCT_APP ADASET_Sd ANORJNAL FCT_APP_NORMA ANORJNAL JNAL T_APP_NORMA _APP_NORMA Ww Measure aaj aaj aaj AMAS1_SD MASISSUE MASSU3 MASSU2 BPUNTH BPUNTH BPUNTH _FCT_APP FILTCOND1 E JNAL 7 BP_non_numeric_col CT_APP_NORMALJN_ALS At JNAL FCT_APP_NORMA BP_NONMC BP_non_numeric_col pd 4 0040 0 0O 00000 DE DEPNDCY sd DEPNDCY ld The Business Processor screen displays the list of pre defined Business Processors with their Code Short Description
281. licable for both the staging and dimension model All of them are reclassified together as well Party type reclassification Rules handle reclassification for customer types issuer and entity types The reclassification is based on a simple logic For Example Individual is reclassified as Retail Asset Class Reclassification In this step on the basis of Basel product type and standard counterparty type an asset class is formed by the application This asset class is used for data processing Some examples for the reclassification are When standard counterparty is a large corporate the asset class is large corporate except when exposure has product types like cash and real estate For Basel product type gold the asset class is gold however when standard counterparty type is Central Counter Party the asset class is Central Counter Party For standard counterparty type Corporate Non SME and Basel product type as Loan the asset class is Corporate Non SME Asset class reclassification for all equity products is different as it is done on the basis of equity type and Basel product type Asset class reclassification for all mitigants is done on the basis of their standard mitigant type and standard issuer type Pre CRM EAD computation Oracle Financial Software Services Confidential Restricted 150 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Credit Conversion Factor This 1s applied to all
282. llowed Consolidation Approach Deduction Approach and Deduction Approach for each of the entity the Basel approach is selected For example if the share holding for an entity is 35 and part of consolidation process the approach selected for this entity is pro rata consolidation The above reclassification is done in task Cap Consl Basel Approach Type Reclassification for an Entity in process CAPITAL_CONSOLIDATION Gross Capital Calculation for T1 T2 and T3 The total gross capital for each Tier of capital that is T1 T2 and T3 are calculated as per the definition of T1 T2 and T3 by adding the relevant financial instrument in each tier of Capital The above calculation is done in sub process Capital Components Calculations in process CAP_STRUCT Internal Transaction and Reciprocal Cross Holding Transaction All inter group and reciprocal cross holding capital investments are marked as internal customer transaction and reciprocal cross holding respectively The marking is done by populating appropriate standard account head surrogate key for the exposures which qualifies as internal transaction or reciprocal cross holding Regulatory Adjustment from Tier 1 and Tier 2 All the regulatory adjustment line items are identified and 50 of the total amount is deducted from Tier capital and 50 from Tier2 Capital In Oracle Financial Software Services Confidential Restricted 186 User Guide Oracle Financial Se
283. ls Location Code Name Type Simulation Job v Job Fr Job 1281368142488 CREDIT_RATING_PROCESSING Process Job PRBLO0019 PARTY_RECLASSIFICATION_STD Process Job 1308699026230 NON_SEC_ DATA POPULATION Process El Job 1308860226730 MITIGANT_DATA_ POPULATION Process E Job 1308860522544 NON_SEC_EXP_MITIGANT_ MAPPING POP Process E Job 1259809926621 NON_SEC_STD Process FJ Job 1308846730198 SEC_DATA_POPULATION Process Job 1308860632939 SEC_EXP_MITIGANT_MAPPING_POP Process Job 1261519197321 SEC SID Process A process is a combination of Sub Processes Select a Process and click to view the sub process mapped to a Process The Sub Process mapped to the Process CAPITAL_ CONSOLIDATION is Capital Consolidation Approach For Process CREDIT_RATING_PROCESSING the Sub Process is Credit Rating Data Population Rules DT and T2Ts are combined to form a Sub Process A Rule is a combination of various computational logics that transforms data Rules are of two types Oracle Financial Software Services Confidential Restricted 51 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 e Computational rules Type 3 Rule consists of a Data Set Source Hierarchy and Target Business Processor Data Set A Dataset is a group of tables whose inter relationship is defined by specifying a join condition between the various tables Source Hierarchy Hierarchy is the organization of data into a logical
284. ls of the Run Parameters Stores the information on the parameter type The type can be HIER for Hierarchy LIST for dropdown V_PARAM_TYPE TEXT for input RADIO for radio button CALENDAR for calendar F_IS MANDATORY Stores the information whether the parameter is mandatory or not N_DISPLAY_ORDER Specifies the order in which the parameters need to appear in the screen Oracle Financial Software Services Confidential Restricted 237 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 F_IS_DEFAULT_PARAM Specifies 1f the parameter 1s default or not Indicative Value F_NODE_SELECTION Specifies 1f the hierarchy selection is single level or multi level V_RUN_TYPE Specifies the type of run BR for Baseline Run SR for Simulation Run ST for Stress Run F_IS_LEBASED Specifies that the run is LE based e Run_Parameters_LOV table This table contains the details of the run parameters defined in run_parameters Stores the code of the list of values to be displayed There are two types of modifications possible in Run Management as follows To add a new answer to an existing question l Non Securitization Standardized El Claims on Sovereign l Use ECA Country Scores for risk weighting claims on Sovereigns O Yes No l Claims on PSE l Option used for claims on domestic PSEs 2 Option O Option II l Claims on Bank l Option for risk weighting claims on IFS 2 Option O Option II El Claim
285. m Minimum Count or Sum Roll Up option when selected with Percentage Measures results in wrong values at intermediate total levels 5 Select the Entity to load the data for the Measure Click the icon The Entity and Attribute screen is displayed o Select the checkbox adjacent to the required Entities from the Available Entities list The corresponding attributes are displayed in the Available Attributes list Select the checkbox adjacent to the required Attribute NOTE The Entity list is dependent on the imported Data Model You can also search for an Entity using the Search option o Click Save The selected Entity and Attributes are displayed in the Entity field of the Oracle Financial Software Services Confidential Restricted 76 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Add Business Measures screen 6 Define the Business Exclusions rules for the base Measure You can enter the expression or click the icon to define using the Expression screen 7 Define Filter Expression to filter the aggregation process You can enter the expression or click icon to define using the Expression screen 8 Click Save and save the Business Measure details You can view individual Business Measure at any given point by clicking the icon The View Business Measures screen displays the details of the selected Business Measure definition The User Info grid at the bottom of the screen di
286. m Hedging Maturity of the single name CDS hedge is considered same as the maturity of index Index Weight Assignment The application derives the weight for each index by assigning Rating Rating is assigned by comparing the historical average spread of Index with Spread corresponding to the tenor which is equal to the maturity of index After getting the rating assign the weights to the index as per the reference table Weights Table Average Index Spread and Credit Spread data for different ratings are the inputs Index Spread is populated as a part of Mitigants Data Credit Spread data for respective ratings and tenors are required as inputs e CVA Hedge Calculations After population of hedge data and creation of single name CDS hedge from index the application sums the notional to counterparty level and populates in CVA Specific table Maturity Adjustment discount factor is computed using the formula 1 exp 0 05 Mihedge Oracle Financial Software Services Confidential Restricted 210 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 0 05 Mihedge If more than one CDS Contract is available for the counterparty the above amount is summed at counterparty level The Index Hedge amount is calculated separately Maturity Adjustment discount factor for index position is computed using the formula 1 exp 0 05 Mind 0 05 Mind If more than one index hedge is available then index hedge amoun
287. mation stored in the data warehouse or data store Before you begin do the following Select the required Information Domain An Information Domain refers to a logical grouping of specific information and defines the underlying data warehouse or data store in which the physical data model has been implemented When you login to the Infrastructure system you can access only those Information Domains to which your user ID is mapped Contact System Administrator for permissions to access a specific Information Domain Select the associated Segment Segments are defined through the Administration module A Segment facilitates you to classify all the related metadata in the selected Information Domain You are authorized to access only those metadata objects to which the segment and user roles have been mapped NOTE For Rules framework functionality the default system roles that are required are Business Analyst OBIEE Author and PR2 Administrator User mapped to the role PR2ADMIN will be able to access metadata objects across all segments within an Information Domain through the Rules Process and Run Framework The users mapped to the PR2 Administrator role will have the rights to Add View Edit and Delete definitions defined in the Rule Process and Run screens Users mapped to the particular Information Domain and segment can view only the Rules Process Run definitions defined in the selected Information Domain and
288. me gt pane In Component Selector screen you can also P o Search for a component by specifying the nearest keyword and clicking button o Click Ascending or Descending button to sort the selected components in Ascending or Descending order o Click or button to move up or move down the selected components o Click button to add parameters for the selected components o The parameters must be specified in double quotes and in case of multiple parameters specify the values separated by commas E g value 1 value 2 o Click button to remove selected components from the Tasks In lt Process Name gt pane NOTE Sub processes listed in Tasks In lt Process Name gt pane cannot be removed 4 Click OK The components are listed under the selected process Add Precedence for the Selected Components You can add precedence for the selected components in the Process Definition New Mode screen Precedence can be defined to peer processes in a selected parent process To add precedence for a selected component 1 Select the process for whose components you want to select precedence 2 Click Precedence button The Precedence Selector screen is displayed Oracle Financial Software Services Confidential Restricted 114 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 3 Run Rule Framework Webpage Dialog Tasks In ROOT mdb12 Ww Available Precedence Existing
289. med rate change applied time band assigned and zonal horizontal and vertical disallowance output by each currency Horizontal Vertical Disallowance The application does horizontal or vertical disallowance first netting opposite position within each time band and then across time bands for the carry over position In Maturity ladder approach each instrument position within the time band is weighted with the general risk weight and summed as aggregate long and aggregate short position for each time band The post offset amount for each long and short position 1s multiplied by its modified duration and the assumed rate change to get the post offset weighted long and weighted short position under duration ladder approach The application does a vertical disallowance by offsetting the weighted long and short position in each time band resulting in a Oracle Financial Software Services Confidential Restricted 177 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 single short or long position for each band and carrying over the open position for offsetting across time bands and then across three zones The residual net portion in each zone are then carried over and offset against opposite portions in other zones The net open portions left after matching non adjacent zones are carried over as net positions The capital charge is applied at each state for the matched and unmatched position as per the capita
290. mit 0 000001 Upper Limit of n 1 quartile Lower Limit of first quartile 0 045 Upper Limit 0 045 Total Required Buffer from CET1 Capital 0 25 n Where n is the quartile number NOTE The application calculates Capital Buffers at consolidated level for the reporting bank However at the discretion of national supervisors this can be applied at solo level as well In such cases the calculation of solo level for the respective jurisdictions has been included in the application Assumptions Countercyclical Buffer requirement for each country should be provided by the client or the bank as the Oracle Financial Software Services Confidential Restricted 199 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 final percentage applicable for each country and this is dependent on the home regulator G SIB status and applicable bucket information for each entity should also be provided by the client bank For Required Weighted Average Countercyclical Buffer calculation the exposures used in the bank are all accounts exposed to both credit risk securitized and non securitized and those exposed to market risk However the application can be restructured to consider only those exposed to credit risk In Capital Conservation Ratio for the computation of the quartiles that are used to arrive at Minimum Capital Conservation Ratio the application is dependent on the required CCB ratio From 2013 till
291. mn Data Type NULL COL_FORMAT VARCHAR2 15 Column Format NULL The possible values for column type the column COL_TYPE in SYS_STG_JOIN_MASTER are PK Primary Dimension Value may be multiple for a given Mapping Reference Number SK Surrogate Key DA Dimensional Attribute may be multiple for a given Mapping Reference Number SD Start Date ED End Date LRI Latest Record Indicator Current Flag CSK Current Surrogate Key PSK Previous Surrogate Key SS Source Key Oracle Financial Software Services Confidential Restricted 219 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 LUD Last Updated Date Time LUB Last Updated By o NN Not Null Example data The following data is inserted by the application installer for the Product dimension DIM_PRODUCT AROMA o COL_TYP MAP_REF_NUM 8 D O MAPREENOMO O O B O O NOTE No changes are needed to this table if the standard key dimensions are being used within Basel Application If any new dimensions have been added the related column details will have to be inserted to this table manually STG_ lt dimensionname gt MASTER The database table which SCD uses as the source This table comes as a part of the Datamodel DIM_ lt dimensionname gt Output table to which SCD writes the dimension data A sequence is added for every user defined dimension Example create sequence SEQ_DI
292. mns The system will automatically detect the values based on the actual data In a BI enabled Hierarchy you will be prompted to specify if a Total node is required Regular not mandatory and system auto detects the values based on actual data For example you can define three levels in BI Enabled hierarchies like Region 1 State 2 and Place 3 The auto generated Hierarchies are Region 1 State 2 Place 3 Tamil Nadu Madras Karnataka Bangalore Andhra Pradesh Hyderabad Parent Child Oracle Financial Software Services Confidential Restricted 80 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Hierarchy Type Description Hierarchy Sub Type A This option can be selected to define a Parent Child Type hierarchy A Measure Hierarchy consists of the defined measure as nodes and has only the Non Measure Business Intelligence Enabled as Hierarchy Sub Type A Time Hierarchy consists of the levels nodes of high time granularity and has only the Time Business Intelligence Enabled as Hierarchy Sub Type NOTE When the defined Hierarchy consists of more than 100 leaf levels the system treats 1t as a Large Hierarchy in order to provide efficient and optimized hierarchy handling For more information on modify the default value refer Large Hierarchy Once you have populated the required details in Business Hierarchy Definition and Hierarchy details sec
293. mple Capital Consolidation and F_IS_ADDED_BY_DEFAULT Credit Rating Population are used it all runs V_REGULATION Contains the regulation to which the approach is mapped RM_SETUP_APPROACH_DETAIL Contains the Run Management questions and answers for each approach Primary key gt V_OPTION_ID V_SEGMENT_CODE Oracle Financial Software Services Confidential Restricted 236 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 N_APPROACH_KEY Contains a unique key for each Approach from RM_SETUP_APPROACH_MASTER repeated for multiple segments for multiple segments V_OPTION_TYPE The value in this field is TEXT for the questions OPTS for the check boxes and RADIO for the radio buttons This flag is used to identify the options that are to be disabled when CRM is not selected in the Comune the name of the RUN_PARAMETRS column to which the particular option is related to The value of the child to this option is stored in the RUN_PARAMETRS column e RM_SETUP_PROCESS_DETAILS Contains the processes and sub processes related to each run management answer There can be multiple sub processes mapped to each option 1d segment code combination Primary key gt N_OPTION_ID V_SEGMENT_CODE V_SUB_PROCESS Contains the risk type for example CR MR etc This flag is Y for the processes and is null for the sub processes e Run Parameter Details table This tables contains detai
294. mputation BIS Non Securitisation Exposure 0 Yes 1137656202121 Non Sec Pre Mitigation Risk Weight EL Computation BIS Non Securitisation Exposure 0 Yes 2 4 1 Rules Financial institutions require constant monitoring and measurement of risk in order to conform to prevalent regulatory amp supervisory standards Such measurement often entails significant computations and validations with an organization s data Data must be transformed to support such measurements and calculations The data transformation is achieved through a set of defined Rules The Rules option in the Rules Framework provides a framework that facilitates the definition and maintenance of a transformation The metadata abstraction layer is used in the definition of rules where the user is permitted to re classify the attributes in the data warehouse model thus transforming the data The underlying metadata objects such as Hierarchies that are non large or non list Datasets and Business Processors drive the Rule functionality You need to have PR2ADMIN function role mapped to access the Rule definition The definition modification copy and deletion of a Rule must be approved by an authorizer for the action to be effective The Rule screen displays the rules created in the current Information Domain with the metadata details such as Code Name Description Type Folder Dataset Version and Active status You can archive re
295. n process refer to the Mitigant Allocation Process Securitization Question 31 The Reporting Bank wants to implement the Securitization aspect of the Credit Risk The Bank currently does not have the Credit Risk module How can the Reporting Bank implement only the Securitization module If the bank wants to implement Securitization standardized approach data relevant to the exposures tranche pool rating and mitigant details are expected Question 32 The Reporting Bank has the underlying data and has provided the pool tranche and exposures data Additionally the Reporting Bank has also provided the pool and tranche information in the exposures table In this case will the application use the data from the pool and tranche table or from the exposures table The application expects the data only in either of the tables as specified below o Pool tranche and exposures table with all the pool tranche and exposures attribute Oracle Financial Software Services Confidential Restricted 252 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 data only in their respective tables o Exposures table with the entire exposures attribute and few of the attributes of the pool and tranche The application gives a preference to the pool and tranche attributes in the exposures table compared to the attributes given in the pool and tranche table In this case all the computations will be based out of the data
296. n Analysis is a key management tool for senior management in regulatory capital analysis and planning 3 2 1 Risk Weighted Assets Analysis for change in RWA is classified into the following based on the risk types Credit RWA e Market RWA Operational RWA Oracle Financial Software Services Confidential Restricted 138 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Credit RWA The Basel Regulatory Capital application has the ability to perform attribution of changes in Credit RWA based on the following approaches Simplified Approach In this approach individual exposures in the application Runs are computed based on the following sub portfolios Book Type Banking book or Trading book Credit Risk Type Non Securitized or Securitized Basel Approach Standardized Currency Asset Class Basel Product Type Attribution Analysis is then performed for the above mentioned sub portfolios based on the following control variables Business Growth Amount of business growth is calculated as change in EAD Post Mitigation amount in Natural Currency NCY multiplied by the applicable risk weight in the latest Run from the baseline Run This amount is then converted into the reporting currency as per the applicable currency rate Risk Migration Attribution of risk migration is calculated as change in average Risk Weight Post Mitigation multiplied by the EAD in the late
297. n Runs can be executed as RRF batch from the Run Management GUI The Run Management GUI lists all Runs defined in Rules Framework For more information refer to Rules Framework on page 89 NOTE For CBRC Jurisdiction if Credit Risk is selected in Run Management then the relevant questions will not be displayed as Credit Risk is not a part of CBRC jurisdiction in Basel Regulatory Capital Basic and no approaches options are mapped to the segment The Basel Run Management UI consists of the following 3 functionalities Portfolio Definition wherein you can define a combination of portfolios to participate in a Run For example If an institution wants to process only On Balance Sheet data and not all the product types then the institution has the choice of selecting a sub type of an entire portfolio for processing The other features of Portfolio Definition are View details of a defined Portfolio Existing values of a Portfolio can be edited Anew Portfolio can be created by copying the existing values of a defined Portfolio Run Definition wherein you can define a Run for the Portfolios defined in the Portfolio Definition screen by selecting the Basel approaches relevant to the jurisdiction The other features of the Run Definition are as follows View details of a defined Run The existing values of a Run can be edited Run Execution wherein you can define the parameters of a Run and execute a Run The other features of the Run Exe
298. nancial Services Analytical Applications Infrastructure User PR24UTH Logout Change Password About Connected to ROR74DOM ORACLE Y User D PR2USER J Access E a Application Form Name Rights pre Operations Created By Created Date do uE Saal presi ss Bolore er ate y ate audit trail copy 1 audit 2012 04 17 2012 04 17 report trail DV DA DE A DEFQUSER 04 14 20 DEFQUSER 04 14 20 pa copy 2 audit DV DA DE DD ADD PR2USER pts PR2USER Ps oszete DEFQUSER Dg ogzga DEFQUSER ha oszsos DEFQUSER Qs maoa en MED layout edit DV DA DE DD ADD DEFQUSER layout multi_column DV DA DE DD ADD DEFQUSER layout single Dv DA DE DD ADD DEFQUSER test test13 DV DA DDE DD ADD PR2USER Authorize Reject Local intranet Fa R100 The Forms Authorization screen displays the list of privileges assigned to a user in different Forms These privileges include create view modify delete authorize and auto authorize records The Forms Authorization screen allows you to select a user from the drop down list adjacent to User ID field This field displays the User ID s associated with the selected Information Domain On selecting a user from the User ID field the columns in Forms Authorization screen lists the grants requested for that user on different Forms as listed below Column Name Description Application Lists the specific application to which the Form has been assigned Form Name Display
299. nappropriate Run definition listed within the Run screen If you have Authorizer function mapped to your role the Run definition is auto Approved as you save it and the Active status is set to Yes Otherwise the Active status is No and can be authorized To Approve Reject Runs in the Run screen select the checkbox s adjacent to the required Run Codes Do one of the following o To Approve the selected Run definitions click 2 button e To Reject the selected Run definitions click J button A Run is made available for use only after the approval For a rejected definition a comment with the rejection details will be added Export Run to PDF You can export multiple Run definition details to a PDF file To export the Run definition details in the Run screen 1 Select the checkbox s adjacent to the required Run Codes 2 Click button in the List toolbar 3 Click the H button in the popup The Export dialog is displayed Oracle Financial Software Services Confidential Restricted 128 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 3 Run Rule Framework Webpage Dialog a Export Options Export Format Definition Type Selected Definitions 10 4Apr_5T_1 Trace Options Selected Trace Options 2 Name O Name Rule C Rule Process Process The Export dialog displays the Export Format Definition Type the names of the Selected Definitions a
300. ncy and other measures to ensure its safe use Oracle Corporation and its affiliates disclaim any liability for any damages caused by use of this software or hardware in dangerous applications This software or hardware and documentation may provide access to or information on content products and services from third parties Oracle Corporation and its affiliates are not responsible for and expressly disclaim all warranties of any kind with respect to third party content products and services Oracle Corporation and its affiliates will not be responsible for any loss costs or damages incurred due to your access to or use of third party content products or services Oracle Financial Software Services Confidential Restricted ji User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 A O VIII tended Audience saunie cS asis saa akg a a eecitea satis au oiivaic N eee Sas Se eat aaa eee viii Documentation ACCESSIDINILY ccsausscvessvevseauavanaiacavaacecaavencvensvaueveuauansvasawannusnauaaiaaa veuesousuavevesavalavena vans Masa valadaaawangvooaves viii ACCESS tO Oracle SUPPO Edad ada cia viii SUCUT E id raices viii Related Information SOU aaia AIN RIOS viii WHAT S NEW IN THIS RELEASE oli 2 CHAPTER 1 INTRODUCTION TO BASEL REGULATORY CAPITAL oocnnnnnnnnncnnnnnnnnncninnnnos 3 1 1 OVNI oa elocuente 3 1 2 REY BE MC IES date do 3 1 3 Application s Interface with Other Financial Services Components
301. nd Exposure Volatility Haircut Assignment Scaling Up for Capital Market Driven or Repo Style transaction types Exposure Volatility Haircut Assignment Own Estimate Forex Haircut e Pre Mitigation Post Volatility Haircut EAD Amount Calculation for Exposures For SFT transaction the application calculates EAD for the parent exposure based on the underlying information The underlying exposures are moved to FCT_SFT_UNDERLYING table from FCT_NON_SEC_EXPOSURES Each underlying exposure is assigned volatility haircut based on haircut application criteria if the underlying exposures happen to be financial instruments and forex haircut where the underlying and the parent contract are in different currency Each SFT underlying exposure adjusted for haircut EAD haircut value is added as EAD for the parent contract Nettable Pool Data Population The application nets SFT contracts based on the same customer common netting agreement identifier transaction being Repo Re Repo or Margin lending product book being trading or banking and so on Margin lending transaction being SFT also follows the same EAD calculation methodology but netting of Repo Reverse Repo and margin lending are not done together Pre Mitigation Risk Weighted Assets Unexpected Loss Calculation for the Pool Pre Mitigation Risk Weighted Assets Unexpected Loss is calculated for the pool as EAD multiplied by risk weight or capital 12 5 Credit Risk Mitigation Overview
302. nd the Trace Options To select the Trace Options in the Trace Options grid e Select the checkbox s adjacent to the available options Click gt button The selected options are displayed in the Selected Trace Options pane You can also select a trace option and click button to deselect it from the Selected Trace Options pane Click Export The process is initiated and is displayed in a pop up specific to the current download Once the pdf is generated you can open save the file from the File Download dialog You can either save the file on the local machine or view the file contents in a PDF viewer The downloaded PDF displays all the details such as Linked to Properties Master info Audit Trail List and Comments of all the Run definitions selected Fire Run The Fire Run feature in the Run screen facilitates you to execute a previously created Run To execute a Run 1 Select the checkbox adjacent to the Run Code which you want to execute 2 Click ER button in the List toolbar 3 The Fire Run screen is displayed Oracle Financial Software Services Confidential Restricted 129 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 3 Run Rule Framework Webpage Dialog 2 Run Definition Name Risk Weighted Asset Calculation Credit Risk BIS Standardised Approach a 2 Execution Mode Batch Create amp Execute MIS Date 09 08 2012 Wait Yes Duration
303. nfidential Restricted 184 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Operational Risk Summary Data Population The RWA amount is populated into OR summary table along with the entity for which the OR RWA is calculated The application converts all the elements in Annual Gross Income and Loan and Advance amount reported in their respective national currency to the reporting currency While calculating Annual Gross Income or Loan and Advance amount for the subsidiary that are part of regulatory consolidation the amount is limited to the share holding percentage Hence a subsidiary which is part of regulatory consolidation and parent holding in the subsidiary is say 45 the amount limited to 45 is considered for gross calculation Similarly 1f the holding is more that 50 the entire amount is considered for gross calculation Key Data Elements A few key data elements need to be noted while calculating the Capital Charge for OR for the consolidated entity To view the complete list of tables used for CCR computation refer to the Download Specification document Entity details which are part of regulatory consolidation and parent entity share holding percent is required Net Interest Income Net Provision Amount Net Non Interest Income Operating Expenses Security Sale Gain or Loss from HTM Insurance Irregular Loss Security Sale Gain or Loss from AFS and Insurance Irregular Gain for eac
304. nformation Sources e Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Installation Guide e Oracle Financial Services Basel Regulatory Capital Basic Admin Guide e Oracle Financial Services Basel Regulatory Capital Analytics User Guide Oracle Financial Software Services Confidential Restricted viii User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 What s New in this Release In the OFS Basel Regulatory Capital Release 6 0 0 0 0 rules relating to Basel III A global regulatory framework for more resilient banks and banking systems Dec 2010 rev Jun 2011 have been introduced The following enhancements have been introduced in this Release for the BIS jurisdiction e Capital Changes Through this release the application supports the Basel III revisions to Capital structure where Common Equity Tier 1 Capital must be at least 4 5 of total Risk weighted assets up from 2 in Basel II Tier 1 capital must be at least 6 0 of total Risk weighted assets up from 4 in Basel II Total capital must be 8 0 of total Risk weighted assets Each component of Capital undergoes minority interest and regulatory adjustments e Capital Buffer As introduced in the Basel III Accord the application calculates the following additional capital buffers 1 a mandatory capital conservation buffer of 2 5 and 11 a discretionary countercyclical buffer which allows national regulato
305. ng the required value or selecting an option from the drop down list NOTE Field Delimiter and Data File Locale are mandatory fields 3 Select the required Entities in the Extract Entities grid 4 Click ls icon in the Define Entities tool bar In the Choose Entity screen do the following o Select the entity from the Members list by clicking on the required node and click button o You can search for a specific entity by entering the keywords and clicking button You can also deselect an entity by selecting from the Selected Members list and clicking button o Click OK The selected source entities are displayed in the Define Entities grid Define an expression optional in the Extract Entities grid If you have defined more than one Source Table in the Choose Entity screen you need to define an expression to join the column data corresponding to the table 1 Click EW icon in the Extract Entities tool bar 2 Inthe Specify Expression screen do the following o Enter the Expression Name o Select the Data Type from the drop down list The available options are String Date Time Number Integer and Timestamp 3 Define an expression by doing the following o Select the Table in the Entities section o Select the Function You can select Transformations Database Functions or Extraction Functions Extract functions are populated from the DATABASE_ABSTRACT_LAYER table which resides in config schema o Define the Ope
306. ning The initial data populated hereby contains the default run skey which is set to 1 Only the records with tenor 0 are used for the purpose of currency conversion for which the spot exchange rate is required After populating the data in the table in each Run all the exchange rates are updated based on the conditions at the time of execution to account for the increase or decrease in the exchange rates A Oracle Financial Software Services Confidential Restricted 149 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Rule is used which updates the exchange rates and populates the corresponding run skey which is then used for currency conversion in that particular Run The exchange rates are then moved into the table wherever currency conversion is required This is performed in the product processor data population step Different legal entities may use the exchange rates quoted by different data sources Hence the column which contains the information about the data source in the table Exchange Rates is compared with the required data source for a legal entity stored in the Org Structure Dimension table After the exchange rate population into the required fact tables the currency conversion rules are executed which take the values stored in amount columns in natural currency multiply them with the exchange rate and populate to the reporting currency amount columns For Mitigants table the exchang
307. nition being created To select Jobs for a Run in the Run Definition New Mode screen 1 Click L button from the List grid and select Job E The Job Selector screen is displayed Oracle Financial Software Services Confidential Restricted 123 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 3 Run Rule Framework Webpage Dialog Search List Tasks 3 El E Process Co mponents Ol Object E Y Data Extraction Rules C Frzztt ae dl Load Data Rules CL Fw E RT _ Gy File Loading Rules 2 E mi Insertion Rules M Transformation Rules 2 fA d Database Functions Transformations 7 E Base Rulez e H A Classification Rules e H fa Computation Rules d Processes ES Cubes Model 2 H Pooling o Ee SE Optimizer e H Model r 8 Stress Testing By Variable Shocks On the List pane of the Job Selector screen you can click button to expand the members and view the job components Select a Job Component and click L gt to move the component to the Tasks pane NOTE You cannot select same Jobs from both Aggregate data and Create Cube components since those two definitions will have the same unique code In Job Selector screen you can also o Search for a component by specifying the nearest keyword and clicking A button o Click Ascending or Descending button to sort the selected components in Ascending or Descending order o Click _ or L
308. nnnnnnnannnos 114 Move Task among Process sai 116 Remove TASKS from a PROCESS mii ti 116 Process Definition VErSlONING viccsssavccossiscrensesteivadodavseosccaesaasecenvansaiedsadsdaceeassadssoassaucsbaassdedantes 117 Copy Process DeM Naiara 117 A thornze Process DEMONIO 117 EXPOrE PROCESS TO PD srl e A a a aE 117 Trace Process DENNILION Detalla T N 118 Delete Process DEAN NENE 119 2 4 3 RUN a eaomedaieseneeeeties 119 SSRI a a a a a A oats 119 Select R n Condition TOR RUN tds 122 Saler olo saa RUN EN E EEA N E E EAE E E E AE E SN T 123 Select Job Condition for RUN sneen n a A E a NO ei 124 Hierarchical Member Selectos di 126 RUA DETINITION VERSIONING seria e ooo ia 127 CODY RUM DENNI Onsa a E N a 127 AUtNoOnZe RUN DENU O M ka A Ea 128 EXPO ROMTO RD Frair E TE O E A 128 A aaa a a ia vs stein aes a a as ain E E O 129 2 5 System CONSUMO sesen Eaa Ee aA AEREE ENESES ocios 131 ans ea Segment Metadata Mapping ieee a mae en adela 131 Map Metadata DONATION Sarai ls weyadioapdy sal weaceanue dine alsteucueisteas 132 2 6 AMIN trat Menan vena vaiandsdaeasMaaawanevouasens eeayavenisasinaMsanatseaawanewieese 133 2 6 1 SAVE Metadata E A a a N TEa 133 2 6 2 II E O TER 134 UserGroup Batch Execution Map cooccncccnccnncnncnnnnnncnnonononnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnnrnnnnnnnannnnnnanininnnos 134 CHAPTER 3 BASEL REGULATORY CAPITAL BASIC APPLICATION uu 136 3 1 Scope OF the Application essesecsesecsesecsesecsesecsesecs
309. nt Risk Weight Haircut Assignment and Allocation of Mitigants to Exposures are handled in CRM sub process The mitigant eligibility and the haircut assignment are the tasks which are different from the Basel II tasks Mitigant Eligibility The application identifies the eligible mitigants based on the criteria as mentioned by the Basel Accord The application identifies the following mitigants Collateral Guarantees and Credit Derivatives The application is capable of using the Simple Approach as well as the Comprehensive Approach for the mitigants which are part of the collateral The application identifies the eligibility of the financial collateral separately for the simple approach and the comprehensive approach The eligibility of the collateral mitigants are based on the party type of the mitigant mitigant type the credit rating assigned to the mitigant or the party as applicable and whether the collateral is classified as a senior or not In the case of equity the eligibility is based on the main index equity and the equity trading status In the case of Mutual funds the eligibility is based on the eligible mutual fund indicator The application also identifies whether the mitigant is a resecuritized exposure and if yes makes it ineligible The application identifies the eligibility of the guarantees and credit derivatives based on the party type of the mitigant and the credit rating assigned to the issuer of the mitigant This is bas
310. nterparties with which the bank has exposures and is a part of the index Index position mapped to counterparty is used only to allocate CVA charge to counterparty while using standardized approach for CVA Calculation Question 13 Can IMM approach be selected for Capital Conservation Ratio calculation and standardized approach for CVA Calculation No IMM approach cannot be selected for Capital Conservation Ratio The application requires CEM method output for computing CVA Charge using Standardized approach Question 14 Can the discount factor be changed which is currently proposed as 5 as per the Basel guideline Yes risk free rate can be changed by modifying the Rule Oracle Financial Software Services Confidential Restricted 249 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Question 15 How is CVA RWA used in the application The application calculates CVA RWA and sums it to Credit RWA CVA RWA is not multiplied by the factor 1 06 Question 16 Will the application create a duplicate hedge record from Index Decomposition if the Run is executed twice No the application does not create a duplicate hedge record The application checks whether the record already exits and it uses the same If the record does not exist then the application creates a hedge record Operational Risk Question 17 If the input parameter to calculate the Annual Gross Income is different for other jurisdictions t
311. ntion how many pools to be processed at a time Yes optimizer works on pool by pool basis However the user can specify the number of pools to be processed at a single fetch in Optimizer_Config xml in lt PROCESSEDPOOLSIZE gt tag Question 37 Is it possible that few of the exposure mitigant combination can have no pool ids If so what happens to those records All the records are expected to have pool IDs based on the exposure mitigant combination If few records don t satisfy the join filter condition present in pooling definition they will not get pool IDs Such records will not be considered for optimizer and covered factor will not be calculated for those exposures Capital Structure Basel ID Question 38 Are the list of Instruments provided for each component of Capital i e T1 T2 and T3 fixed or can the list of instrument be extended or reduced to accommodate as per the requirement The list of instrument mapping to different component of capital is a bare minimum list You can add or delete as per their definition of Capital in rules Bank Capital Group Components Reclassification and STD to Capital Group Components Reclassification Question 39 Is there any flexibility in the Rule to add or delete any regulatory adjustment line item during the calculation of T1 and T2 Yes the application has the capability to add or delete any regulatory adjustment line item This is Oracle Financial Software Services Confid
312. o access Segment Metadata Mapping section You can access Segment Metadata Mapping in LHS menu of System Configuration By default the Metadata Segment Mapping screen displays the Information Domain Name to which you are connected along with the metadata details of Measure Map Metadata Definitions You can map unmap the required business metadata definitions to a segment available within the selected Information Domain To map the required metadata definitions do the following 1 Select the required User Segment from the drop down list 2 Select the required metadata definition as Measure Hierarchy Cube or Attribute The defined metadata are listed in the Available Metadata pane 3 Map Unmap the required metadata by doing the following o To map a metadata select the metadata from the Available Metadata list and click L gt button The metadata is added to the Selected Metadata pane You can press Ctrl key for multiple selections o To map all the listed metadata definitions click E button o To remove a metadata mapping select the metadata from the Selected Metadata list and click button o To remove the entire metadata mapping click 2 button 4 Click Save to save the metadata mapping details The screen is refreshed displaying the mapping results Oracle Financial Software Services Confidential Restricted 132 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release
313. o select Yes or No Clicking Yes confirms that you wish to wait for the execution to be complete Clicking No indicates that you wish to proceed Batch Parameter Select Y upper case required Stage Data In this section Stage Data can be populated in either the Product Processors or Other Stage tables as given below o Product Processor is an entity in the Basel Regulatory Capital application which stores data from the Operational Systems of the Bank This entity is created based on the various financial products that the bank caters to Stage tables for Product Processors have been categorized as exposures data of Product Processors The Product Processors of all the jurisdictions are the same except for the Islamic Banking Jurisdiction Others Data can be populated into Stage tables besides using Product Processors as per the respective jurisdiction For more information on the list of columns to be populated within each table refer to the Download Specifications document The set of sample data to be to be populated for the following tables are listed in the attached worksheet e Stg_product_master e Stg_lob_master Stg_mitigant_type_master e Stg_party_type_master Sample_Data xls 5 1 2 Data Assumptions The following section aims to identify certain data related assumptions for specific tables which will help in the smooth functioning of the Basel Regulatory Capital application Dimension Table DIM CAP
314. o the server Locale Select the language using which the Infrastructure Database components are installed The available options depend on the languages defined in the configuration table If Real Application Clusters JDBC URL Enter the JDBC Java Database Connectivity url configured by the RAC checkbox is selected administrator to connect to the database Table Owner Enter the schema name in case of Oracle database or Owner of Database Tables in case of SQL Server and other Databases TNSNAME It is the SQL Net configuration file that defines databases address to establish connection Enter the TNSNAME created for the Information Domain Also ensure that It is mandatory to enter the TNS Name if it is the Oracle database The field is inactive if SQL or DB2 database is selected Database Name enter the name of the Source Database from which the extraction is required to be done TNSNAME It is the SQL Net configuration file that defines databases address to establish connection Enter the TNSNAME created for the Information Domain Table Owner Enter the schema name in case of Oracle database or Owner of Database Tables in case of SQL Server and other Databases Database Select the Database from the drop down list If Real Application Clusters Server Name Enter the Server Name or IP address where the Data Source exists RAC checkbox is not JDBC Drivers Select the JDBC Java Database Connectivity drive
315. oad options in the LHS menu Click on the links to view the section in detail e Excel Entity Mappings e Excel Upload Excel Entity Mappings Excel Entity Mapping helps you to map Excel Data to the destination table in the database Excel Entity Mapping supports excel files created in Microsoft 2007 and earlier versions along with the option to map and upload multiple sheets created within a single excel file You need to have XLADMIN function role mapped in order to define mapping Add Excel Entity Mappings To define mapping in the Excel Entity Mappings screen l Click Add icon in Mappings Summary tool bar The ADD Excel Entity Mappings screen 1s displayed 2 Enter the required Mapping Name and Description 3 Click Browse The Choose File to Upload dialog is displayed Select the required Excel and click button On upload the selected Excel columns are listed in Select Excel Columns grid and the database tables are Oracle Financial Software Services Confidential Restricted 45 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide 6 0 0 0 0 listed in Select Entities grid Release Excel Entity Mappings ExceL Entity Mappings gt Excel Entity Mapping Definition Add Mode 2 Mapping Details Product_Mapping_1 Mapping Name PR_Map1 Description amp Select the Excel File Excel File C Documents and Settings aneeshkiDesktop PR_Data1 xlsx Browse gt Source Date Format De
316. ocess The exposures which are below investment grade and the unrated exposures are deducted from the capital This is handled in the Sec Deduction sub process o Risk Weight Assignment The application assigns the risk weight to the exposures based on the external rating assigned to the exposures If the exposures have internal ratings assigned the application treats the exposures as unrated Initially the risk weight assigned to each of the ratings is assigned and then the multiple assessments is applied by the application In the case of multiple ratings assigned to the exposures the application applies the multiple assessments and assigns the ratings which are the worst of the best two ratings Then the application updates the rating after multiple assessments and the corresponding risk weight to the exposures In the case of securitization and resecuritization exposures the risk weights assignment are different from the non securitization exposures The application assigns the risk weights based on the Bank role whether the exposure is an exposure issued out of a Securitization or Resecuritization pool and then the external ratings assigned to the exposures In case of unrated exposures the application applies the look through approach and assigns the weighted average risk weight of the underlying exposures The application also handles other securitization exposures like the Eligible Liquidity Facility Exposures in a second loss position
317. oint by clicking the icon The View Data Sets screen displays the details of the selected Data Set definition The User Info grid at the bottom of the screen displays the metadata information about the Data Set definition created along with the option to add comments You can update the existing Data Set definition details except for the Code and Short Description by clicking the icon You need to have DATMOD function role mapped to modify the Data Sets You can copy the existing Data Set details to quickly create a new Data Set by clicking the icon You can later modify the Data Set Code or Short Description add remove tables and also define the join conditions You need to have DATADD function role mapped to copy the Data Set definitions You can remove the Data Set definition s which are created by you and which are no longer required in the system by deleting from the Data Sets screen by clicking the icon You need to have DATDEL function role mapped to delete a Data Set Delete function permanently removes the Data set details from the database Ensure that you have verified the details as indicated below A Data Set definition marked for deletion is not accessible for other users Every delete action has to be Authorized Rejected by the authorizer On Authorization the Data Set details are removed On Rejection the Data Set details are reverted back to authorized state You cannot update Data Set details before authorizing
318. ol bar The Process Definition View Mode screen 1s displayed with all the details of the selected Process You can modify all the details except ID Code Version Active status and Type of a Process definition To modify an existing Process definition in the Process screen Select the checkbox adjacent to the Process Code whose details are to be updated Click LA button in the List tool bar Edit button is disabled if you have selected multiple Processes Oracle Financial Software Services Confidential Restricted 116 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Process Definition Versioning The default version of a new Process definition created by an Authorizer is 0 and the one created by non Authorizer is 1 When you edit and save a Process you are prompted either to overwrite the already existing details and save the same as latest version version 0 or to create a subsequent version wherein the existing details are retained as of current version 1 Note that a definition with version 1 when edited by an authorized user changes to 0 and an unauthorized user remains as 1 Copy Process Definition The Copy Process Definition facilitates you to quickly create a new Process Definition based on an existing Process or by updating the values of the required Process To copy an existing Process Definition in the Process screen select the checkbox adjacent to the Process
319. omputations and other aspects of the Basel framework Basel Analytics provides pre configured Pillar III reports covering all market disclosure requirements of the Basel Accord Risk Capital Standards Advanced Capital Adequacy Framework It also provides pre configured reports covering all market disclosure requirements of the Islamic Banking Jurisdiction as prescribed by the Islamic Financial Services Board IFSB as well as the requirements prescribed by the China Banking Regulatory Commission CBRC Basel Regulatory Reports for individual jurisdictions such as Federal Financial Institutions Examination Council 101 FFIEC 101 in the USA and Swiss Financial Market Supervisory Authority FINMA for Switzerland The reports and dashboards can be generated at various levels solo or consolidated and downloaded in various formats including XLS Basel Analytics additionally provides the built in capability to produce pixel perfect Hence Basel Analytics can serve as a single regulatory and management reporting application meeting all Basel disclosure IFSB disclosures and reporting requirements For more information on Basel Regulatory Capital Analytics refer to the Oracle Financial Services Basel Regulatory Capital Analytics User Guide NOTE Oracle Financial Services Basel Regulatory Capital Analytics needs to be licensed by the Bank separately Oracle Financial Software Services Confidential Restricted 247 User Guide Oracle Financial Service
320. on Exposures Dataset Securitisation Exposures Dataset DS0004 Nettable Pool Dataset Nettable Pool Dataset DS0005 Mitigant Dataset Mitigant Dataset DS0006 Equity Exposure Dataset Equity Exposure Dataset DS0007 Rating Details Dataset Rating Details Dataset DS0008 Securitised Pool Dataset Securitized Pool Dataset 0000000000 DS0009 Securitisation Exposures RWA Securitisation Exposures RWA The Data Sets screen displays the list of pre defined Data Sets with their code and description You can add view edit copy and delete the required Data Set You can also make use of Search and Pagination options to search for a specific dataset based on the code description and Authorization status or view the list of existing datasets within the system Create Data Set You can create Data Set by defining the Data Set Details Entities and Data Set Definition You need to have DATADD function role mapped to create Data Sets To create Data Set in the Data Sets screen 1 Click icon from the Data Sets tool bar The Add icon is disabled if you have selected a Data Set checkbox in the grid The Add Data Sets screen is displayed Oracle Financial Software Services Confidential Restricted 70 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Add Data Sets to Data Sets ata Set De A amp Data Set Details Code DS0001 Short Description Non Securitisation Exposure Non Securitisation Exposure Dat
321. on FIRB Non Securitisation ARB Securitisation Standardized Securitization Rating Based Approach Securitisation Internal Assessment Approach E Securitisation Supervisory Formula Approach Securitization Internal Rating Based Approach l Portfolio Identifier 7 For Capital Calculation Run click 2 to select the relevant sub approaches shown in the following figure 2 Credit Risk Basel Approaches Hon Securitisation Standardized Claims on Sovereign Yes C No Claims on PSE Option used for claims on domestic PSEs l Claims on Bank Option for risk weighting claims on Banks Claims on Corporates without regard to external rating ts Yes O Mo Claims Secured by Commercial Real Estate commercial real estate exposures Yes Mo Past Due T toa 150 RW Yes No l Use ECA Country Scores for risk weighting claims on Sovereigns Option O Option Il Option Option II Has the national supervisor permitted a lower RW for certain s Superis permission to risk weight all corporate claims at 100 Past due trestment for non past due loans to counterparties subject l l Use of 0 RW for Gold Bullion held in own vaults or on allocated basis transactions when loans extended to certain MDBs Yes No f SFT Simple Approach IMM Use of borrower s domestic currency rating for exposure in foreign exchange 8 For Capital Calculation Run
322. on section of the Portfolio Definition Mode screen The Portfolio Map screen is displayed 4 Click in the Portfolio Map screen and select the relevant Dimensions in the Filter Browser screen by clicking p The selected Dimension appears in the Portfolio Map screen Pontolia oe et DIA 5 Click on the Dimension appearing in the Portfolio Map screen to select the Nodes of the selected Dimension shown in the following figure Oracle Financial Software Services Confidential Restricted 226 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 et Vewte a i o m F se wr su e L 6 Click OK on Portfolio Map screen after selecting nodes Click Save on Portfolio Definition Mode screen to save the portfolio as shown in the following figure Portfolio Portfolio Definition Summary gt Portfolio Definition Mode gt R Define Portfolio Name PORTOLIO_SEC PORTOLIO_SEC Description 2 Dimension amp Member Selection a Selected Dimensions Selected Members Product Credit Card Outstanding Mitigant Type Banker s Acceptance Message from webpage M Record saved successfully Run Definition To access the Run Definition Screen 1 Click Risk Applications on the Left Hand Side LHS pane of OFSAAI Screen 2 Click Basel Regulatory Capital 227 Oracle Financial Software Services Confidential Restricted User Guid
323. onal equity position in the case of an equity derivative The notional principal amount in the case of an interest rate or foreign currency swap or The notional amount in the case of any other financial instrument o In case of options the delta weighted values go into the general risk charge calculation Delta is computed by the application based on the instrument type coupon residual maturity strike price spread option premium value etc Instrument Coverage o Interest Rate Derivatives o Bond Forward o Forward Rate Agreement o Bond Future o Future on a Basket Index of bonds o Interest Rate Futures o Receiver Swap without deferred start o Payer Swap without deferred start o Basis Swap without deferred start o Forward Basis Swap o Forward Receiver Swap o Forward Payer Swap o Dual Currency Bond o Equity Derivatives o Equity Forward o Equity Future o Equity Swap o Currency Derivatives o Currency Forward o Currency Future o Currency Swap o Commodity Derivatives Oracle Financial Software Services Confidential Restricted 172 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 O O O O Commodity Forward Commodity Future Commodity Swap Gold Forward o Credit Derivatives O O O O Credit Default Swap Total Rate of Return Swap Cash Funded Credit Linked Notes First and Second to Default Basket Credit Derivatives o Options Structured Products O
324. ool Stability report is generated from Production Infodom Basel Regulatory Capital Analytics For more information Basel Regulatory Capital Analytics refer to Reporting on page 242 Credit Risk Management Oracle Financial Services OFS Credit Risk Management facilitates in obtaining an enterprise wide comprehensive view of credit risk metrics in a single instance Financial institutions can obtain a single customer view of credit risk across exposures spread over multiple product types lines of business geographies and legal entities The out of the box capability of the application supports pre built reports covering credit quality reserves delinquency new business risk migration capital requirement collection and concentration Oracle Financial Software Services Confidential Restricted 7 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Chapter 2 Overview of OFSAA Infrastructure 2 1 Components of OFSAA Infrastructure Oracle Financial Services Analytical Applications Infrastructure OFSAAI is a complete end to end web based business intelligence solution that provides tools for data integration mart building query and analysis intelligent alerting and information delivery OFSAAI enables financial institutions to measure and meet risk adjusted performance objectives cultivate a risk management culture through transparency lower the costs of compliance and regulation an
325. or all jurisdictions this mapping needs to be present Es FSI_Capital_Standar d_Mapping_Basic x s 4 1 3 Capital Consolidation Capital Consolidation Level Selection Oracle Financial Software Services Confidential Restricted 187 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 The reporting bank may be a part of a financial group that has multiple legal entities like parent or child entities subsidiaries under its name The entity for which processing is to happen has to be selected by you You also have to select whether a Solo or Consolidation execution is to be done You can select these options using the run execution screen but if the execution is executed using RRF execution then these options have to setup using the rule Capital Consolidation Level Selection in the process CAPITAL CONSOLIDATION CAPITAL_CONSOLIDATION is the first process to be added in all the runs defined through Run Rule Framework except the ones for staging data population Run Management screen selects this process by default Run Parameters Assignment Basel Accord mentions about different approaches for calculating RWA Run management framework in the product allows the reporting bank to define and execute a Run by selecting a combination of different Basel II approaches for RWA computation Run parameter Assignment is also part of Capital Consolidation process The rule Run Definition
326. ort the members by Code or Name o Click Hl or L to expand or collapse the members under a node o Click HH or E to expand a branch or collapse a branch o Click l or LE to view the code values of members right or left o Click W or L amp I to show code or show name of the members Click a or y to re arrange the members in the Selected Members pane However the rearranged members are not displayed on the Combination Mapper grid based on the reordering 4 Click button adjacent to a filter details The Preview SOL Query screen is displayed with the resultant SQL query Move Source to Slicer The selected Source and Target Hierarchies are displayed under Combination Mapper grid You can move the source Hierarchies from Combination Mapper grid to Slicer To move a source Hierarchy from Combination Mapper grid to Slicer grid 1 Click the Hierarchy member and drag it to the Slicer grid The member is displayed under Slicer grid 2 Click Ez button to select the members of a Hierarchy The Hierarchy Browser is displayed 3 Click L button The CombiFilter Node Browser screen 1s displayed Oracle Financial Software Services Confidential Restricted 102 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 A CombiFilter Node Browser Webpage Dialog CombiFilter Node Selection C Name E Andorra GAAP Afghanistan GAAF 4 Select the checkbox adjacent to the member
327. ource exists User ID Enter the FTP User ID required to connect to the server Server Port Enter the active server port number which contains the flat files Password Enter the FTP user password required to connect to the server FTP Drive enter the FTP server path In case of Unix Servers the home directory Remote path is taken by default Source Data Format Enter the Source Date Format which will be used as the default date format for source data extraction and mapping and which is unless modified in the Define Extracts screen FTP Share Enter the ASCII files location for loading if it is located in the staging area other than the default staging area of Infrastructure Database Server If RDBMS Source Type is selected specify the source type details as tabulated The available options are based on the state of Real Application Clusters checkbox Oracle Financial Software Services Confidential Restricted 14 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Field Description Fields marked in red asterisk are mandatory User ID Enter the Database User ID which is also assumed as the Schema name if it is the Oracle database and if the Table Owner field is left blank Source Data Format Enter the Source Date Format which will be used as the default date format for source data extraction and mapping Password Enter the Database user password required to connect t
328. ources to the application click I button You can also remove data source mapping by selecting from Source Applications list and clicking icon To remove all selected Data Sources mapping click H icon Click icon and save the mapping details Oracle Financial Software Services Confidential Restricted 16 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Generate Source Models Once you have defined and mapped the Data Sources to the required Application you can generate the Source Models and extract the application data sources to populate data into the warehouse The source models for each application source combination are imported into the infrastructure metadata repository You can generate Source Model only for RDBMS data source using Data Catalogs that are defined in the database To generate Source Model in the Source Designer screen l Select the required Application which has the RDBMS data sources mapped Do one of the following o Select the Application from the Mapped Sources list in the LHS menu o Select the Application from the Application drop down in the Map grid On selection the data source mapping details for the selected Application are displayed in the Available Sources and Source Applications list 2 Select the RDBMS Data Source from the Source Applications list 3 Click Generate Source Model icon from the Map grid tool bar In the Generate Source Model s
329. pe Folder Version and Active status You can archive restore the existing PR2 definitions using the Metadata Restore Archive utility and also migrate PR2 RRF definitions through the Command Line Utility across Information Domains Setups Create Run You can create Run definitions using the existing metadata objects The various components that can be used to form Run definitions are mentioned in Process Hierarchy Members The following filter conditions Oracle Financial Software Services Confidential Restricted 119 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 can also be applied to a Run definition Condition Type Description Run Condition When multiple components are selected there is likelihood that the components may contain Rules T2Ts whose target entities are across multiple datasets When the selected components contain Rules the target entities hierarchies which are common across the datasets are made available for defining Run Conditions When the selected components contain T2Ts the hierarchies that are based on the underlying destination tables which are common across the datasets are made available for defining the Run Condition A Run Condition is defined as a filter on the available hierarchies Job Condition A further level of filter can be applied at the component level This is achieved through a mapping process To create a Run definition in
330. pecial characters or extra spaces in the name specified o Enter a Description for the transformation o Click Next and save the details You are automatically navigated to the Insert Oracle Financial Software Services Confidential Restricted 27 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Transformation section For Update Transformation click Update Transformation in the Transformation Process Flow grid 3 Click icon in the Parameter Definition tool bar A new row is inserted and allows you to define the run time parameters to the transformation o Double click on the Parameter Name and enter the details o Double click and select the required Data Type from the list o Double click on the Default Value and enter the details o Click Next and save the parameter details You are also navigated to the Expression Generator section 4 Inthe Expression Generator grid specify the Source and Destination Entity by doing the following o Click e icon The Choose Entity screen is displayed o Select the entity from Members list by clicking on the required node and click ll o You can search for a specific entity by entering the keywords and clicking the icon You can also deselect an entity by selecting from the Selected Members list and clicking all o Click OK The selected source entities are displayed in the Define Entities grid 5 Specify the Join Filter Condition Click
331. pital Conservation Ratio To calculate this buffer remainder of following is taken Excess of CET1 Capital Ratio over the benchmark 4 5 after catering to the shortfall if any in the Additional Tier 1 and Tier 2 Capital to their respective benchmark levels 1 5 and 2 respectively Hence CCB excludes any additional CET1 needed to maintain 6 of Tier 1 Capital Ratio and 8 of Total Capital Ratio Capital Conservation Ratio The required buffer from CET1 Capital sum of three required buffers is compared with Available Buffer from CET1 Capital If the banks are unable to meet their total buffer requirements for all the three buffers then they are subject to constraints on the discretionary payments of earnings In this case the Capital Conservation Ratio is calculated and represents the percentage of net earnings after tax positive not distributed by the bank and held back as retained earnings Capital Conservation Ratio of the current year is applied after 12 months from the time of calculation This is ascertained by the minimum Capital Conservation Ratio range for a given CET1 and Buffer Lookup Ratio in a table This table is dynamic and formula driven and is constructed by the application using the values of the three required buffers as per the Basel guidelines The application constructs the range of CET1 and Buffer Look up ratio Lower Limit and Upper Limit for the required Capital Conservation Ratio in four quartiles Lower Li
332. plication supports the computation of Credit Risk Weighted Assets RWA as per the guidelines laid out in the Basel Accord Credit RWA computation is broken down to Credit Risk for non securitized exposures and Credit Risk for securitized exposures Non Securitization For Credit Risk for non securitized exposures the application follows Standardized Approach Standardized Approach Standardized Approach consists of the following Banking Book Products Credit Risk Mitigation Over the Counter Derivative Products Securities Financing Transaction Banking Book Products Overview All the credit risk exposures are identified by their product types counterparty types and their corresponding asset classes by the application A sample list of products types party types mitigant type credit ratings are pre defined in the application However this list and naming convention differs from one bank to another Hence the application re classifies the bank s data into standard data as per the accord The application reclassifies the bank s product types and party types to Basel standard product and party types Then based on Standard Basel product and party types it forms an asset class for each exposure For equity exposures the asset class is formed on the basis of equity type and Basel product type The application does further data processing based on these standard reclassifications Some exposures may be hedged against credit ri
333. posures have the seniority in the cashflow and always the senior most exposure gets the maximum protection by the mitigants The senior most exposure or tranche is denoted with seniority 1 and the second senior exposure is denoted with seniority 2 and so on In the case of securitization exposures always the mitigants is given preference to the senior most exposure and then to the other exposures based on the seniority The other parameters which are considered in the allocation logic are the risk weight and the mitigant value post haircut The application uses the linear programming logic to allocate the mitigants to the exposures The pooling logic in securitization is same as of that non securitization Oracle Financial Software Services Confidential Restricted 167 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 The optimizer logic for Securitization is slightly different and the difference is explained below Based on the seniority of the exposures risk weight of the exposures and the mitigant and the mitigant value the rank order in which the mitigants are allocated to the exposures is arrived at The order of allocation can be changed by editing the database function You can choose the allocation rank measure in the optimizer definition screen while defining the optimizer logic BASEL II ORACLE BASEL II SY Y Rp gt Y Portfolio De
334. pped to Multiple Mitigants This are treated as cases of single mitigant mapped to single or multiple exposures for the identification of the mitigant which has to be assigned to the exposures Then the treatment pertaining to single exposure mapped to multiple mitigants have to be followed to yield the credit risk weighted exposure amount Using the above logic the application calculates the factor of exposure covered by the mitigant and the factor of the exposure uncovered without any protection Sec Post CRM RWA Computation The application computes the covered amount and the uncovered amount for the exposures The covered amount is computed by multiplying the covered factor with the exposure amount and to this covered amount the application assigns the mitigant risk weight The product of the covered amount and the mitigant risk weight is the covered RWA The uncovered amount is computed by Oracle Financial Software Services Confidential Restricted 168 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 multiplying the uncovered factor which 1s 1 sum of all covered factors for that exposure with the exposure amount This uncovered amount is multiplied by the exposure risk weight to get the uncovered RWA The sum of the covered RWA and the uncovered RWA is the Post CRM RWA of the Exposure Post CRM RWA Covered Amount Risk Weight of the Mitigant Uncovered Amount Risk Weight of the Exposu
335. pplication s treatment for the instrument with CCR 1s divided into three categories Exposure at Default EAD Approach Risk Weighted Asset RWA Approach Oracle Financial Software Services Confidential Restricted 152 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 e Credit Risk Mitigation CRM Approach Process Flow Exposure at Default EAD Approach EAD Approach Standardized Approach Current Exposure Method Approach IRB Approach OTC Exposure Non Netted Exposure induj wasn Netted Exposure New Record at Netting Set Level Netting Set and Non Netting Set OTC Exposure Exposure amount subject to CCR is estimated by three different approaches as described in the Basel Accord The application calculates EAD with Current Exposure Method as laid out in Basel Accord For the other approaches like Standardized approach the application expects the exposure amount of the transaction as direct user input for further processing Current Exposure Method The application calculates the exposure at default for two different sets of the records with a different methodology as prescribed in the Basel accord Netting Set Records and Non Netting Set Records e OTC Exposure For the calculation of EAD the exposure amounts from the exposure table are moved to a different table for OTC and REPO transaction The application also creates a new record for each nettin
336. pplication assigns volatility haircut using Supervisory Haircut method In case of Supervisory Haircut method the application assigns volatility haircut based on issues issuer s ratings mitigant s residual maturity and type of mitigant as per Basel II accord The forex haircut is also assigned based on these transaction types as per Basel II accord Only eligible mitigants are considered for haircut assignment and for further processing The eligible mitigants are moved from mitigants table to sub exposures table Allocation of Mitigants to Exposures The application has a pre built optimizer for optimum allocation of mitigants to the exposures for credit risk mitigation purposes One to One Many to One and Many to Many mapping of mitigants are handled in an efficient manner involving storage of intermediate computations for traceability All mitigants which are eligible and mapped to an exposure are then populated to a new table where each exposure is broken down by mitigant type which includes an additional row treating the exposure as having covered and uncovered portion The covered factor and uncovered factor is also populated in this table The application uses linear programming logic to allocate the mitigants to the exposures Pooling identifies the exposure and mitigant data from sub exposures table Exposure Identifier and Mitigant Identifier are the attributes on which pooling is performed It assigns the pool id for each expos
337. pplications Infrastructure click Logout The built in security system of the Infrastructure ensures restricted access to the respective screens based on the user s role This is based on the functions that you as a user are required to perform The Function Menu frame displays the Information Domain to which you are connected The main functions of Oracle Financial Services Analytical Applications Infrastructure which appear as expandable folders contains submenus with different options Click to expand the function menu folder The function menu displays the list of submenus options Click the required menu option to open the respective screen 2 3 Unified Metadata Manager Unified Metadata Manager is intended for the Information and Business Analysts who are instrumental in supporting and affecting analytical decisions It provides a consistent view of the business dimensions and key measures OFSAAI s unique Unified Metadata technology allows your enterprise to define a consistent set of business terms and securely deploy them across the entire range of analytic applications The following sections within the Unified Metadata Manager are relevant for processing of Basel Regulatory Capital e Data Integrator Framework o Data Entry Forms and Queries Metadata Browser Oracle Financial Software Services Confidential Restricted 11 Right Frame Work Area User Guide Oracle Financial Services Basel Regulatory Capital Basi
338. proach for the Indian Islamic Banking Brazilian and CBRC Jurisdictions OFS Basel Regulatory Capital Internal Ratings Based Approach is based on the approaches supported by the OFS Basel Regulatory Capital Basic Application as well as the Advanced approaches for BIS USA and CBRC Jurisdictions The versions of the guidelines supported by the Oracle Financial Services Basel Regulatory Capital Basic application Release 6 0 0 0 0 are as follows e BIS Jurisdiction For the BIS jurisdiction the following approaches for Risk Weighted Assets RWA and Capital Adequacy Ratio computations are supported Basel I Credit Risk o Non Securitization Standardized Approach Capital Structure Basel II and Basel II Capital Structure Credit Risk o Non Securitization Standardized Approach o Securitization Standardized Approach Market Risk o Market Risk Standardized Approach o Market Risk Internal Model Method IMM Approach Operational Risk o Operational Risk Basic Indicator Approach o Operational Risk Standardized Approach o Operational Risk Alternate Standardized Approach e Indian Jurisdiction In the Indian jurisdiction the following approaches for RWA and Capital Adequacy Ratio computation are supported Credit Risk o Non Securitization Standardized Approach o Securitization Standardized Approach Market Risk o Market Risk Standardized Approach Operations Risk Oracle Financial Softwa
339. provision is made available to provide these values Oracle Financial Software Services Confidential Restricted 206 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 against the respective standard account head IDs in the staging table for non accounting data table Current Month Leverage Ratio The application uses the Total Exposure Measure amount and Net Tier 1 Capital to calculate the current month leverage ratio by dividing the Net Tierl capital by Total Exposure Measure amount The amount is stored under the standard account description as Leverage Ratio and head ID CAP843 Regulatory Leverage Ratio The regulatory leverage ratio is the mean of three month leverage ratio using the current month leverage ratio and previous two months leverage ratio which is a download value The regulatory leverage ratio is stored against the standard accounting ID CAP842 Leverage and the regulatory leverage ratio is calculated in the process LEVERAGE RATIO To calculate the regulatory leverage ratio the application requires the previous two current month leverage ratio The client or the bank should provide the previous two month leverage ratio value as a download in STG_STANDARD_ACCOUNTING_HEAD against the standard accounting head ID CAP844 and CAP845 corresponding to previous month leverage ratio and second previous month leverage ratio If the leverage ratio Run batch is executed separately for the pas
340. ptimizer lt X lt BP Upper Bound for Optimizer The Output calculates and stores the percentage of exposure amount covered by a Mitigant Click the Measure MSR to see the Entity wherein data is stored and the description of the Attribute elo Output Poling Required Yes Auto Pooling Yes Fooling Basis R CRM Covered Factor Output cD Comrad Factor 2 3 4 Business Metadata Management Business Metadata consists of business names descriptions for columns tables and groupings query and report definition join specification tool settings and security definitions Business Metadata Management BMM within the Infrastructure system facilitates business analysts with the catalog of data present in the data warehouse along with their business definitions Business Metadata Management consists of the following components which is essential for Basel computation e Aliases e Data Sets e Business Measures e Business Hierarchies e Business Processor e Derived Entities Aliases Alias refers to an assumed name or pseudonym Aliases section within the Infrastructure system facilitates you to define an Alias for a table and specify the join condition between fact and dimension table Aliases defined to a table help you to query data for varied analytical requirements Oracle Financial Software Services Confidential Restricted 68 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Re
341. ption field Long Description The long description gives an in depth understanding of the Business process you are creating It would help you to enter a Long Description based on the code The Long Description should be of minimum one character and maximum 100 characters in length Data Set Select the Data Set from the drop down list The list of available Data Sets for the selected Information Domain will appear in the drop down The Short Description of the Data Sets as entered in the Data Sets screen under Business Metadata Management will be reflected in the dropdown Measure Select the Measure from the drop down list All base measures that are defined on any of the tables present in the selected Data Set will appear in the drop down If the underlying measure is deleted after the Business Processor definition then the corresponding Business Processor definition will automatically be invalidated Expression Click icon The Expression screen is displayed The placeholder option enables the user to provide values for the constants in the expression The user can specify values to the business processor expression during the run time rather than at definition time through the place holders defined while specifying the expression The user can specify the expression in the Expression field Note the following The values for the placeholders can be alphanumeric The process of specifying place holders enables the user to execu
342. r Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 This is done in sub process Net Capital Calculations in process BASELUL CAPITAL _ STRUCTURE RWA Calculation for Credit Risk Market Risk Operational Risk and Phase in arrangement The RWA amount for Non Securitization Securitization Market Risk and Operational Risk are calculated by summing up the RWA amount and is reported under different heading as Risk Weighted Asset amount for Standardized Portfolios for Non Sec Sec Std RWA for Sec portfolio Market Risk RWA for Market Risk and Operational RWA for OR The Total RWA amount is the summation of Non Sec Sec MR OR and Phase In RWA The above processing is done in sub process RWA Populations in process BASELIII_CAPITAL_STRUCTURE_CAPITAL_RATIO e Capital Ratio calculation CET ratio T1 ratio T2 ratio and Capital Adequacy ratio are calculated using the Total RWA amount and Net CET1 Capital Net T1 Capital Net T2 capital and Total Capital sum of Net T1 Capital amount and Net T2 capital amount amount This 1s done in sub process Capital Ratio Calculations in process BASELIMMI CAPITAL_STRUCTURE_CAPITAL_RATIO Key Data Elements A few key data elements to process the Capital Structure for the consolidated entity is as follows For a complete list of tables and columns to be updated refer to the Download Specifications document Entity detail
343. r from the drop selected down list Server Port Enter the active port number of the server which contains the flat files Source Data Format Enter the Source Date Format which will be used as the default date format for source data extraction and mapping unless modified in the Define Extracts screen User ID Enter the FTP User ID required to connect to the server Locale Select the language using which the Infrastructure Database components are installed The available options depend on the languages defined in_ the Oracle Financial Software Services Confidential Restricted 15 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 configuration table Password Enter the Database password required to connect to the server 4 Click icon in Define Sources tool bar and save the Data Source details You can also click icon to define another Data Source or click icon to clear the specified details To Edit Data Source in the Define Sources grid 1 Select the required Data Source from the LHS menu The Data Source details are displayed in the Define Sources grid 2 Click button in the Define Sources tool bar 3 Edit the Data Source details as required You can update all the details except the Source Name Source Type and Real Application Cluster option selected 4 Click button and save the Data Source details To Delete Data Source in the Define Sources gri
344. r position conversion is contract details instrument type contract position position mapping and so on Certain exotic instruments are split into more than two positions For example A long position in a reverse floater is converted into the following positions o A long position in two straight bonds i e double the notional amount and half the fixed interest rate o A short position in a floating rate bond i e a position in floating rate bond with notional amount and floating reference rate o A long position in a cap which is further broken down into its underlying positions as already explained earlier NOTE Reverse Floater As in Investopedia A floating rate note in which the coupon rises when the underlying reference rate falls The floating rate resets with each coupon payment and may have a cap and or floor Instrument Type Reclassification The application reclassifies all bank instruments into standard instrument type based on contract type contract position market risk position and so on A fixed bond forward with a long position in the contract is reclassified into fixed rate bond for the long leg and zero risk security for the short leg created by position conversion The reclassifications are then used for notional value calculation Position Conversion Parameter Assignment After doing position conversion that is breaking each instrument into long and short leg the application does instrument parameter as
345. racle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 l Click icon in the Source Target Mappings tool bar The Properties screen 1s displayed 2 Specify the properties by entering a value or selecting an option from the drop down list 3 In the Hint tool bar specify Hints if any for faster loading Oracle hints follow HINT format For example PARALLEL 4 Click icon and save the defined Database Extracts mapping details An information dialog is displayed on completion Click OK NOTE A T2F definition saved with the Source to Target mappings can be used to perform F2T operations File Extracts File Extracts refers to the process of extracting unstructured data from a Flat File for further data processing and storage File Extracts within the Data Integrator framework of Infrastructure system facilitates you to extract Flat File data to a Database Table A Flat File is a text and binary file which contains data in a single line 1 e one physical record per line Flat Files are of two types namely Delimited File and Fixed Width File Delimited File refers to a Flat File in which the data is organized in rows and columns and are separated by delimiters commas Each row has a set of data and each column has a type of data For example a csv comma separated values file Fixed Width or Fixed Position File refers to a Flat File in which the data is defined by the chara
346. racle Financial Software Services Confidential Restricted 217 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 MAP_REF_ DIM TABLE STG TABLE NUM Dim_Acct_Status STG_ OS STATUS_MAST J ooo ef sc 43 Dim_Exposure VW_BASEL_STG_FCT_BNK_INS T_EXP DIM NS CONTRAC VW_STG_INSTRUMENT_CONTR ACT DIM_MARKET_VARIABLES STG_MARKET_VARIABLES_MA STER a DECIS NECESI ETT Dim_Sre_System STG_SOURCE_SYSTEM_MASTE R DO CTI CT 181 FSI BENCHMARK_CAP_CONS_ STG_BENCHMARK_CAP_CONS_ RATIO RATIO Oracle Financial Software Services Confidential Restricted 218 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 MAP_REF_ DIM TABLE STG TABLE NUM 182 FSL BENCHMARK_CNTR_CYC_ STG_BENCHMARK_CNTR_CYC_ BUFFER BUFFER SYS_STG_JOIN_MASTER Data Type Column Description The Mapping Reference NUMBER 3 Number for this unique MAP_REF_NUM mapping of a Source to a NOT NULL Dimension Table a VARCHAR2G0 Aisne is conan COL_NM Dimension Table NOT NULL VARCHAR2 20 Type or commn He COL TYP possible values are given 7 NOT NULL below VARCHAR2 30 Name of the column in the STG_COL_NM F NOT NULL Staging Table SCD_TYP_ID a SCD type for the column A NULL Column to determine whether Lookup is required CHAR 1 ET PRTY_LOOKUP_REQD 1 for Priority of Source NOT NULL against the Source Key Column or not VARCHAR2 15 COL_DATATYPE a Colu
347. ranche attributes required for the computation are required to be provided by the Bank in the exposures table itself Basel Accord specifies two broad approaches for the calculation of the capital charge for the Securitization exposures e Standardized Approach The application handles both the approaches In few of the computations the calculations pertaining to the underlying exposures of the securitization transaction are required This is done before processing the securitization exposures This is applicable in the case of Basel III Standardized Approach This change has an impact for both the Securitized Exposures and the Non Securitized exposures Process Flow Standardized Approach The application handles the Standardized Approach of the Securitization Exposures as follows Oracle Financial Software Services Confidential Restricted 164 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 SEC_DATA POPULATION MITIGANT DATA POPULATION SEC_EXP_MITIGANT_MAPPING_POP CREDIT RATING PROCESSING ere ification Mitigant eee sec 51D Pre CRM Computations Sec CRM process sec Post CRM RWA Computation SEC_DATA_POPULATION MITIGANT_DATA_POPULATION and SEC_EXP_MITIGANT_MAPPING_POP The data pertaining to the pool tranche exposures are populated from the staging tables to the processing tables The underlying exposures data are captured in the respective product processor tables and for th
348. ration Method General Market Risk Maturity Method Standardized Approach oCommodity Risk hs eae v_mrs_commodity_risk Simplified Approach method Maturity Ladder Approach Standardized Approach oOptions Simplified Approach Delta Plus Approach Regulation Basel III Segment BIS Non Securitization Standardized oClaims on Sovereign Selected Approach Hierarchy Option Yes Use ECA Country Scores for risk weighting claims on Sovereign Non Securitization Standardized oClaims on PSE Option I Option used for claims on domestic PSEs Option II Non Securitization Standardized Option I Oracle Financial Software Services Confidential Restricted RUN_PARAMETERS column name v_nss_eca_for_soverign v_nss_rw_option_dpse v_mrs_options_method OPT0611 OPT0612 OPT1003 OPT1004 OPT1008 OPT1009 OPT1013 OPT1014 RUN_PARAME TERS column value OPTO004 OPT0005 OPTO0008 OPTO009 OPT0012 143 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 RUN_PARAME Selected RUN_PARAMETERS column Approach Hierarchy Option name oClaims on Bank i v_nss_rw_option_bank Option for risk weighting claims on Banks j Option OPT0013 Non Securitization Standardized OPT0016 oClaims on Corporates Yes Supervisor permission to risk weight all corporate claims at 100 without regard to external rating Non Securitization Standardized oClaims Secured by Commercial Real Estate
349. rators by selecting Arithmetic Concatenation Comparison Logical or others operators o Specify the ANSI Join or Join to map the table columns and enter the filter criteria to include the same during extraction For example SMISDATE can be a filter for run time substitution of the MIS Date NOTE For expression that has a placeholder for String data type enclose the placeholder in single quotes Expressions with Date Timestamp data type placeholders are not supported 4 Inthe Expressions tool bar you can also o Click 4 button to view the Expression details Oracle Financial Software Services Confidential Restricted 22 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 o Click button to view the ANSI Join details o Click button to view the Joins o Click button to view the Filters o Click button to clear the details 5 Select Show Advanced Options in the Expression tool bar and do the following o Click button to and specify hints Rules if any Oracle hints follow RULE format For example FIRST_ROWS 2 o Click button to validate the query by converting to the selected RDBMS source If Validation is successful the Explain Plan for the SQL query is displayed Else the SQL Exception is displayed o Click i button to view SQL which acts as print command for the complete query 6 Click OK The defined Expression is displayed in the Extract Ent
350. re This logic is handled in Sec Post CRM RWA computation sub process All the below sub process and tasks are handled in the SEC_STD Process Sec Reclassification Mitigant Reclassification Sec STD Pre CRM Computation Risk Weight Assignment Pre CRM RWA Computation Mitigant Eligibility Mitigant Risk Weight Haircut Assignment Allocation of Mitigants to Exposures and Post CRM RWA Computation Key Data Elements A few key data elements for Securitization computation is as follows For a complete list of tables and columns refer to the Download Specifications document Securitization Exposures Standardized Approach e The Key attributes required in the case of an Investor or Third Party who does not provide the complete pool and tranche details are as follows Credit Enhancement Level Pool Exposure Amount Sec Second Loss Position of the Tranche Granularity of the Pool Largest Exposure of the Pool Seniority of the Tranche Sec Trading Book Approach Mitigant Eligibility Standardized Approach Eligible Mutual Fund Indicator Main Index Equity Indicator Equity Traded Indicator Miscellaneous e All tranche information regardless of whether Bank has Exposure or not required for inferring the ratings credit enhancement level computation eligibility of nth to default credit derivative mitigant Mitigant Value to be assigned at an Exposure level not to the tranche Mitigant Pool Id in the Exposure Mitigant Mapping t
351. re Services Confidential Restricted 136 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 o Operational Risk Basic Indicator approach Capital Structure Islamic Banking In the jurisdiction of Islamic Banking the following approaches for RWA and Capital Adequacy Ratio computation are supported Credit Risk o Non Securitization Standardized Approach o Securitization Standardized Approach Market Risk o Market Risk Standardized Approach Operational Risk o Operational Risk Basic Indicator approach Capital Structure o Supervisory Discretionary Formula Brazilian Jurisdiction In the jurisdiction of Brazil the following approaches for RWA and Capital Adequacy Ratio computation are supported Credit Risk o Non Securitization Standardized Approach Market Risk o Market Risk Standardized Approach Operational Risk o Operational Risk Basic Indicator approach o Operational Risk Alternative Standardized Approach o Operational Risk Simplified Alternative Standardized Approach Capital Structure CBRC Jurisdiction In the jurisdiction of CBRC the following approaches for RWA and Capital Adequacy Ratio computation are supported Market Risk o Market Risk Standardized Approach Operational Risk o Operational Risk Standardized Approach Capital Structure The versions of the guidelines supported by the Oracle Financial Services Basel
352. reen You can map multiple user groups of an Information Domain to different batches If a user is mapped to multiple UserGroups the combined list of batches mapped to these user groups is available in the Batch Execution or Batch Scheduler screen for execution The default UserGroup of a user who has created the batch has the maximum Precedence Value among the other UserGroups and is automatically mapped for execution An explicit mapping of this UserGroup to the Batch is not required You System Administrator need to have SYSADM function role mapped to access the UserGroup Batch Execution Map within the Utilities section of the Infrastructure system The UserGroup Batch Execution Map screen displays the list of defined Batches for the selected Information Domain along with the other details such as Batch Name and Batch Description You can filter the list of defined batches which are created in Batch Maintenance Advanced Analytics Infrastructure or in Rules Framework By default the list displays the batches defined in the Batch Maintenance screen To Map UserGroup to the required Batch in the UserGroup Batch Execution Map screen 1 Select the Information Domain from the drop down list By default the screen displays the Information Domain to which you are connected 2 Select the Groups from the drop down list The list consists of all the User Groups mapped to the selected Information Domain The screen is refreshed and the list of defined
353. rejecting the deletion e An un authorized Data Set definition can be deleted Business Measures Business Measure refers to a uniquely named data element of relevance which can be used to define views within the data warehouse It typically implies aggregated information as opposed to information at a detailed granular level that is available before adequate transformations Business Measure function within the Infrastructure system facilitates you to create measures based on the area of analysis While creating a measure you can choose the aggregation type and apply business exclusion rules based on your query area of analysis Business Measures can be stored as Base and Computed measures and can also be reused in defining other multi dimensional stores and query data using the various modules of Oracle Analytical Application Infrastructure You Business Analysts need to have MSRVIW mapped to view Business Measure section in the BMM framework and MSRADD MSRMOD and MSRDEL to add update and delete Business Measures Oracle Financial Software Services Confidential Restricted 13 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 ORACLE Business Measures amp Search and Filter Financial Services Analytical Applications Infrastructure Business Measures User stuser Code Authorized 2 Business Measures Short Description 1 10 973 EJ Code 4 S
354. rency mismatch haircut or maturity mismatch haircut is selected for allocation o Currency haircut Hfx is applied to the collateral if there is a currency mismatch between the exposure and collateral Likewise for mitigants residual maturity falling short of exposure residual maturity a maturity mismatch haircut Hm is applied o The post haircut mitigant amount is applied to the exposure based on the above logic The allocation engine updates the covered factor against each row for all the exposures in a pool For any exposure the sum of covered factor across rows 1s equal to 1 o Finally the pre mitigation EAD is broken into post mitigation EAD net of all haircuts Oracle Financial Software Services Confidential Restricted 161 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Basel II rules then calculates the RWA for each row by multiplying the post mitigation EAD by the RW or capital 12 5 in case of advanced approach Any remaining collateral amount is applied to the next transaction with the next highest risk weight and so on One Exposure to Many Mitigants The case one exposure to many mitigants is treated as follows by the optimizer engine O O First the EAD amount of each exposure post credit conversion is determined The mitigant is sorted from Lowest to the highest risk weight for each exposure mapped to it After all the mitigant eligibility checks are done then
355. required by clicking Edit You need to have Modify Derived Entity function role mapped to edit modify the Derived Entity definitions A Derived Entity definition in the un authorized state modified by other users cannot be modified When you modify a Derived Entity which is mapped to other metadata definition the Affected Metadata Dialog is displayed with the list of mapped Data Sets Measures and Hierarchies which gets auto updated Click OK to confirm else click Cancel Affected Metadata Dialog Datasets ADER Cards Activity Analysis ANORMDI10DER DERENTY1 Cards Activity Analysis DERENTY1 DSTDERY DSTOERY DerENTITY Cards Activity Analysis DERENTY1 ODERANSI ODERANSI ONNORDER ONNORDER TSTCUBJP TSTCUBJIP 1 Measures ADEEN1 11 ADEEN1 11 DERENT 1 DERENTY1 Hierarchies DERETY1H DERETY1H DERIEHI DERIYEHI 4817 Following Metadata will be affected Continue Saving You can delete a Derived Entity that you have created or if you are authorized to do so A Derived Entity in Un Authorized state modified by other users cannot be deleted You need to have Delete Derived Entity function role mapped to delete a Derived Entity Delete function permanently removes the Derived Entity from the database Ensure that you have verified the details as indicated below e A Derived Entity definition marked for deletion is not accessible for other users Every delete action has to be Authorized Rejected by the authorizer On Authorization the Deri
356. rike price The capital charge is arrived as the difference between sum of general risk and specific risk on the underlying value and in the money value of the option For long put or long call application applies the capital charge as least of sum of general risk and specific risk on the underlying and option premium value Delta Plus Approach In delta plus approach the option taken on any underlying contract goes for position conversion The position conversion is detailed in the position conversion block The purpose of position conversion is to create multiple positions with delta weighted amounts and send each position for respective capital charge calculation Greeks Calculation Application calculates Greeks for options based on the option contract information The Greek calculation involves calculating implied volatility delta gamma and vega The information required for calculating Greek is explained under Position Conversion Parameter Assignment Each of the Greek calculated then participates in sensitivity charge calculation Underlying Capital Charge For options contract in equities commodities gold currencies etc one leg goes into interest risk calculation and the underlying leg goes into the respective asset i e equity forex commodity etc charge calculation as the case may be Sensitivity Charge Calculation For options total charge includes underlying capital charge plus sensitivity risk charge Sens
357. rized By Authorization Date 2 Enter the details as tabulated Description While creating a new Business Processor you need to define a distinct identifier Code It is recommended that you define a code that is descriptive or indicative of the type of Business Processor being created This will help in identifying it while creating rules Note the following It is mandatory to enter a Code The Code should be minimum eight characters in length it can be alphabetical numerical only 0 9 or alphanumerical characters The Code should start with an Alphabet The Code cannot contain special characters with the exception of the underscore symbol _ The saved Code or Short Description cannot be changed Oracle Financial Software Services Confidential Restricted 83 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Field Description Short Description Short description is useful in understanding the content of the Business Processor you are creating It would help to enter a description based on the code Note the following Itis mandatory to enter a Short Description The Short Description should be of minimum one character and maximum of 80 characters in length Only Alphanumeric non English and Special characters such as lt blank space gt ee SE 9 e gt 9 e eS and cc 22 are permitted to be entered in the Short Descri
358. rmation EF Properties ID lt lt New gt gt lt lt NA gt gt Code mdb2 lt lt NA gt gt Process Tree Name Multi_Level2_Sub a Y Sub Process Component 42Precedence ove Rem e gt Details Object Precedence Type 2352 Sub Process C fextract Parameter Process El mdb12 File Load File Load H 2352 C loadfile F2T 16392 No records found fextract loadfile Audit Trail Comments amp Audit Trail Created By Created Date Last Modified By Last Modified Date Last Authorized By Last Authorized Date 2 Click button adjacent to the Folder field in the Linked to grid The Folder Selector dialog is displayed Oracle Financial Software Services Confidential Restricted 110 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 J Folder Selector Webpage Dialog Search List 6 Jump to page Name Code Y ATOM732SEG ATOMT732C0D C ATR ATTR O ais BIS O FSB IFSB O INDIA INDIA C usa USA 3 Select the checkbox adjacent to the required folder Click OK You can also enter a keyword and click A button in the Search field of Folder Selector dialog to locate a particular folder The Pagination option helps you to manage the view of existing Folders within the system 4 Enter the details of the Master info grid as tabulated below Field Name Description Refers to the de
359. roach V_SSF_SIMPLE_N_LGD OPT0611 oUsage of Simplified Method for computing N and LGD Yes No Standardized Approach v_mrs_interest_rate_method OPT1003 oInterest Rate Risk General Market Risk Duration Method OPT1004 General Market Risk Maturity Method Standardized Approach A v_mrs_commodity_risk_method OPT1008 oCommodity Risk Simplified Approach OPT1009 Maturity Ladder Approach Standardized Approach TA v_mrs_options_method OPT1013 oOptions Simplified Approach OPT1014 Delta Plus Approach 5 3 Attribution Analysis GUI To perform Attribution Analysis follow the steps given below to access the Attribution Analysis screen 1 Click Basel Regulatory Capital on the Left Hand Side Pane of the OFSAAI 2 Click Attribution Analysis shown in the following figure Oracle Financial Software Services Confidential Restricted 244 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Basel Regulatory Capital 23 Portfolio Definition Run Definition a Pooling I Optimizer NOTE It is assumed that all the Basel Runs are executed before performing Attribution Analysis Follow the steps given below to perform Attribution Analysis 1 Click 4 to define an attribution approach to be executed in the Attribution Analysis Summary Screen as shown in the following figure Attribution Definition Summary 2 Search E Regulatory Capital Attribution Name
360. rs to require up to another 2 5 of Risk weighted assets during periods of high credit growth Loss absorbency is also required to be met as an extension of Capital Conservation Buffer The application supports the calculation of additional capital surcharge requirements in the case of Global systemically important banks G SIBs e Leverage Ratio The application calculates the Leverage Ratio for a Reporting Bank The application supports calculation of Capital measure and Exposure measure that are used in the calculation of Leverage Ratio e CVA Risk The application supports the calculation of CVA Risk Capital charge as introduced in the Basel III accord in addition to counterparty default risk charge for Over the Counter derivative portfolio e Mitigant Eligibility and Haircut Assignment The changes introduced through Basel III on mitigant eligibility and haircut assignment have been considered in this release and supported The following legacy issues have been fixed in this Release e CRM by Issuer Asset Class In case an exposure is covered by a guarantee or a credit derivative the risk is considered as an indirect risk to issuer of these mitigants The application defines asset class on the mitigant side by looking at the mitigant type and the issuer type of the mitigant e Margin Lending Treatment Margin Lending transactions are called Securities Financing Transaction on which RWA calculation needs to be done The application calculates EA
361. rsion of a new Run definition is 0 and the default version of an unauthorized definition is 1 The Audit Trail section at the bottom of Run Definition New Mode screen displays metadata information about the Run definition created The User Comments section facilitates you to add or update additional information as comments You can view individual Run definition details at any given point To view the existing Run definition details in the Run screen select the checkbox adjacent to the Run Code whose details are to be viewed Click button in the List tool bar The Run Definition View Mode screen is displayed with all the details of the selected Run Click Next and Back buttons to navigate back and forth in the Run Definition View Mode screen You can modify all the details except ID Code Version Active status and Type of a Run definition To modify an existing Run definition in the Run screen select the checkbox adjacent to the Run Code whose details are to be updated Click LA button in the List tool bar Edit button is disabled if you have selected multiple Runs Run Definition Versioning The default version of a new Run definition created by an Authorizer is 0 and the one created by non Authorizer is 1 When you edit and save a Run you are prompted either to overwrite the already existing details or save the same as latest version version 0 or to create a subsequent version wherein the existing details are r
362. rt Description maximum of 8 characters in length and does not contain any special characters except co 39 underscore Oracle Financial Software Services Confidential Restricted 71 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Enter the Long Description if you are creating subject oriented Data Set to help users for Long Description whom the Data Set is being created or other details about the type subject Ensure that the description is of a maximum of 100 characters in length 3 Select the Entities by doing the following o Click Select icon from the Entities tool bar o The Entity and Attribute screen is displayed o Select the checkbox adjacent to the required fact table s entities from the Available Entities list and click button You can select multiple dimension tables and link each other and with a join condition You can also Search for the required entity using the Search field The selected Entities are displayed in the Selected Entities grid To delete a selected entity select the Entity checkbox and click icon o Click Save The details are populated in the Add Data set screen 4 Specify the required table join condition in the Data Set Definition grid as tabulated The ANSI Join condition defines which set of data have been joined along with the type of ANSI Join join condition It also describes the exact operations to be performed while joining the Data Set
363. rvices Basel Regulatory Capital Basic Release 6 0 0 0 0 order to handle this 50 50 deduction all the regulatory adjustment line items are moved to table FCT_CALC_ACCT_HEAD where each of the regulatory adjustment line items are equally split into 2 records with one Capital Component group of one record marked as TICOMP and other record as T2COMP The above processing is done in sub processes Calc Acct Head Population and Std Acct Head Population in the process CAP_STRUCT Calculation of Net Capital Net Tier 1 Capital is calculated by deducting the Securitization transaction DTA and 50 of regulatory adjustment line item Similarly Net Tier 2 1s calculated by deducting 50 of regulatory adjustment line item If Net Tier 2 1s greater than Net Tier 1 capital than Net Tier 2 is limited to Net Tier 1 capital Total Capital Calculation Sum the total Net Tier 1 capital Net Tier 2 capital and Net Tier 3capital to obtain the Total Eligible Capital Risk Weighted Asset RWA Amount Credit Risk Market Risk and Operational Risk The RWA amount for Non Securitization Securitization Market Risk and Operational Risk are calculated by summing up the RWA amount is reported under different headings as Risk Weighted Asset amount for Standardized Portfolios for Non Sec Sec Std RWA for Sec portfolio Market Risk RWA for Market Risk and Operational RWA for Operational Risk Capital Ratio Calculation T1 ratio and Capital
364. rview There are three types of Capital Buffers are prescribed in the Basel III Accord which are as follows e Capital Conservation Buffer Countercyclical Buffer Additional Loss Absorbency Capital for G SIB A detailed description of each of these buffers is provided in the following sections Capital Conservation Buffer CCB The Basel HI Accord requires banks to maintain Capital Conservation Buffer CCB out of Common Equity Tier 1 Capital CET1 This requirement is as per the transitional arrangement as stated in the Basel guidelines Countercyclical Buffer The Basel III Accord requires banks to maintain Countercyclical Buffer that is prescribed by the respective jurisdiction s regulator through an extension of CCB The Basel Regulatory Capital calculates the buffer requirement for internationally active banks as the weighted average of the buffers required across all the jurisdictions to which the bank has exposures weighted on basis of the exposure amount to different countries of the counterparty of their exposures Oracle Financial Software Services Confidential Restricted 198 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 In case the guarantor and credit default swap 1s present for an exposure as per the Basel guidelines the application considers the domicile country of these mitigants for the covered portion and country of exposure counterparty for uncovered portion
365. ry setting is too low Contact System Administrator to modify it to the appropriate setting by viewing the log file created in the path FIC_APP_HOME common FICServer logs While saving the User for Mapping DEFO screen is displayed which facilitates you to assign user rights to the Form Alter Existing Forms To alter the field details of an existing Form in the DEFO Forms Designer screen 1 Select Alter Existing Forms from the available options and do the following o Select the Available Applications from the drop down list o Select the Available Forms from the drop down list The listed Forms are dependent on the DSN Data Source Name that you have specified 2 Click Next The Fields Selection Screen is displayed Add or remove the selected fields as required to be displayed in the Form You can choose a field from the Available Oracle Financial Software Services Confidential Restricted 34 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Fields list and click to add or choose the selected field from the Fields to Display list and click to de select You can press Ctrl key for multiple selections and also click or buttons to select de select all the listed fields 3 Click Next The Sort Fields Selection Screen is displayed o Sort the fields in required order as intended to display in the Form You can choose a field from the list and click or buttons to select deselect Yo
366. s Table name for data input Higher Level Product Type Also known as Product Processor STG_BILLS_CONTRACTS Credit Cards STG_CARDS STG_SWAPS_CONTRACTS Futures STG FUTURES Guarantees STG GUARANTEES Investments STG_INVESTMENTS Lease Contracts STG_LEASE CONTRACTS Letters of Credit STG_LC CONTRACTS Loans STG_LOAN CONTRACTS Overa Underlying exposures for repo contracts STG_UNDERLYING_EXPOSURES STG CREDIT DERIVATIVES Processing steps Stage data from the Product Processors or other stage tables is populated in the required tables All product processor data goes to one common Fact table for all non sec exposures fct_non_sec_exposures except equity data which is first populated in the respective equity table fct_equity_exposures and is then populated in the common Fact table for all non sec exposures For more information on the list of columns to be populated within each table refer to the Download Specifications document Shareholding Percent multiplication The exposure amount that is a part of input data product processors is the exposure amount for solo entity However in case of a consolidated Run the parent exposure is considered only on the basis of shareholding percentage based on the following calculation Exposure amount X share holding percent Updated Exposure Amount where Share holding percent is allotted a value by the application during the process Capital Consolidation in the rule Cap Consl
367. s The application creates new records for netting set and then populates into the OTC Exposure table It selects all the records with the following attributes which are similar to computing the netting set exposure o Trades with Entity o Customer o Product Level All OTC trades o Netting Agreement o Book Code Trading or Banking o Long Settlement transaction Flag o GAAP Code The following T2Ts are used to create and populate the OTC exposure table o NETTABLE_POOL_OTC_POPULATION o NET_POOL_EXPOSURE_CREATION The add on percent netting set is achieved by using the following computation Rules o CCR Gross Current Exposure Calculation for OTC Derivatives o CCR Gross Potential Exposure Calculation for OTC Derivatives o CCR Net Current Exposure Calculation for OTC Derivatives o CCR Net Gross Ratio Calculation for OTC Derivatives o CCR Net Potential Exposure Calculation for OTC Derivatives Exposure at default for all instruments with CCR risk is calculated using the following Rules o CCR Exposure Calculation for OTC Derivatives Standardized Approach As mentioned earlier for Standardized Approach you are expected to provide exposure amount inputs for computation Oracle Financial Software Services Confidential Restricted 154 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Risk Weighted Asset RWA Approach RWA calculation for the instruments which are subject to CCR risk is similar to RWA
368. s In ANSI join the join logic is clearly separated from the filtering criteria The Join Filter Condition facilitates the objective of creating Data Sets Data Sets with linked tables using the join conditions help in reducing the query time There are two ways of defining the join condition JOIN condition for SQL Server SQL OLAP combination should contain only EQUI Join Filter Condition JOIN condition as required by SQL OLAP Incase of SQL Server Essbase and Oracle Essbase data set must be defined Multiple cubes can be built with a single pass and the underlying data set definition should be the same for all the cubes mapped which reduces the aggregation time considerably The Date Filter condition enables you to cascade the cubes that are using the data set with Date Filter the defined Date Filter The Order By condition enables you to sort the dimension data in order The order of the Order By Dimension nodes will be maintained only for Business Intelligence enabled hierarchies The Order By condition is specific to the Essbase database 5 Enter the required expression or click L icon to define an expression using the Expression screen 6 Click Save and save the Data Set Definition details Oracle Financial Software Services Confidential Restricted 72 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 You can view individual Data Set details at any given p
369. s Select a Rule Cap Consl Effective Shareholding Percent of an Entity from the LHS pane the Rule which appears in the right frame of the screen Select the Rule and click E to view the details of the Rule as shown in the following figure Oracle Financial Software Services Confidential Restricted 53 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 ENTITY_SHR_HLD PERCENT fa in Capital Consolidation Level S Run Definition User Defined LE_Solo_ Consolidation Cap Cons Basel Entity Type Run_Validation Cap Consl Effectrve Sharehc Cap Cons Basel Approach 1 EXCHANGE RATE_DATA_P 7 RUN_EXE_PARAMETERS PC Reporting Currency Code As Run_Param_Population GL_CAPITAL_ACCT_HEAD_ STD_CAPITAL_ACCT_HEAD Capital Standard Acct Hear 7 4 mr t Process Run Rule Framework gt gt Run gt gt Process Definition View Mode 2 Linked to Folder BIS Master Information Ef Properties ID 1351290493131 Version Code 1223479817605 Active Name CAPITAL CONSOLIDATION Type amp 55 Component recedence We Remove Show Details Precedence El Cap Consl Effective Shareholding Percent for an Entity Run_Walidation 0 Yes Process Tree Type Computation Rule Farameter In the following figure for Rule Cap Consl Effective Shareholding Percent of an Entity a Type 3 rule mentioned earlier contains a Data Set Source Hierarchy and Target Business Processor To relate
370. s Basel Regulatory Capital Basic Release 6 0 0 0 0 Annexure A Frequently Asked Questions This section addresses some of the frequently asked questions which are as follows Leverage Ratio Question 1 Question 2 Question 3 Question 4 Does the application require a different set of input data to execute the Leverage Ratio No Leverage Ratio can be executed on the same set of input data provided to execute the Basel III Run The input for leverage ratio 1s the subset of the data provided for Basel III executions However an additional set of data 1s required total consolidated asset for accounting entity which 1s outside the scope of the consolidation process As per the Basel I Accord total consolidated asset value should add up to the Total Exposure Measure calculation for Leverage Ratio Can we execute the Leverage Ratio if the application is implemented for the first time Yes we can compute Leverage Ratio The application calculates the current month Leverage Ratio and the Leverage Ratio of the previous two months which is provided as a download by the client or the bank This information is considered as an input to calculate Regulatory Leverage Ratio If the previous month s data is not available then the application considers the value as 0 and computes the Regulatory Leverage Ratio Also you have the flexibility to use the current month Leverage Ratio as input for previous two months leverage ratio if required
371. s Basel Regulatory Capital Basic Release 6 0 0 0 0 e Instrument Position Mapping This table is seeded data where instrument type its position like SHORT or LONG its position conversion code like LONG or SHORT is stored This is required in case of position conversion of instruments Internal Model Method Overview As per internal models approach for VaR calculation Banks has to provide for capital requirement which is higher of Previous Day VaR Average of previous 60 days Vat multiplied by a factor Bank also needs to calculate stress VaR modeling movement of risk factor due to extreme scenarios Total Capital requirement is a summation of normal VaR plus stress VaR Process Flow Data Population IMM VaR Adjustment Back Testing Risk Weighted Assets Summary Output Population Data Population First the application populates VaR data from stage market risk VaR data to fact market risk VaR data The application expects VaR stress VaR Hypothetical and Actual Profit and Loss data as input from bank at a portfolio level IMM VaR Adjustment The application takes the maximum of previous day VaR and 60 day average VaR which comes input and apply a factor of 3 to arrive at a final VaR number Similar approach is followed for stress VaR and then normal VaR and stress VaR are added up for final capital requirement under market risk IMA Back Testing The application does a back test
372. s Source of the definition Display the trace details of Transformations defined for a definition Display the trace details of mapped Scenarios for a definition Oracle Financial Software Services Confidential Restricted 48 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Display the details of the mapped Stress Definitions Display the details of mapped Variable Shocks to a particular variable To help you navigate through the Metadata Browser starting from a Run refer to the following steps 1 Click Metadata Browser on the LHS pane of OFSAAT to view the Metadata Browser screen 2 Select the relevant jurisdiction from Segment dropdown on the LHS pane of OFSAAIT shown in the following figure TETEA on BASELEDOM Domain segment AIS 3 Click H to view the Runs defined for the selected jurisdiction shown in the following figure Oracle Financial Software Services Confidential Restricted 49 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 EX Business Processors a i Fules Ee Process Ee y Cubes PA Forms S E Questionnaire j VIEWS Capital Calculation BIS Basel Approach Capital Calculation BIS Standardised Approach Capital Calculation BIS Advanced IRB Approach Risk Weighted Asset Calculation Operational Risk BIS Standardised Approach Capital Calculation BI
373. s Trace Definitions Trace Forms Details of Measure MSR Cap Consl Entity Shareholding Percent Name M0719 Short Description MSR Cap Consl Entity Shareholding Percent Long Description Measure for Storing Shareholding Percent of the Entity Comments Created By SYSADMN Creation Date November 25 2008 12 42 54 PM Last Modified By SYSADMN Modification Date Authorized By SYSADMN Authorization Date November 25 2008 12 42 54 PM Entity Fact Entity Information Attribute Shareholding Percentage Aggregation Type SUM Measure Type Base Measure Summary Condition 1 1 Therefore this Rule aims to populate the shareholding percentage of the entities in the defined target from the master list of entities participating in the Capital Consolidation computation Oracle Financial Software Services Confidential Restricted 59 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Similarly an Assignment Rule Type 2 Rule as shown in the following figure contains a Data Set Source Hierarchy from which bank specific data is reclassified and Standardized into Basel Regulatory Capital application specific data and stored in the defined Target Hierarchy Ls Rule Y Run Rule Framework gt gt Run gt gt Rule Definition View Mode 2 Linked to Folder Dataset 2 Master Information E Properties ID 1228304537655 Version 0 Code 1228304537655 Active Name Cap Consl Basel Entity Type Reclass
374. s are included 1f you select the option from Run Management Screen Also trades with Central Counterparty CCP are excluded from CVA Charge calculations Assumptions CVA hedge should be identified by the clients separately Only single name CDS and Index Hedge are eligible for CVA The Basel III Accord does not clearly mention whether index hedge position should be marked to the counterparty or not The Basel Regulatory Capital application handles the index position in the following manner 1 Both Index position marked to the level of counterparty or not marked to the level of counterparty is handled by the application 2 Effective index hedge amount is considered in CVA charge calculation at portfolio level without considering whether it is marked to the counterparty or not 3 If the index position is marked to the counterparty then index hedge amount is considered while allocating total CVA charge to the counterparty CVA Charge while using standardized approach Process Flow This process flow is divided into two sections for standardized approach and Advanced approach Standardized Approach The application calculates CVA Capital Charge at portfolio level using the following formulae as specified Oracle Financial Software Services Confidential Restricted 208 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 by Basel guidelines _ if o Y K 2 33 Vh Al Y 0 5 w M EAD Mt
375. s identifies the Mitigants data from the Entity Fact Sub Exposures using the Attribute Mitigant Surrogate Key Click Exposures or Mitigants to view details of the same Objective Function X Variable Exposures Mitigants There are two Constraints detailed in this Optimizer as follows e Exposure Constraint ensures that the Sum of all the Sub exposures is equal to one e Mitigant Constraint ensures that the total Mitigant amount used is less than or equal to total amount of Mitigant available All Mitigant Haircuts are applied in this Constraint To view the measures used you can click the Business Processor BP shown in the following figure Oracle Financial Software Services Confidential Restricted 67 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Constraints Constraint Identifier Exposures 0 Exposure Constraint Coefficient BP Sub Exposure Pre Mitigant EAD Amt Constraint Operator z Condition Value BP Sub Exposure Fre Mitigant EAD Amt Constraint Identifier Mitigants 4 Mitigant Constraint Coefficient BP Sub Exposure Pre Mitigant EAD Constraint Co Efficient Constraint Operator sE Condition Walue BP Sub Exposure Mitigant Amount The X Variable Bounds defines the Lower and Upper bound of the covered factor to be between 0 and 1 shown in the following figure Click the BP to view the measures mapped to the BP X Variable Bounds BP Lower Bound for O
376. s on Corporates supervisor permission to risk weight all corporate claims at 100 without regard to external rating For example Under Claims on PSE if you want to add Option II then the new Setup data will be as follows RM_SETUP_APPROACH_DETAIL v_parent_option_id v_option _id of Option used for claims on domestic PSEs RM_SETUP_APPROACH_DETAIL f_enabled_ind RM_SETUP_APPROACH_DETAIL f_is_ default_value NULL Oracle Financial Software Services Confidential Restricted 238 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 RM_SETUP_APPROACH_DETAIL v_option_dependency NULL RM_SETUP_APPROACH_DETAIL Same as Claims on domestic PSEs RM_SETUP_APPROACH_DETAIL Same as Claims on domestic PSEs To add a new question El Non Securitisation Standardized Claims on Sovereign Use ECA Country Scores for risk weighting claims on Sovereigns O ves No Claims on PSE Option used for claims on domestic PSEs Option Option I Claims on Bank Option for risk weighting claims on IFS Option Option I El Claims on Corporates supervisor permission to risk weight all corporate claims at 100 without regard to external rating ves No For example If you want to add a question such as Are floor risk weights applicable for corporate This question is applicable only if 100 risk weights corporate are not applicable then the new set up tables will be
377. s required by law for interoperability is prohibited The information contained herein is subject to change without notice and is not warranted to be error free If you find any errors please report them to us in writing If this is software or related documentation that is delivered to the U S Government or anyone licensing it on behalf of the U S Government the following notice is applicable U S GOVERNMENT END USERS Oracle programs including any operating system integrated software any programs installed on the hardware and or documentation delivered to U S Government end users are commercial computer software pursuant to the applicable Federal Acquisition Regulation and agency specific supplemental regulations As such use duplication disclosure modification and adaptation of the programs including any operating system integrated software any programs installed on the hardware and or documentation shall be subject to license terms and license restrictions applicable to the programs No other rights are granted to the U S Government This software or hardware is developed for general use in a variety of information management applications It is not developed or intended for use in any inherently dangerous applications including applications that may create a risk of personal injury If you use this software or hardware in dangerous applications then you shall be responsible to take all appropriate fail safe backup redunda
378. s that fall under the category of internal transactions like holding own subsidiaries shares or investment in its capital reciprocal cross holding and so on are treated separately under capital structure Oracle Financial Software Services Confidential Restricted 189 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Rating Information Processing Data Population Currency Conversion Reclassification Pre CRM EAD Computation Risk Weight Assignment Pre CRM RWA Computation Mitigant Eligibility Mitigant Risk Weight Mitizant Haircut Assignment Allocation of Mitigants to Exposures Post CRM RWA Computation The processing of only mitigants eligibility is different in this current release whereas processing of all other line items remains the same Mitigant Eligibility and Haircut Assignment Overview As per the Basel III guidelines BCBS recognizes the need to change certain criteria in the eligibility of mitigants due to the economic crisis of 2008 It has revised the criteria for recognition of the eligible mitigants applicable for both the Securitized as well as the Non Securitized exposures BCBS also revised the haircuts to be applied for the debt securities issued by a securitization transaction which act as collateral These changes are an outcome of the financial crisis of 2008 because these transactions are very much sensitive to the price changes This is applicable in
379. s the Form Name Access Rights Before Displays the available Right Requests for the selected user in the Form Note For new Form the column remains blank Oracle Financial Software Services Confidential Restricted 37 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Access Rights After Displays the Right Requests raised for authorization DV DEFQ VIEW DA DEFQ ADD DE DEFQ EDIT DD DEFQ DELETE A AUTHORIZE DU AUTO AUTHORIZE S SHOW DATA CREATED BY CURRENT USER ONLY Operations Displays the operation carried out in the Form For example ADD indicates a new form is created and specific roles are assigned To authorize or reject a form in the Forms Authorization screen l Select the User ID from the drop down box The Right Requests submitted on various forms are displayed 2 Select the checkbox s adjacent to the requests to authorize reject You can also select all the requests at once for a user by clicking Select All checkbox 3 Click Authorize Reject to authorize or reject the selected Right Requests Once form action privileges are authorized those actions can be performed on the form For an existing Form with certain rights the rights remain the same until the changes are authorized rejected by an authorizer Data Entry Data Entry within the Data Entry Forms and Queries section of infrastructure system facilitates you to view add
380. s the eligibility of the guarantees and credit derivatives based on the party type of the mitigant and the credit rating assigned to the issuer of the mitigant In the case of Nth to default Credit Derivatives the application further identifies the eligible credit derivative based on the number of defaults in the exposures and the defaulted position covered by the mitigant The application identifies the number of defaults in the tranches based on the attachment point of the tranche to which the exposure belongs the initial pool exposure amount and the cumulative exposure amount Then it computes the number of tranches in default and compares that with the defaulted position covered by the mitigant Based on the criteria of eligibility mentioned in the Basel Accord the application identifies whether the mitigant is eligible or not and if eligible the application also makes the least risk weighted exposure as the eligible mapping for the least eligible nth to default mitigant for the exposure It also identifies the eligibility of the mitigants based on the comparison of the risk weight of the exposures and the mitigants If the mitigants risk weight is lesser than that of the exposures then the mitigants become eligible Else the application makes them ineligible o Mitigant Risk Weight The application calculates the mitigant risk weight similar to the exposure risk weight of non securitized exposures This is based on the Issuer type and the cr
381. s which are part of regulatory consolidation and parent entity share holding percent The capital structure component for each tier of capital for all entities involved in regulatory consolidation The total RWA Total CET1 AT1 and T2 amount and third party percentage of holdings in each tier of capital for minority interest calculation The regulatory adjustment amount like Goodwill DTA Other Intangible Assets Cash Flow Hedge Reserve and Defined pension Fund Asset MSR and so on The transaction of the investment amount for accounting entity which are outside the scope of regulatory consolidation The CET1 ATI and T2 capital of the entity which has third party minority holdings in it are expected as a download in legal entity details STG_LEGAL_ENTITY_DETAILS table Similarly the third party investment in each tier of capital is also expected as a download in legal entity details table The minimum required capital for each tier for each capital adequacy regulator for the entity that has third party minority holding in it is expected in the setup table Setup Capital Heads FSL SETUP_CAPITAL_HEAD For more information refer to the sample data V_STD_ACC N_CAPITAL_COMP D_STAR D_END F_LATEST_RECO V_STD_ACCT_ V_CAPITAL_ADEQU T_HEAD_ID ONENT_VALUE T_DATE _DATE RD_INDICATOR HEAD_DESC ACY_REGULATOR CAP820 0 035 1 1 2013 12 31 20 Required RBI 1 1 Common Equity Tier 1 Capital Ratio A Y Required
382. segment Rules Framework is available within the LHS menu of the Infrastructure home page Oracle Financial Software Services Confidential Restricted 90 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 User shougat ORACLE Financial Services Analytical Applications Infrastructure Connected to BASEL6DOM Rule Y 2 Home Run Rule Framework gt gt Rule H Unified Metadata Manager 2 Search and Filter A Search By Reset EY Rules Framework Code Version 0 Rule Name Active Yes v Process Run Folder Type se Manage Run Execution Dataset EF Utilities A Faas Face 2 List 201 G4 New Page 1 76 Jumi i fo fal Code Name Type Folder Dataset Version Active e Operations m i 1111241886631 Non Sec Add on Estimation Computation BIS Non Securitisation Exposure 0 Yes i E System Configuration 1117016036934 Basel Customer Type Reclassification Classification BIS Non Securitisation Exposure 0 Yes a e Administration FP 1128403465564 Non Sec Expected Loss Band Skey Assignme Computation BIS Non Securitization Band Skeys 0 Yes Security Management 1128411980620 Sec Exposure Risk Weight Band Skey Assig Computation BIS RWA Computations Securitizat 0 Yes Metadata Authorization 1136285107137 Non Sec Pre Mitigation Capital Required Computation BIS Non Securitisation Exposure 0 Yes Save Metadata E 1136287177302 Non Sec Effective Maturity Assignment Compu
383. signments for each position leg created under position conversion logic For each leg relevant information like coupon rate coupon frequency maturity strike price for options option premium value etc are updated from parent information This information are used in identifying instrument to be grouped under maturity ladder based on coupon rate less than or greater than equal to 3 Oracle Financial Software Services Confidential Restricted 174 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 duration calculation for duration ladder approach calculation of Greeks for option charge and so On Notional Value Calculation Notional value of each leg created by position conversion for each instrument is calculated based on the contract characteristics market price number of units For options it is the delta weighted position which is carried forward for market risk charge calculation After Notional Value calculation the application assigns risk weights to the position converted IR instruments The risk weights are stored in Specific Risk Mapping table These risk weights are stored against time band Basel rating and category skeys The categories are Qualifying and sovereign and the ratings are picked from standard Basel Rating table There is some dependency on different instrument types like the exotic options may further result into normal option after position conversion so the position conv
384. sk through various mitigants like guarantors collaterals credit derivatives etc These provide certain mitigation to credit risk and should be considered while computing Credit RWA as per Basel norms Hence the application calculates both pre mitigation exposure amount and post mitigation exposure amount Based on the asset class the application calculates the pre CRM EAD for each exposure This value signifies the maximum loss that the bank can take in case of default on this exposure prior to considering any mitigation effects Through CRM Credit Risk Mitigation process the bank takes into account the mitigation effect and calculates the post mitigation exposure at default amount This signifies the maximum loss that the bank may undergo in case of default on this exposure after considering all the mitigation effects The application also computes pre mitigation risk weighted assets Pre CRM RWA and post mitigation risk weighted assets Post CRM RWA by multiplying the respective EAD by risk weight The risk weight in this case is arrived at by looking at the credit rating of the exposures and mitigants as per the Basel guidelines Some credit risk exposures that fall under the category of internal transactions like holding owned subsidiaries shares or investment in its capital reciprocal cross holding and so on are treated separately Oracle Financial Software Services Confidential Restricted 146 User Guide Oracle Financial Services
385. sor permitted a lower RW for certain commercial real estate OPT0021 Non Securitization Standardized it OPT0024 oPast Due Yes v_nss_pastdue_for_non Past due treatment for non past due loans to counterparties pastdue OPT0025 subject to a 150 RW No Non Securitization Standardized OPT0027 oUse of 0 RW for Gold Bullion held in own vaults or on allocated Yes v_nss_0_rw_for_gold Yes v_nss_borrower_ccy_rat Non Securitization Standardized Simple Approach OPT0037 oSFT v_ns_sft_method Oracle Financial Software Services Confidential Restricted 142 Non Securitization Standardized oUse of borrower s domestic currency rating for exposure in foreign exchange transactions User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Approach Hierarchy Selected Option RUN_PARAMETERS RUN_PARA column value A Non Securitization Standardized oOTC v_ns_otc_method IMM Non Securitization Standardized oLong Settlement Transactions Standard Approach Standard Approach v_ns_lst_approach Non Securitization Standardized Supervisory Haircut v_ns_haircut_method oHaircut Own Estimate Securitization Supervisory Formula Approach V_SSF_SIMPLE_N_L oUsage of Simplified Method for computing N and LGD Yes GD Securitization Standardized OPT0041 OPT0042 OPT0043 OPT0045 OPT0046 OPT0047 OPT0056 OPT0057 v_mrs _interest_ rate met Standardized Approach OInterest Rate Risk Gener al Market Risk hod Du
386. splays the metadata information about the Business Measure created along with the option to add comments You can update the existing Business Measure definition details except for the Code and Short Description by clicking the icon You can copy the existing Business Measure details to quickly create a new Business Measure by clicking the icon You can later modify the Code or Short Description add remove Entities and Attributes and also define the join filter conditions You need to have Add Business Measure function role mapped to copy the Business Measure definitions You can remove the Business Measure definition s which are created by you and which are no longer required in the system by deleting from the Business Measures screen by clicking the icon You need to have Delete Measures function role mapped to delete a Business Measure Delete function permanently removes the Business Measure details from the database Ensure that you have verified the details as indicated below A Business Measure definition marked for deletion is not accessible for other users Every delete action has to be Authorized Rejected by the authorizer On Authorization the Business Measure details are removed On Rejection the Business Measure details are reverted back to authorized state You cannot update Business Measure details before authorizing rejecting the deletion o An un authorized Business Measure definition can be deleted Busin
387. ssignment and for further processing The eligible mitigants are moved from mitigants table to sub exposures table The CRM change is applied in the following processes e BASELIII_NON_SEC_STD e BASELIMI SEC_STD This 1s applicable in the case of Basel III Standardized Approach This change has an impact for both the Securitized Exposures and the Non Securitized exposures Key Data Elements A few key data elements are listed in this section For a complete list of tables and columns to be updated refer to the Download Specifications document For Mitigants e Resecuritized exposures Mitigant The mitigants belonging to resecuritized exposures will have Y value in this field The application will mark them as ineligible mitigants e Securitized exposures Mitigant The mitigants belonging to resecuritized exposures will have Y value in this field The application will assign different volatility haircuts for these depending on the current ratings and the residual maturity For Ratings Current Rating for the Guarantees and Credit derivatives issued to Non Securitized Exposures Current Rating and Original Rating for the Guarantees and Credit derivatives issued to Securitized Exposures Capital Structure Overview During the economic crisis the global banking system had an insufficient level of high level quality capital During the crisis it was revealed that there was inconsistency in the definition of capit
388. st Run from the baseline run This amount is then converted into the reporting currency as per applicable currency rate Foreign Exchange Rate change Percentage attribution of foreign exchange rate change is calculated as percentage change in exchange rate for the portfolio currency between the two MIS dates This amount is then converted into the reporting currency as per applicable currency rate Multiplication Factor A residual change in the Credit RWA which occurs due to the interaction between the control variables mentioned above and which cannot be directly attributed to any of these variables is assigned a Multiplication Factor control variable Its value is calculated as the difference between actual change in Credit RWA and sum of percentage change in the first three control variables Market RWA Attribution analysis for changes in Market RWA is computed for the following control variables which are essentially the different approaches used for arriving at the RWA Computation on each control variable is further divided based on the risk types as follows Standardized Approach Interest Rate Risk o Specific Risk o General Market Risk Equity Risk o Specific Risk o General Market Risk Commodity Risk m Foreign Exchange Risk Oracle Financial Software Services Confidential Restricted 139 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Internal Model Method Value at Risk
389. st operation type creating a Rule the field displays the operation type as Created Pre processing Pre Built Flag refers to the pre compiled rules which are executed with the query stored in database While defining a Rule you can make use of Pre Built Flag to fasten the Rule execution process by making use of existing technical metadata details wherein the rule query is not rebuilt again during Rule execution By default Pre Built Flag status is set to No This indicates that the query statement Pre Built Flag is formed dynamically retrieving the technical metadata details If the Pre Built Flag status is set to Yes then the relevant metadata details required to form the rule query is stored in database on Save of a Rule definition When this rule is executed database is accessed to form the rule query based on stored metadata details thus ensuring performance enhancement during Rule execution Select the required option from the drop down list Query Optimization Settings Specify the SQL Hint that can be used to optimize Merge Query For example ALL ROWS Merge Hints In a Rule Execution Merge Query formed using definition level Merge Hint precede over the Global Merge Hint Parameters defined in the Optimization tab of System Configuration gt Configuration screen In case the definition level Merge Hint is empty null Global Merge Hint if defined is included in the query Specify the SQL Hint that can
390. stination Date Format mm dd yyyy L First Row is the Header C Bulk Authorization E Apply to all Dates _ Save With Authorization Auto Map Sheet Sheet Select Excel Columns Select Entities Elf Sheet H E CAP_STRUCT_PARAM_MASTER A ET Field1 EEE COM_ENTITY_GROUP_MAP S Field2 ES f_dim_fact_flag Bd Field3 ES fvcm_flag Eg Field4 B n_group_id n_mismatch_rows Bo v_attribute_name Ba y entity_name v_group_desc E w_source_attribute_name BS y source _system_id H E COM_ENTITY_PROCESS DETAILS H E COM_VALUECODE_MAPPING H CONTRA_GL_ACCOUNT H E CURRENCY_CONVERSION_FACTORS v 2 Mapping Information Excel Fields Field Order Date Format Destination table Destination column E Fieid1 1 COM_ENTITY_GROUP_MAP f_dim_fact_flag O Field2 2 COM_ENTITY_GROUP_MAP n_mismatch_rows O Field3 COM_ENTITY_GROUP_MAP v_attribute_name F Field4 4 COM_ENTITY_GROUP_MAP v_source_attribute_name Save Mapping Cancel 4 Enter the Source Date in dd mm yy format You can select Apply to all Dates checkbox if the Excel contains date field 5 Select First Row is the Header checkbox If the first row in the Excel has headings 6 Select the mapping database table by clicking on the symbol or table name 7 Click Automap The respective columns with the similar names in the excel and database is mapped You need to manually map the other columns The mapping details are displayed in the Mapping Information grid which facilitates you to edit the details as r
391. store the existing PR2 definitions using the Metadata Restore Archive utility and also migrate PR2 RRF definitions through the Command Line Utilities across Information Domains Setups Create Rule You can create Rule definitions using the existing metadata objects To create a Rule definition in the Rule screen 1 Click FE icon from the List toolbar The Rule Definition New Mode screen is displayed Oracle Financial Software Services Confidential Restricted 91 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 gt Run Rule Framework Windows Internet Explorer Rule Y Run Rule Framework gt gt Rule gt gt Rule Definition New Mode 2 Linked to Folder AAIPROD74SEG Dataset A1234s WE 2 Master Information EF Properties ID lt lt New gt gt Version lt lt NA gt gt Code Compurule1 Active lt lt NA gt gt Name SK_Country_Rule_1d Type Computation v amp List ffl Add Move Show Details Location Code Name Type O Fiter ABH ABH Short Hierarchy C Filter CNT1 CNT1 Total Checked Hierarchy O Filter CNT2 CNT2 Total Unchecked Hierarchy C Source CNTYHIE1 Country Hier1 Hierarchy E Source CNTYHIE2 Country Hier2 Hierarchy C Target M0254 MSR Alpha Value Measure Next Close Audit Trail Comments 2 Audit Trail Created By Creation Date Last Modified By Last Modified Date Last Authorized By Last Authorized Date ORACLE ALL RIGHTS RESER
392. t v Upper Bound SEARCH CLEAR OK CANCEL Done Gl Local intranet Protected Mode Off fg vy 100 y Here you can select lower bound and upper bound with one of the available operators 4 Choose measure for identifier from available list in the Integer Identifier tab BASEL II ORAH BASEL 1 3 YD BR Portfolio Definition Run Definition i a VENNE UBJECUVE PUMNCUUN A Val lane A Run Execution Available Hierarchies Selected Hierarchies HEA Attribution Analysis pa A H Pooling a F Optimizer gt gt ai m y r lt a m r Objective Function Coefficient SEARCH Operation Type Minimize Maximize Integer Identifier Identifier Required V i Measure for Integer Identifier SEARCH Done E Gl Local intranet Protected Mode Off fg vy 100 v 5 Select in which measure you want the output of optimizer Here you have another option to choose pooling required or not if required it again asks for one of the available measures Oracle Financial Software Services Confidential Restricted 160 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 ORACLE BASEL II BASEL I 0 E 1 Portfolio Definition Run Definition 5 i Run Execution Dataset Basel Nettable Pool Dataset k Attribution Analysis Pooling Define Objective Function X V
393. t Yes or No to include or exclude CRM CRM is the process which incorporates the eligible deductions provided against specific exposures by the bank functionality in the Single Counterparty Run shown in the below figure 2 Single Counterparty Exposure CRM O Yes No 11 Only Credit Risk tab will be enabled for Single Counterparty run as shown in the below figure Credit Risk Market Risk Operational Risk 6 Fora Capital Calculation Run click against Portfolio Identifier to select the defined Portfolios to participate in the Run The relevant approaches will appear in the Basel II Approaches section For example Non Securitization Standardized Click lt to view the sub approaches under section Basel Regulatory Capital Approaches as shown in the following figure For Single Counterparty Run click against Portfolio Identifier to select the defined Portfolios to participate in the Run The relevant approaches will appear in the Basel Regulatory Capital Approaches section For example Single Counterparty Exposure Calculation Click to view the sub approaches under section Basel Regulatory Capital Approaches as shown in the following figure Oracle Financial Software Services Confidential Restricted 229 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 2 Credit Risk Basel Regulatory Capital Approaches Non Securitisation Standardized Non Securitisati
394. t above 10 and 15 limit is stamped as SIG DED The original transactions are deleted and new transactions are created with the stamping as described above The new transaction thus created can be traced back by looking into the parent exposure id The exposure to be deducted is marked with Standard account head surrogate key based on whether the deduction is Insignificant or Significant investment and based on capital component group This splitting of exposures is done in Fact Non Sec Exposures FCT_NON_SEC_EXPOSURES and Market Risk Exposures FCT_MARKET_RISK_EXPOSURES This splitting logic is carried to Equity Exposures FCT_EQUITY_EXPOSURES and Fact Sub Exposures FCT_SUB_EXPOSURES as well The entire processing is done in the sub processes Non Sec Insignificant Investment Exposure Processing Mkt Risk Insignificant Investment Exposure Processing Non Sec Significant Investment Exposure Processing Mkt Risk Significant Investment Exposure Processing Non Regulatory Investment Sub Exposures Population and Equity Non Regulatory Investment Processing in the process BASELIII_CAPITAL_STRUCTURE Net Capital Calculation The Net CET1 Net AT1 and Net T2 capital amount are calculated post all regulatory adjustments Any shortfall in T2 capital amount is adjusted against Net AT1 amount and any shortfall of AT1 capital amount is adjusted against Net CET1 amount Oracle Financial Software Services Confidential Restricted 196 Use
395. t is summed All the above data required for CVA calculation is populated from Mitigants data to CVA specific table The data is summed for each counterparty and stored o Portfolio Level CVA Calculation Portfolio Level CVA Charge is calculated as per the following formula K 233 Jh E 0 5 w M EAD MB S Wing Ming Bina 0 75 w M EAD prep A ind Counterparty Level CVA Calculation CVA Capital Charge at counterparty level is allocated using the following formula WCVAi Absolute 0 5 Wi Mi EADitotal Mihedge Bi indi W_ind M_ind B_ind 1 gt i 1 4n Absolute 0 5 Wi Mi EADitotal Mihedge Bi gt indi CW_ind M_ind B_ ind 1 Advanced Approach Expected Exposure Data Population Counterparty Level CVA Calculation Portfolio Level CVA Calculation The application calculates the CVA Charge at counterparty level and is aggregated at portfolio level using the below formula K 3 CVA Unstressed VAR CVA Stressed VAR i r Y u A CVA LGD mr Y Max 0 exp ice tia z exp ee t Ed ooma La OAN q LGD The application calculates the CVA Charge at counterparty level using the above formula for each counterparty and sums the CVA charge for all counterparties to compute portfolio level capital charge Counterparty charge is calculated for two different scenarios Expected Exposure calculated with Current
396. t to 10 and 15 CET1 capital Each line item which are above 10 and 15 limit are risk weighted at 250 Securitization transaction Equity Exposure under PG LGD approach and non DvP and non PvP transaction items which were formally in Basel II wherein 50 from Tier 1 and 50 from Tier 2 were deducted are risk weighted at 1250 All the regulatory adjustment line items will follow a phase in arrangement from the beginning of 2014 till 2017 In particular the regulatory adjustments begins at 20 of the required adjustments to Common Equity Tier 1 on 1 January 2014 40 on 1 January 2015 60 on 1 January 2016 80 on 1 January 2017 and reaches 100 on 1 January 2018 The same transition approach applies for all deductions from Additional Tier 1 and Tier 2 capital Capital Structure process takes input from Fact Non Sec Exposures FCT_NON_SEC_EXPOSURES and Market Risk Exposures FCT_MARKET_RISK_ EXPOSURES only if market risk processing is a part of the Run Capital Structure process is placed between Market Risk data processing BASEL MKT_RISK_ DATA PROCESSING and Market Risk position conversion BASELHUIMKT_RISK_POSITION_ CONVERSION due to the following reasons e The Significant and Insignificant Investment Deductions involves splitting of certain exposures into multiple exposures 2 new exposures and deletion of the parent exposure These split exposures should be Position Converted and RWA is calculated on these position converted expos
397. t two months then these values are populated back to staging table for non accounting data table for the current execution date The Run Basel III Staging Data Creation Previous Month Leverage Ratio is created with the T2Ts LEVERAGE_RATIO_PREVIOUS_MONTH_DATA_POPULATION and LEVERAGE_RATIO_SECOND_PREVIOUS_MONTH_DATA_POPULATION You need to change the Run skey of the Runs corresponding to previous two months leverage ratio calculation Run before executing this Run This Run needs to be executed prior to executing the leverage ratio calculation Run Key Data Elements The a few key data elements have been elaborated in this section For a complete list of tables and columns to be populated refer to the Download Specifications document To calculate the leverage ratio exposure amount for all product types are required as well as total consolidated asset for significant investment entity is required to calculate exposure measure The key data elements for exposure measure calculation of the various product types are as follows e On Balance Sheet Item For on balance sheet items End of Period EOP balance amount write off and accrued interest amount is required Repo Style Transaction For repo products exposure amount and instrument rating are required Derivative Transaction For derivative products exposure mark to market value notional principle amount and underlying instrument types are required e Off Balance Sheet Item
398. tField w Normal v None v E VERSION_NO VERSION_NO _ Display vw Text Field v Normal v None v Ei Back Save Save with Authorization Specify the parameters for each field as tabulated Display Name Edit the default Display Name if required Select either Display or Do not Display to display the field in the Form If the field is a foreign key field or if more than one table is selected then the following options are available in the drop down list In View Same Field Alternate Display Field Do not Display options Specify the edit parameters by selecting from the drop down list The available options depend on the type of field selected For normal fields you can select Text Field Text Area Select List Protected Field Read Only and Do Not Show In Edit Add For foreign key field s you can select Read Only Select List and Do Not Show For primary key fields you can select Read Only and Do Not Show For calendar fields you can select Calendar and Do Not Show Note If you choose Select List option you need to define the values Select the checkbox to permit users to add new record Allow Add Note An alert message is displayed if you are trying to save a Form with add option disabled for the mandatory fields Oracle Financial Software Services Confidential Restricted 33 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Select the
399. tal Basic User Guide Release 6 0 0 0 0 DER Financial Services Analytical Applications Infrastructure User stuser2 gt DEFQ Data Entry Windows Internet Explorer ORACLE Logout Change Password bout em O ge Il Single Record Editable View Multi Column e O Q View Edit Add Delete Authorize Export Search a 5 aa Select Excel Sheet Name ENS e asap Data Entry Forms anc re 10565 Search Results For Search Column Country Long Description 10566 and Search Value AXLSX aaasas 145 ab Reauthorize Records 5 am 25 asap Reauthorize Deleted Records SES te Authorize All Reject All Hold All HS bar 145 bar2 45 bv H de 651 g f fin g 08 31 2012 Unauthorized 11 30 2001 A XLSX f a f g f Auth Rej Hold Country Surrogate Keypk Country Identifier Record End Date Record Start Date Latest Record Indicator Extraction Date Country Long Description Provinc 451 9 08 31 2012 Unauthorized 11 30 2001 A XLSX 08 31 2012 Unauthorized 11 30 2001 AXLSX 45 form1 08 31 2012 Unauthorized 11 30 2001 A XLSX 5 map12 08 31 2012 Unauthorized 11 30 2001 AXLSX 45 new 45 new 45 sel 0 sel_list 15 tree lt lt Previous Page al lt Back Reset Save Next gt 7 Next Page gt gt Authorize Excel Reject Excel The status of each record in t
400. tation BIS Non Securitisation Exposure 0 Yes Utilities 1137126999734 Non Sec Pre Mitigation PD Assignment Computation BIS Non Securitisation Exposure 0 Yes PE 1137496095751 Non Sec Capital Required for UL Defaul Computation BIS Non Securitisation Exposure 0 Yes de Advanced Analytics Infrastructure 1137496648996 Non Sec Pre Mitigation EAD Amount IRB Computation BIS Non Securitisation Exposure 0 Yes fi AMHM UMM Offline Population E 1137497129859 Non Sec RWA For Dilution Risk Computation BIS Non Securitisation Exposure 0 Yes s Risk Applications 1137561353899 Equity Correlation Factor Computation BIS Equity Exposure Dataset 0 Yes s Regulatory Reporting 1137561926026 Equity RWA Calculation Computation BIS Equity Exposure Dataset 0 Yes 1137645483897 Non Sec Basel Il Transaction Type Reclas Classification BIS Non Securitisation Exposure 0 Yes FI 1137646268878 Party Type Reclassification IRB Classification BIS Party type reclassification 0 Yes 1137646548485 Non Sec Basel ll Asset Class Reclassific Classification BIS Non Securitisation Exposure 0 Yes 1137646548485 bkp Non Sec Basel Il Asset Class Reclassific Classification BIS Non Securitisation Exposure 0 Yes 1137651218893 Equity Minimum RW Assignment PD LGD Computation BIS Equity Exposure Dataset 0 Yes E 1137651249717 Non Sec Pre Mitigation Post Volatility H Computation BIS Non Securitisation Exposure 0 Yes E 1137656131798 Non Sec Pre Mitigation Risk Weight UL Co
401. te October 4 2012 1 51 45 PM Last Modified By SYSADMN Modification Date October 27 2012 12 20 53 AM Authorized By SYSADMN Authorization Date October 27 2012 12 20 53 AM Type REGULAR Bl Enabled Yes Is Parent Child No Entity Fact Sub Exposures Attribute Account Surrogate Key Click Mitigants under field Pooling Basis in the Details of Pooling Screen The following figure displays the table Fact Sub Exposures from which Mitigant Data is identified using the Attribute Mitigant Surrogate Key Oracle Financial Software Services Confidential Restricted 63 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Details of Hierarchy Exposures Name H0131 Short Description Exposures Long Description Exposures Comments Created By SYSADMN Creation Date October 4 2012 1 51 45 PM Last Modified By SYSADMN Modification Date October 27 2012 12 20 53 AM Authorized By SYSADMN Authorization Date October 27 2012 12 20 53 AM Type REGULAR Bl Enabled Yes Is Parent Child No Entity Fact Sub Exposures Attribute Account Surrogate Key Level Details Description Identifier 3 SS E ee SS O SA a gt RR CC EG bo Es ki kiko bs ksa kia ls 1 pea pa pa pa pa pa p p nn A AN FOT_SUB_EXPOSURES n_acct_skey 1 FOT_ SUB EXPOSURES A_acct_skey 2 FOT_ SUB EXPOSURES A_acctskey 3 FOT_SUB_EXPOSURES n_acct_skey 4 FCT SUB EXPOSURES n_acct_skey 5 FCT SUB EXPOSURES n_acct_skey
402. te the same business processor definition with different values during the run time Oracle Financial Software Services Confidential Restricted 84 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Expression has Aggregate Function The expression may require an aggregation function depending on the business logic The aggregation functions have to be entered in the expression field per acceptable syntax IF an aggregation function is used in the expressions the checkbox Expression has Aggregate Function must be enabled Leave the checkbox Expression has Aggregate Function blank if your expression does not contain an aggregation function You can also Click icon in the Business Processor Definition grid to refresh the entries Click Parameters button to specify default values for any of the placeholders defined The Business Processor Expression Parameters dialog is displayed gt Business Processor Expression Parameters Wi aHa Place Holder Default Walue datavalue 12 3 Enter a default value for the place holders defined along with the expression in the Default Value box 4 Click Save to save the default value for a Place Holder The User Info grid at the bottom of the screen displays the metadata information about the Business Processor definition created along with the option to add comments 5 Click Save The Business Processor is saved and l
403. ted Measure to help users for Long Description whom the Measure is being created or other details about the type subject Ensure that the description is of a maximum of 100 characters in length 3 Enter the details in the Business Measure Definition section 4 Select the required Aggregation Function from the drop down list The list consists of various metrics based on which a Measure can be aggregated The available aggregation functions are as tabulated Adds the actual value of attribute or data element to get the measure value Counts the records for the data element to get the measure value or counts the number of COUNT occurrences MAXIMUM This function acquires the maximum of the data element to get the measure value MINIMUM This function obtains the minimum of the data element to get the measure value This function is different from a simple count aggregation function The peculiarity of these measures is that they are linked to the dimensions and they vary across the COUNT DISTINCT hierarchies of these dimensions In a Count Distinct aggregation function a simple roll cannot determine the values at the intermediate nodes in the hierarchies up of their leaf level values o Based on the selected Aggregation Function the Data Type is auto populated o Selecting Roll Up checkbox calculates the measure values and displays the nodes at the total level By default the checkbox is selected if the Aggregation Type is Maximu
404. ter the details as tabulated Description Enter a distinct code to identify the Entity Ensure that the code is alphanumeric with a maximum of 8 characters in length and there are no special characters except underscore co 39 Note the following The code can be indicative of the type of Derived Entity being created A pre defined Code and Short Description cannot be changed Same Code or Short Description cannot be used for Essbase installation SSSUNIVERSESS MISSING MP CALC DIM ALL FIX ENDFIX HISTORY YEAR SEASON PERIOD QUARTER MONTH WEEK DAY In Unauthorized state the users having Authorize Rights can view all the unauthorized Metadata You can also search for an existing code or Derived Entity Click Search the Search screen is displayed Double click the required code from the list of available Derived Entities or enter the description for the required Derived Entity in Description Filter and press Enter The Oracle Financial Software Services Confidential Restricted 87 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 matching Derived Entity code is displayed Select List Un Authorized checkbox to view all the un authorized metadata Enter a Short Description based on the defined code Ensure that the description is of a Short Description maximum of 80 characters in length and does not
405. the Run screen 1 Click G4 button from the List toolbar The Run Definition New Mode screen is displayed Run Rule Framework Windows Internet Explorer E m Run 9 Run Rule Framework gt gt Run gt gt Run Definition New Mode amp Linked to Folder AAIPROD74C mm 2 Master Information Ef Properties ID lt lt New gt gt Version lt lt NA gt gt Code A1089 Active lt lt NA gt gt Name Multi Param 1 Type Base Run v 2 List Pil Add v A Move Show Details g Location Code Name Type Simulation Job M Run Condition A1500 A500 Hierarchy C Run Condition ABC500 ABCS00 Hierarchy O Job fextract fextract File Load C Job loadfile loadfile File Load E Job Condition AB ABsd Hierarchy C Job Condition AC AC sd Hierarchy E Job Condition H1501 Amortization Type Hierarchy Y Next Close Audit Trail Comments 2 Audit Trail Created By lt lt NA gt gt Creation Date lt lt NA gt gt Last Modified By lt lt NA gt gt Last Modified date lt lt NA gt gt Last Authorized By lt lt NA gt gt Last Authorized Date lt lt NA gt gt ORACLE ALL RIGHTS RESERVED 2 Click button adjacent to the Folder field in the Linked to grid The Folder Selector dialog is displayed Oracle Financial Software Services Confidential Restricted 120 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 e Folder Selector Webpage Dialog Search List 6 ge 1
406. the computation starts by calculating the covered factor for the first row which is as follows fl Mitigant_value Haircut EAD Where Haircut 1 volatilityHaircut forexHaircut MaturityMismatchHaircut Then the allocation logic works out the covered factor for the subsequent rows as follows f n Min 1 Already allocated covered factor Max fn 1 0 Total covered factor for an exposure Covered Factor for the Ist Row Covered Factor for all the subsequent Rows NOTE Covered Factor is Sum of all Covered amount Uncovered amount of the mitigant upon its total EAD Many Exposures to Many Mitigants In the Case many exposures to many mitigants the Optimizer uses a linear programming technique for which you need to define the objective functions and a set of constraints for the variables The objective function and the constraints in the Optimizer are defined as follows O O O O Objective Function Objective Function for CRM is to Minimize RWA Bounds for the output o Lower Bound of Covered factor is O o Upper Bound of Covered factor is 1 Exposure Constraint Exposure Constraint checks the sum of all the allocated exposure amounts should be equal to the total exposure amount available for allocation E1 x1 E1 x2 E1 x3 E1 x4 El Where El Exposure amount X n Allocation percentages sum of x1 xn 1 meaning 100 Mitigant Constraint Mitigant constraint has two objec
407. the instrument is broken down into simplified positions for further processing For positions in equities commodities gold currencies etc only one leg is exposed to interest rate and other leg is exposed to the respective asset equity forex etc as the case may be The following information is required for position conversion Long Short position Value of Notional Position and Coupon Rate and Maturity Methodology for Position Conversion While calculating interest rate risk each instrument is converted into multiple positions The notional value of each position is derived based on the below methodology o Notional positions in actual debt securities is valued as the nominal amount underlying the contract at the current market price of the debt security and o Positions in zero specific risk securities is valued using one of the below two methods Oracle Financial Software Services Confidential Restricted 171 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 o A firm must use one of the following two methods for its position in zero specific risk securities arising from above o The present value approach under which the zero specific risk security is assigned a value equal to the present value of all the future cash flows that 1t represents or o The alternative approach under which the zero specific risk security 1s assigned a value equal to The market value of the underlying noti
408. the values are missing For example if the SETUP_MASTER is set as mentioned in the table below then BLOOMBERG will be used to determine the Rate Data Source Code during currency conversion If the Rate Data Source Code in DIM_ORG_STRUCTURE is missing then USD will be used as the destination currency code V COMPONENT CODE V_COMPONENT_DESC V_ COMPONENT VALUE DEFAULT FX RATE SRC Default Rate Data Source Code BLOOMBERG STD_CCY_CD Standard Currency Code USD NOTE Rule Reporting Currency Code Assignment is set to USD out of box but can be modified to any other currency The reporting currency selection can be done in the Run execution screens if the Run is executed from the Run Execution Screen Currency conversion is performed on multiple tables to convert the values from its natural currency to reporting currency The steps which are performed for the currency conversion are as follows The table Stage Forward Exchange Rates stores the details about the pair of currencies and the corresponding exchange rate to perform the same with the extraction date for which the forward exchange rate is provided This table also contains the information about the data source from which the exchange rates have been quoted and the tenor which is used to identify the period for which the forward exchange rate 1s applicable for The data from this table is populated to Exchange Rates fact table through the common batch which is executed in the begin
409. tion save the details 4 Click Save in Add Business Hierarchy screen and save the details You can view individual Business Hierarchy at any given point by clicking the icon The View Business Hierarchy screen displays the details of the selected Business Hierarchy definition The User Info grid at the bottom of the screen displays metadata information about Business Hierarchy created along with the option to add comments You can update the existing Business Hierarchy definition details except for the Code Short Description and Hierarchy Type Sub Type by clicking the icon You need to have Modify Hierarchy function role mapped to modify the Business Hierarchy definitions You can copy the existing Business Hierarchy details to quickly create a new Business Hierarchy by clicking the icon You need to have Add Hierarchy function role mapped to copy the Business Hierarchy definitions You can remove the Business Hierarchy definition s which are created by you and which are no longer required in the system by deleting from the Business Hierarchy screen by clicking the icon You need to have Delete Hierarchy function role mapped to delete a Business Hierarchy Delete function permanently removes the Business Hierarchy details from the database Ensure that you have verified the details as indicated below e A Business Hierarchy definition marked for deletion is not accessible for other users e Every delete action has to be Authorized R
410. tion on the Data Ouality Framework refer to Oracle Financial Services Analytical Applications Reconciliation Framework User Manual NOTE Assignment type has code and leaf members that are created populated using AMHM screen which is a part of EPM products Operational Risk Economic Capital Basel regulation defines Operational risk in Para 644 BCBS 128 Basel II dated June 2006 as the risk of loss resulting from inadequate or failed internal processes people and system or from external events Oracle Financial Services Operational Risk Economic Capital is responsible for providing a framework for Oracle Financial Software Services Confidential Restricted 4 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 identifying measuring monitoring and managing all risks within the scope of the definition of operational risk Oracle Financial Services Operational Risk Economic Capital OREC application enables you to model the distribution of potential losses due to operational risk In this application we propose a loss distribution based approach consistent with Basel II guidelines to estimate the Economic Capital for the Operational Risk at the firm level Oracle Financial Services Operational Risk Economic Capital Application facilitates the calculation of potential losses due to operational risk using the LDA approach The application is capable of reporting the losses due to operational risk
411. tional parameter Run Management Summary amp Search R Segment USA i v Run Name Run Type v R List of Runs DAR 1 to 2 of 3 Run Name Run Execution Parameters Windows Internet Explorer 4 l dified Date _ Y Capital Calculation FRB IRB Approach OS a _ a IS ml O Risk Weighted Asset Cslculstion Credit Ri A gt il a Approsch Run Details Run Name Capital Calculation FRB IRB Approach 2 a Run Execution Parameters Legal Entity Consolidation Type Consolidated FIC MIS Date Run Execution Description Save Execute Close 2 Audit Panel Crested By BASELSOL Crested Date 05 23 2011 Last Modified By BASELSOL Last Modified Date 11 22 2011 Run Execution Summary Selecting a Run from the Run Management screen and clicking the E icon displays the Run Execution Summary screen where the following sections are displayed e Run Details e Run Execution Details The Run details displays the following details e Run Name e Run Type e RunID The Run Execution Details displays the following details e Run Skey e Run Execution Id e FIC MIS DATE e Execution Status e Execution Date Oracle Financial Software Services Confidential Restricted 234 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 e Time of Execution he Run Execution Summary Run Name Capital Calculation FRB IRB Apr Run ID 1306182237482 Run
412. tions click button A Process is made available for use only after the approval For a rejected definition a comment with the rejection details will be added Export Process to PDF You can export single multiple Process definition details to a PDF file To export the Process definition details in the Process screen 1 Select the checkbox s adjacent to the required Process Codes 2 Click se button in the List toolbar 3 Click the H button in the popup The Export dialog is displayed Oracle Financial Software Services Confidential Restricted 117 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Y Run Rule Framework Webpage Dialog 2 Export Options Export Format POF Definition Type PROCESS 2 Selected Definitions 11May_multi_level2 sub _procez d Trace Options Selected Trace Options 2 Name Code O Name Rule E Rule Process CI Process The Export dialog displays the Export Format Definition Type the names of the Selected Definitions and the Trace Options To select the Trace Options in the Trace Options grid o Select the checkbox s adjacent to the available options o Click l gt button The selected options are displayed in the Selected Trace Options pane You can also select a trace option and click button to deselect it from the Selected Trace Options pane 4 Click Export The process is initiated and is displayed in a pop up specifi
413. tives as follows Oracle Financial Software Services Confidential Restricted 162 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 o This Constraint checks whether the total amount of mitigant is used is less than or equal to the total amount of mitigant available o All the mitigant haircuts are applied in this Constraint The formula is as follows El x1 A V Fx1 Mm1 E2 x2 1 V Fx2 Mm2 E3 x3 1 V Fx3 Mm3 lt M1 Where Maturity Mismatch Mim o Allocation engine updates the covered factor for each exposure based on the above objective function and the constraints defined by you Post CRM RWA Computation Post CRM RWA is calculated by multiplying Post mitigation EAD corresponding Risk Weight Post Mitigation EAD is a summation of Covered and Uncovered exposure amount for each account Oracle Financial Software Services Confidential Restricted 163 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Securitization Overview Basel Accord differentiates the credit risk computation of the securitized exposures from the other non securitized exposures This is because the securitized exposures are part of an off balance sheet transaction and they follow a waterfall cashflow mechanism unlike the other exposures After the economic crisis of 2008 the Basel rule differentiated the securitized exposures
414. ton to navigate to the concurrent procedures of defining a Rule The second screen of Run Definition New Mode screen displays all the information you have provided in the Linked to and Master info grids You can view the filters you have selected in the Run Condition grid Hierarchical Member Selection In the Run Condition grid you can modify the Run Conditions you have defined in the first screen of the Run Definition by including hierarchical members To modify the condition of a Run Condition in the Run Condition grid l Click button adjacent to the Run Condition details The Hierarchy Browser screen is displayed gt Hierarchy Browser Windows Internet Explorer y Search Code Name Basel Il Asset Class qn E Selected Members Basel Asset Class Base Asset Class Banks Central Counter Party Consumer Credit Corporate Exposure Central Counter Party Equity Other Asset Classes Public Sector Entities Public Sector Entities More OK Cancel The Search grid allows you to search for a particular member by entering Code or any part of the Name and clicking S button You can click button to refresh the Code or name fields You can also find a member in the grid using Mi button Click and expand the members of the selected hierarchy Select a member node and click to select the same Click the to select the member as Self Self amp Descendants Self amp Chil
415. tructured Financial Transactions SFT SFT is applicable only if the supervisor specifically mentions the same You can include or exclude SFT in CVA calculation in the Run Management screen Portfolio level considers all the trades in different OTC product with all counterparties The charge is calculated for the entire exposure of OTC products Counterparty level calculations consider all trades in different OTC products with counterparty for calculation of CVA Charge Charge is calculated for all counterparties with which banks have OTC exposures The CVA charge for all the counterparties is summed up to ascertain the Portfolio Level Charge The manner of consolidation is dependent on the IMM approval status and Specific Interest Rate SIR Value at Risk VaR model approval status of the bank The following section describes two ways of consolidating default risk charge and CVA capital charge If the bank does not have both IMM approval and Specified Interest Rate Risk as a part of approved VaR model for bonds CCR Capital Charge Default Risk Capital Charge Current Exposure Method or Standardized Method based whichever the bank is using for CCR Standardized CVA Capital Charge If the bank has both IMM approval Specified Interest Rate Risk as a part of approved VaR model for bonds CCR Capital Charge Default Risk Capital Charge Advanced CVA Capital Charge NOTE All the OTC Derivatives products are part of CVA calculations SFT
416. ty and not that of its child entities Select Consolidation if you want to process all the accounts under the Legal Entity and its child entities In case of Consolidation all intra group exposures are excluded e Reporting Currency The currency can be selected from Run Parameters screen All amounts in the Run are converted to the selected Reporting Currency Run Management Summary amp Search R Segment USA v Run Name R Type vi 2 List of Runs Bre gt 1 to 2 of 3 ls gt Run Parameters Windows Internet Explorer iz ied Date___V Capital Calculation FRB IRB Approach 1 O Risk Weighted Asset Calculation Credit Risk Approach Capital Calculation FRB IRB Approach 2 2 Run Execution Parameters Legal Entity Consolidstion Type Consolidated Run Execution Parameters In addition to the Run Default parameters Run Execution Parameter screen allows you to enter and save the Run execution parameters By clicking the Sake i a batch with the entered Run execution parameters is created The batch created can be executed by clicking Bises button To input the Run Execution Parameters select the check box corresponding to that run and click the ER button on the navigation bar NOTE To execute a Run the execute run role should be mapped to your user profile In the Run Execution Type section you can select Yes if you want the Portfolio to participate in the execution The following Run
417. ty_ind N Y AND COALESCE PARENT_ENTITY f_cap_consl_entity_ ind N Y FCT_ENTITY_SHR_HLD_PERCENT INNER JOIN FCT_ENTITY_INFO ON FCT_ENTITY_INFO n_entity_skey FCT_ENTITY_SHR_HLD_PERCENT n_investee entity skey AND FCT_ENTITY_SHR_HLD_PERCENT n_run_skey FCT_ENTITY_INFO n_run_skey AND FCT_ENTITY_SHR_HLD_PERCENT n_mis_date_skey FCT_ENTITY_INFO n_mis_date_skey INNER JOIN FCT ENTITY_INFO PARENT ENTITY ON ANSI Join FCT_ENTITY_SHR_HLD_PERCENT n_investor_entity_skey PARENT_ENTITY 1 n_entity_skey AND FCT_ENTITY_SHR_HLD_PERCENT n_run_skey PARENT_ENTITY n_run_skey AND FCT_ ENTITY SHR HLD PERCENT n mis_date_skey PARENT ENTITY n mis_date_skey LEFT OUTER JOIN DIM_RUN ON FCT_ENTITY_ SHR_ HLD_PERCENT n_run_skey DIM_RUN n_run_skey LEFT OUTER JOIN DIM_DATES ON FCT ENTITY _ SHR HLD PERCENT n mis date skey DIM DATES n date skey Date Filter DIM_DATES D_ CALENDAR DATE SMISDATE AND DIM_RUN n_run_skey SRUNSK Order By Join Condition Click Measure M0719 MSR Cap Consl Entity Shareholding Percent in the details of Business Processor screen to view further details on the Target Measure The following figure displays the target entity where the metric or data will be populated Click Fact Entity Information for details of the table Using the Attribute that is Shareholding Percentage this measure aims to populate the shareholding percentage in the Fact Entity Table 1 Le aM jg Trace Dimensions Trace Cube
418. u can also click or buttons to select de select all the listed fields o Select a field and click or Y buttons to arrange fields in the required order o Optional To arrange multiple fields select Sort by Descending checkbox o Optional Select the Excel Map checkbox to enable Bulk Authorization NOTE In case you have selected Excel Map checkbox you need to select Excel Name from the Store Field As list in the DEFQ Field Properties screen Only on selection the SelectExcelSheetName list is displayed for authorizer in the DEFO Data Entry screen 4 Click Next The DEFO Field Properties screen is displayed 5 Modify the parameters for each field as required 6 Click either Save to save the Form details or click Save for Authorization to save the changes with authorization While saving the User for Mapping DEFO screen is displayed which facilitates you to assign user rights to the Form Copy Forms You can duplicate and recreate a form with the required variants from an existing form You can also change user rights or display options and other subtle variations for the selected layout To Copy a Form in the DEFO Forms Designer screen 1 Select Copy Forms from the available options and do the following o Select the application from the From Application drop down list which consist of the required Form which you want to copy o Select the application from the To Application drop down list for which you want
419. ue in the defined Expression An Expression is a tool that allows for manipulation of data Expression has three different To specify a calculated column that the OFSAA derives from other columns in the database To calculate assignments in data correction To create calculated conditions in data and relationship filters Click Dataset DS0089 Entity Shareholding Percent Dataset to view details of the Data Set In the following figure the Selected Entities field displays the tables used by the dataset Click any table to view the description of the table The condition or interrelationships between the tables are detailed in the Join Condition and ANSI Join field Oracle Financial Software Services Confidential Restricted 58 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 E LE He Trace Cubes Trace Definitions Trace Forms Details of Dataset Entity Shareholding Percent Dataset Name DS0089 Short Description Entity Shareholding Percent Dataset Long Description Entity Shareholding Percent Dataset Comments Created By SYSADMN Creation Date November 25 2008 4 54 38 PM Last Modified By SYSADMN Modification Date December 16 2009 11 35 47 AM Authorized By SYSADMN Authorization Date December 16 2009 11 35 48 AM Fact Shareholding Percent Fact Entity Information Selected Entities Run Dimension Date Dimension PARENT ENTITY COALESCE PARENT_ENTITY f_cap_consl_parent_enti
420. uffer is calculated Calculation of Required Buffer from CET1 Capital Tierl and Capital Adequacy Ratio For the calculation of these required buffers based on n_upd_cap_comp_group_skey which corresponds to BFCET1 Buffers from CET1 for Required Buffer from CET1 Capital BFT1 Buffers from T1 for Required Buffer from T1 Capital and BFCAR Buffers from CAR for Required Capital Adequacy Ratio the standard account head amount is summed up and populated against the corresponding cap id in Fact Standard Accounting Head table e Capital Conservation Ratio Capital Conservation Ratio is calculated based on Required CET 1 buffers and the setup or semi static tables as per the year when the Run is executed Capital Conservation ratio is updated in Fact Capital Conservation Ratio The values are populated through a T2T e Excess Shortfall of Total Buffer The calculated values only positive values are considered are stored against the corresponding Cap IDs as two separate line items of which one will be 0 Key Data Elements A few key data elements have been elaborated in this section For a complete list of tables to be updated refer to the Download Specifications document Countercyclical Buffer requirement for each country should be provided by the client or the bank as the percentage applicable for each country and this is dependent on the home regulator s jurisdiction as it can prescribe Countercyclical Buffer percentage that is hi
421. ulates both pre mitigation exposure amount and post mitigation exposure amount The Basel committee has revised Credit Risk Mitigation CRM guidelines to a large extent and the same have been incorporated in the application The changes at a macro level relate to the recognition of the eligible mitigants applicable for both the Securitized as well as the Non Securitized exposures BCBS has also revised the haircuts to be applied for the debt securities issued by a securitization transaction which act as collateral The remaining processing for CRM remains the same as per the previous releases of the Basel application Based on the asset class the application calculates the pre CRM EAD for each exposure This value signifies the maximum loss that the bank may undergo in case of default on this exposure prior to considering any mitigation effects Through CRM process the bank takes into account the mitigation effect and calculates the post mitigation exposure at default amount This signifies the maximum loss that the bank may undergo in case of default on this exposure after considering all the mitigation effects The application also computes pre mitigation risk weighted assets Pre CRM RWA and post mitigation risk weighted assets Post CRM RWA by multiplying the respective EAD by risk weight The risk weight in this case is arrived at by analyzing the credit rating of the exposures or mitigants as per the Basel guidelines Some credit risk exposure
422. ure mitigant combination Based on these pool ids optimizer task allocates covered factor to exposures Optimizer does the optimum allocation of mitigants to exposures For more information refer Mitigant Allocation Optimizer NOTE A tag lt ALTER_STATEMENTS gt is present in Optimizer_Config xml This statement is used to enable the parallel Data Manipulation Language DML for optimizer By default this will be disabled Due to which a warning appears as follows which will be printed in the Optimizer log Oracle Financial Software Services Confidential Restricted 157 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 Error Could not find node ALTER STATEMENTS in the xml The administrator can uncomment this tag to enable parallel DML for the optimizer 1 Click the Basel Regulatory Capital link under Risk Applications section on the main screen 2 Click the Pooling tab BASEL II Ox 5 BASEL II S E gt gt 9 Portfolio Definition Y k z Run Definition Run Execution Datasal SEARCH Attribution Analysis Pooling Define Pooling Basis Optimizer Available Hierarchies selected Hierarchies gt A sl Laat s LJ lt lt yen m m r 4 am r Output Done 7 i Local intranet Protected Mode Off fa y 100 vw 3 Search for the dataset on which pooling needs to be performed from the available list 4 Define pooling basis Here you can sele
423. ure measure for on balance sheet item thereby reducing the exposure amount o Physical or financial collateral o Guarantee or credit risk mitigants elements o Netting of Loans and deposits The exposure amount for on balance sheet items is a download amount and is available as an input data Nettable transaction related to OTC SFT internal transactions like inter group transaction treasury stock and reciprocal cross holding is not a part of on balance sheet transactions Repo Style Transaction Repo style transaction repo reverse repos and securities lending borrowing that follows the bilateral netting agreements forms a part of exposure measure To calculate the exposure_amount for Repo transactions the application follows the Oracle Financial Software Services Confidential Restricted 204 User Guide Oracle Financial Services Basel Regulatory Capital Basic Release 6 0 0 0 0 same treatment as prescribed in the Basel II guidelines The Repo transaction undergoes volatility and FOREX haircut as defined in Basel II guidelines before calculating the exposure amount Derivative Transaction Derivative transactions OTC Derivatives are calculated using the Current Exposure Method as prescribed in the Basel II guidelines All derivative transactions including Credit Default Swap are assigned an add on percent based on the underlying type as per the Current Exposure Method The add on assignment is as per the table provided in th
424. ures The RWA for market risk exposures is calculated out of Market Risk Summary FCT_MARKET_RISK_SUMMARY which contains one aggregated record for each instrument type If the RWA for the split exposures is adjusted then it will be approximate in case the RWA is pro rated between instrument types It will be a repetition of same tasks falling into cycles if RWA is computed in this table again NOTE All the GL line items are expected at Solo level for each entity The consolidated data will be discarded While executing Solo Run the parent entity data is processed Investment into the subsidiary data undergo as per credit risk and market risk rule Capital line item pertaining to parent entity is only processed While executing Consolidation Run the parent entity as well as the subsidiary data is considered Regulatory Investment data to financial institutions which are part of regulatory consolidation is treated as an internal transaction Those subsidiaries which are outside the scope of consolidation are treated as per Insignificant and Significant rule Assumption The regulatory adjustment that follows a phase in arrangement and not deducted from CET1 needs to follow national treatment as per Basel III accord Hence we assume that the regulatory adjustment line item follows Basel II accord Items which were formerly deducted from 50 50 from Tier 1 Tier 2 capital will be deducted from AT1 and capital investment instrument not deducte
425. urisdiction Code Assignment The required benchmark of Countercyclical Buffer for different countries as set by different regulators is expected as download in Stage Benchmark Counter Cyclical Buffer STG_BENCHMARK_CNTR_CYC_BUFFER This data is populated to Benchmark Counter Cyclical Buffer Ratio FSILBENCHMARK_CNTR_CYC_BUFFER using a Slowly Changing Dimension SCD process Buffer requirement given on a date is valid till the next buffer is specified For a solo Run the regulator of subsidiary specified buffer requirements are considered and for consolidation Run the consolidating entity s regulator specified buffer requirements are considered The T2T REQ CNTR_CYC_BUFFER_POP can be modified to consider only credit risk For this joins corresponding to market risk can to be deleted from the T2T The additional loss absorbency requirement specified by different regulators for different buckets should be setup in the table Benchmark Loss Absorbency Ratio FSI_SETUP_BENCHMARK_LOSS_ABS For the solo Run loss absorbency requirement set by the local regulator is considered For consolidation Run the consolidating entity s regulator specified loss absorbency requirement is considered There is an option of direct input of applicable loss absorbency percentage This is also useful when the percentage applied is different from the corresponding bucket percentage This should be given in the column n_loss_abs_override of the table Stage Legal Entity Det
426. utput MSR Sub Exposure Pool ID Click Dataset Optimizer Dataset to view further details on the Dataset In the following figure the tables used in the Data Set are displayed in the Selected Entities field and the inter relationships defined between these tables are displayed as an ANSI join and Join Condition Oracle Financial Software Services Confidential Restricted 61 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Details of Dataset Non Securitization Optimizer Dataset me D50023 Short Description Non Securitization Optimizer Dataset Long Description Non Securitization Optimizer Dataset Comments Created By SYSADMN Creation Date October 16 2012 1 17 36 PM Last Modified By SYSADMN Modification Date October 27 2012 3 53 39 PM Authorized By SYSADMN Authorization Date 40 PM Fact Sub Exposures Date Dimension Run Dimension Mitigant Dimension e Standard Mitigant Type Dimension Es Run Identifier Basel Product Types Dimension Generally Accepted Accounting Principles Dimensign Country Dimension Basel Asset Class Run Parameters Selected Et Join Condition FCT SUB EXPOSURES INNER JOIN DIM_DATES ON FCT_SUB_EXPOSURES n mis date skey DIM DATES n_date_skey LEFT OUTER JOIN DIM RUN ON FCT SUB EXPOSURES n_run_skey DIM RUN n_run_skey LEFT OUTER JOIN DIM_MITIGANT ON FCT_SUB_EXPOSURES n_mitigant_skey DIM_MITIGANT n_mitigant_skey LEFT OUTER JOIN
427. ved the status is set to Yes if you are an Authorizer Active creating the Rule or No if the created Rule needs to be Authorized by an Authorizer Select the Type based on which you would like to create the rule from the dropdown list You can select either Computation or Classification 7 Click Ef icon in the Master info grid The Properties dialog 1s displayed el Properties Webpage Dialog Properties Effective Start Date Effective End Date Last Operation Type 2 Preprocessing Pre Built Flag 2 Query Optimization Settings Merge Hints Select Hints Pre Script Post Script Use ROWID The Properties dialog lists the Rule Properties Preprocessing status and Query Optimization Settings as tabulated below The data in Query Optimization Settings are derived from the global properties if defined in the Optimization tab of System Configuration gt Configuration screen However some options defined in Global Preferences precede the Rule level properties that you define here Effective Start Date Select the Effective Start Date by clicking icon Oracle Financial Software Services Confidential Restricted 95 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 Field Name Description Effective End Date Select the Effective End Date by clicking icon By default this field displays the last change done to the Rule definition While La
428. ved Entity details are removed On Rejection the Derived Entity details are reverted back to authorized state e You cannot update Derived Entity details before authorizing rejecting the deletion An un authorized Derived Entity definition can be deleted 2 4 Rules Framework Financial institutions require constant monitoring and measurement of risk in order to conform to prevalent regulatory amp supervisory standards Such measurement often entails significant computations and validations with an organization s data Data must be transformed to support such measurements and calculations The data transformation is achieved through a set of defined Rules Rules Framework facilitates you to define a set of rules reporting objects and processes that are required to transform data in a warehouse You can execute Rules and Process and manage to pre defined rules within the system Oracle Financial Software Services Confidential Restricted 89 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 The Rules Framework 1s used for following three main purposes To design a set of rules processes and structuring execution flow of processes that are required to transform data in a data warehouse or data store To design reporting objects based on previously transformed data that is stored as aggregated data in multidimensional databases To design reporting objects based on the atomic infor
429. xposure_amount Amount Amount g The Business Measures screen displays the list of pre defined Business Measures with their Code Short Description Long Description Aggregation Function Entity and Attribute You can add view edit copy and delete the required Business Measures You can also make use of Search and Pagination options to search for a specific Business Measure based on the Code Short Description and Authorization status or view the list of existing Business Measures within the system Create Business Measure You can create a Business Measure by specifying the Business Measure Details and defining the Business Measure Definition To create a measure in the Business Measures screen 1 Click icon from the Business Measures tool bar The Add Business Measures screen is displayed Oracle Financial Software Services Confidential Restricted 74 User Guide Oracle Financial Services Basel Regulatory Capital Basic User Guide Release 6 0 0 0 0 gt Add Business Measure Windows Internet Explorer Add Business Measures amp Business Measure Details Code BMM19765 Short Description Business Measure BMM19765 Long Description Business Measure Details for BMM19765 amp Business Measure Definition Aggregation Function None Roll up Entity BENCHMARK_RATES Benchmark Rates Attribute fic_mis_date Extraction Date BENCHMARK_RATES v_ccy_code ABS NUMBER Business Exclusions A i BENCHMARK_RATES fic_mis

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