Middle office/ Risk Management / Configure
The companies risk and key figures that needs to be monitored should be set up in the Risk Management.
In this section, the user set up and configure their limits. The user must have the role "Update limits" to be able to do this. A log is created for changes in the limit configuration.
Add a new limit by clicking the plus sign
1. Select Amount or Refinance limit.
All amount limits for example Counterparty risk, Placement limit, Limits per Legal entity should be entered here.
Add relevant report columns in the system report Risk management report column limits
Define guidelines in % of how much of your loan portfolio could mature for each time bucket.
Select the column Capital change to see how much that will mature of the outstanding deals (according to selected deal types) as of today. The amounts will be consolidated to selected currency with the latest FX rate table's mid rates.
today – 1Y max 30 % of the loan portfolio can expire
1Y – 2Y max 30 % of the loan portfolio can expire
2Y - 3Y max 30 % of the loan portfolio can expire
Possibility to set up Key performance indicator on important numbers or to follow up on Finance Policy such as Years to maturity, Fixing interest terms, Closing balance, duration etc. Choose a report column and set the aggregation type you want to use on the report column summary, weighted average etc. If a report column is missing it needs to be added to the Report template Risk management report column limits (Note all report columns are available to set KPI on). Also possible in the lower part to add min, max value of the KPI.
2. Type a name of the limit, and write a description.
3. If you have created an Amount limit Grouping Tag needs to be filled in. Choose on which Tag the limit should be followed up on, for example Counterpart. You can then select different counterparties in the detailed section
For a Refinance limit it will be set to N/A
4. Tag Source - If the limit is on a company tag you should specify if it it is the legal entity or the counterpart company tag that should be looked on.
5. Consolidation Currency stipulates which currency the limit is in and all the amounts will also be consolidated to this currency. For Bank accounts you do not need to set up currency if the limit should be in the accounts own currency.
6. Warning level is set to 95% by default but can be changed.
Calculation Column - The user can choose which column (value) the limit should be measured against. A special column called Default limit is defined as:
• FX (FX Transaction): Market Value
• Loan or Deposit (Interest Transaction): Closing balance
• Bank account (bank account transaction): Closing balance
• Credit facility: Facility used
• IRS or CCIRS (Interest Transaction): Market value
You can choose from already existing columns or create an own calculated column. To include more columns to choose from you need to set them up in the report Risk management Report
In selection, you decide which selection criteria should be applied for the Limit, for example certain deal types
If an Amount limit is created, enter the different limits on each Tag in the Limit Details section.
If a Refinance limit is created, enter the time buckets and percentage in the Limit Details section.
If a KPI limit is created, enter min and max in the detail section.
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