Improvements

• Added Andi capabilities to the Scaling Factor field. For more information, refer to Index Scaling Factor in the PrecisionLender Support Center or to the Andi Support Center for information about configuring Andi skills.

• Added a feature that allows Operational & Market Risk to impact both Economic and Standardized (Regulatory) capital.

  Note

  Operational & Market Risk only impacts economic capital from a U.S. regulations perspective; however, Canadian regulations allow Operational & Market Risk to impact standardized (regulatory) capital. Therefore, U.S. financial institutions will likely not need to add configurations for the Regulatory Operational & Market Risk fields until final U.S. instructions are received for Basel III.

  We have also added input fields to allow the administrator to enter applicable components for both Economic Operational & Market Risk RWA and Regulatory Operational & Market Risk RWA, as described below.

  

  To support this feature, we've made enhancements to Capital/Annual Loss assumptions for Commercial Loan Products under Financial Configurations & Assumptions in Administration. To differentiate between Economic vs. Regulatory capital allocations, we have created two sections: Economic Capital and Regulatory Capital.
  
  Economic Capital section fields:

  • Operational & Market Risk RWA Allocation—previously, we calculated capital without allocating RWA directly. The RWA allocation was implicit. We recently decoupled allocation of RWA from the overall economic capital allocation.
  • Operational & Market Risk RWA Allocation—can be entered as % of exposure + % of revenue + % of balance + % of origination fees + % of total non-interest income.  
  • This component-based allocation allows administrators to select the components required by their organization for this calculation, leading to further transparency and customization.
    

    Note

    The administrator can enter 0% for any component that they don't want to be included.

  • Absolute Minimum Operational & Market Risk Capital Allocation—the % applied to calculate the final Economic operational and market risk capital. Defaulted to 100% for all products.
  • Credit Capital Allocation—the % applied to the Operational and Market Risk RWA to calculate the final Economic credit capital.
    

    Note

    The Economic Capital section may also include a Credit Capital Allocation field, depending on your organization's configuration settings.

  
  Regulatory Capital section fields:

  • Operational & Market Risk RWA Allocation—contains the same component structure as the Economic Capital section.
  • Absolute Minimum Operational & Market Risk Capital Allocation—the % applied to calculate the final Regulatory operational and market risk capital. Defaulted to 100% for all products.
  • Absolute Minimum Capital Allocation—the existing field moved to this section.

  
  Additional updates:

  • Commercial Loan Product Propagation now includes Economic and Regulatory Operational & Market Risk fields.
  • Updated Capital/Annual Loss Assumptions in the Assumption Set.
  • Added AverageRegulatoryCreditCapital and AverageRegulatoryOperationalRiskCapital to the Financial Statements Event Shape at the loan opportunity level.