BASEL_IV- Computation Logic is incorrect for Attribute N_drawn_ead_pre_mitigation in Rules -RLBNK029 & RLINV029
(Doc ID 2959461.1)
Last updated on JULY 10, 2023
Applies to:
Oracle Financial Services Basel Regulatory Capital Analytics - Version 8.0.0 and laterOracle Financial Services Basel Regulatory Capital Internal Ratings Based Approach - Version 8.0.0 and later
Oracle Financial Services Basel Regulatory Capital Basic - Version 8.0.0 and later
Information in this document applies to any platform.
Goal
BASEL-IV. Rules RLBNK029 & RLINV029 are not working correctly for populating attribute n_drawn_ead_pre_mitigation. In computation for n_drawn_ead_pre_mitigation formula used below
CASE WHEN (COALESCE([MSR - Banking Current Exposure Amount], 0) + COALESCE([MSR - Banking Undrawn Amount], 0)) = 0 THEN 0 ELSE GREATEST(0, (COALESCE([MSR - Banking Current Exposure Amount], 0) - (COALESCE([MSR - Banking Provision Amount], 0) * COALESCE([MSR - Banking Current Exposure Amount], 0) / (COALESCE([MSR - Banking Current Exposure Amount], 0) + COALESCE([MSR - Banking Undrawn Amount], 0))))) * COALESCE([MSR - Banking Off-Balance Sheet Drawn CCF Percent], 1) END
The expectation of Q17 report is using (exposure_amount*CCF)- provision_amount. It multiplies exposure with CCF then subtracts provision. Computation in Q17 is the same way.
Solution
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In this Document
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