{ "tool_id": "art-356-compute-oprisk-sma-2026", "note": "Basel SMA operational-risk capital per the 2026 US Basel Endgame reproposal (BCBS d424 bucket structure; ILM neutralization per the reproposal's US variant). golden_hash filled by golden-parity.test.mjs --update.", "vectors": [ { "name": "bucket1_small_bank_ilm_neutralized", "description": "$500m Business Indicator (all bucket 1, <= $1bn @ 12%). US ILM neutralization on (default) -- ILM=1, ORC=BIC=$60m, RWA=$750m.", "policy_parameters": { "ildc_avg": 300000000, "sc_avg": 150000000, "fc_avg": 50000000, "use_us_ilm_neutralization": true }, "output_payload": { "business_indicator": 500000000, "business_indicator_component": 60000000, "bucket": 1, "internal_loss_multiplier": 1, "loss_component": 0, "average_annual_loss": 0, "operational_risk_capital": 60000000, "rwa": 750000000, "ildc_avg": 300000000, "sc_avg": 150000000, "fc_avg": 50000000, "use_us_ilm_neutralization": true, "constants_version": "BASEL-SMA-US-2026-PROPOSAL-2026-03-19", "rule_status": "proposed", "regulatory_basis": "BCBS d424 (Dec 2017 Basel III finalization) Standardized Measurement Approach for operational risk, as carried into the US Basel Endgame reproposal (three NPRs proposed 2026-03-19, comment period closed 2026-06-18): Business Indicator Component via marginal bucket coefficients (12%/15%/18% at $1bn/$30bn), Internal Loss Multiplier neutralized to 1 for US banking organizations per the reproposal (contested provision, subject to change at finalization), RWA = Operational Risk Capital x 12.5.", "note": "Bucket coefficients applied MARGINALLY, not as a flat rate on the whole Business Indicator. ILM neutralization is a US-specific reproposal choice, not a BCBS-standard default -- set use_us_ilm_neutralization:false to model the non-neutralized ILM (BCBS d424 formula) with annual_op_losses supplied." }, "compliance_flags": [ "OPRISK_BUCKET_1_UP_TO_1BN", "ILM_NEUTRALIZED_US_VARIANT" ], "golden_hash": "da5d3c505f278c6aaf8029cc7881db55902fb526e4d4c0291c4a214ad6555d95" }, { "name": "bucket2_midsize_bank_ilm_neutralized", "description": "$10bn Business Indicator crosses into bucket 2 ($1bn-$30bn @ 15%) -- marginal BIC = 0.12*$1bn + 0.15*$9bn = $1.47bn. ILM neutralized -> RWA=$18.375bn.", "policy_parameters": { "ildc_avg": 6000000000, "sc_avg": 3000000000, "fc_avg": 1000000000, "use_us_ilm_neutralization": true }, "output_payload": { "business_indicator": 10000000000, "business_indicator_component": 1470000000, "bucket": 2, "internal_loss_multiplier": 1, "loss_component": 0, "average_annual_loss": 0, "operational_risk_capital": 1470000000, "rwa": 18375000000, "ildc_avg": 6000000000, "sc_avg": 3000000000, "fc_avg": 1000000000, "use_us_ilm_neutralization": true, "constants_version": "BASEL-SMA-US-2026-PROPOSAL-2026-03-19", "rule_status": "proposed", "regulatory_basis": "BCBS d424 (Dec 2017 Basel III finalization) Standardized Measurement Approach for operational risk, as carried into the US Basel Endgame reproposal (three NPRs proposed 2026-03-19, comment period closed 2026-06-18): Business Indicator Component via marginal bucket coefficients (12%/15%/18% at $1bn/$30bn), Internal Loss Multiplier neutralized to 1 for US banking organizations per the reproposal (contested provision, subject to change at finalization), RWA = Operational Risk Capital x 12.5.", "note": "Bucket coefficients applied MARGINALLY, not as a flat rate on the whole Business Indicator. ILM neutralization is a US-specific reproposal choice, not a BCBS-standard default -- set use_us_ilm_neutralization:false to model the non-neutralized ILM (BCBS d424 formula) with annual_op_losses supplied." }, "compliance_flags": [ "OPRISK_BUCKET_2_1BN_TO_30BN", "ILM_NEUTRALIZED_US_VARIANT" ], "golden_hash": "502dba439a364e3f0db52a32f4093014385f0a0b6a6c6dd6e1b3c58e0135d2d5" }, { "name": "bucket3_gsib_ilm_not_neutralized_penalizes", "description": "$50bn Business Indicator (all 3 buckets, GSIB-scale). ILM neutralization OFF (modeling non-US / possible reversal) with a decade of loss history averaging $700m/yr -- loss component $10.5bn exceeds BIC $8.07bn, so ILM=ln(e-1+ratio)=1.11 > 1, penalizing capital: ORC=$8.92bn, RWA=$111.47bn.", "policy_parameters": { "ildc_avg": 30000000000, "sc_avg": 15000000000, "fc_avg": 5000000000, "use_us_ilm_neutralization": false, "annual_op_losses": [ 500000000, 600000000, 700000000, 800000000, 900000000, 650000000, 750000000, 720000000, 680000000, 700000000 ] }, "output_payload": { "business_indicator": 50000000000, "business_indicator_component": 8070000000, "bucket": 3, "internal_loss_multiplier": 1.11, "loss_component": 10500000000, "average_annual_loss": 700000000, "operational_risk_capital": 8917811327.93, "rwa": 111472641599.13, "ildc_avg": 30000000000, "sc_avg": 15000000000, "fc_avg": 5000000000, "use_us_ilm_neutralization": false, "constants_version": "BASEL-SMA-US-2026-PROPOSAL-2026-03-19", "rule_status": "proposed", "regulatory_basis": "BCBS d424 (Dec 2017 Basel III finalization) Standardized Measurement Approach for operational risk, as carried into the US Basel Endgame reproposal (three NPRs proposed 2026-03-19, comment period closed 2026-06-18): Business Indicator Component via marginal bucket coefficients (12%/15%/18% at $1bn/$30bn), Internal Loss Multiplier neutralized to 1 for US banking organizations per the reproposal (contested provision, subject to change at finalization), RWA = Operational Risk Capital x 12.5.", "note": "Bucket coefficients applied MARGINALLY, not as a flat rate on the whole Business Indicator. ILM neutralization is a US-specific reproposal choice, not a BCBS-standard default -- set use_us_ilm_neutralization:false to model the non-neutralized ILM (BCBS d424 formula) with annual_op_losses supplied." }, "compliance_flags": [ "OPRISK_BUCKET_3_ABOVE_30BN", "ILM_ABOVE_ONE_LOSS_HISTORY_PENALIZES" ], "golden_hash": "d74b1fffa561ef38bbab20f49ecd68670d030cc5cc443267cf5a92f8f1c83253" }, { "name": "insufficient_loss_history_defaults_ilm_to_one", "description": "$2.5bn Business Indicator (bucket 2), ILM neutralization OFF but only 2 years of loss history supplied (< the 5-year minimum) -- ILM defaults to 1 for insufficient data, BCBS d424 para 40.", "policy_parameters": { "ildc_avg": 2000000000, "sc_avg": 500000000, "fc_avg": 0, "use_us_ilm_neutralization": false, "annual_op_losses": [ 100000000, 120000000 ] }, "output_payload": { "business_indicator": 2500000000, "business_indicator_component": 345000000, "bucket": 2, "internal_loss_multiplier": 1, "loss_component": 0, "average_annual_loss": 0, "operational_risk_capital": 345000000, "rwa": 4312500000, "ildc_avg": 2000000000, "sc_avg": 500000000, "fc_avg": 0, "use_us_ilm_neutralization": false, "constants_version": "BASEL-SMA-US-2026-PROPOSAL-2026-03-19", "rule_status": "proposed", "regulatory_basis": "BCBS d424 (Dec 2017 Basel III finalization) Standardized Measurement Approach for operational risk, as carried into the US Basel Endgame reproposal (three NPRs proposed 2026-03-19, comment period closed 2026-06-18): Business Indicator Component via marginal bucket coefficients (12%/15%/18% at $1bn/$30bn), Internal Loss Multiplier neutralized to 1 for US banking organizations per the reproposal (contested provision, subject to change at finalization), RWA = Operational Risk Capital x 12.5.", "note": "Bucket coefficients applied MARGINALLY, not as a flat rate on the whole Business Indicator. ILM neutralization is a US-specific reproposal choice, not a BCBS-standard default -- set use_us_ilm_neutralization:false to model the non-neutralized ILM (BCBS d424 formula) with annual_op_losses supplied." }, "compliance_flags": [ "OPRISK_BUCKET_2_1BN_TO_30BN", "ILM_INSUFFICIENT_LOSS_HISTORY_DEFAULT_1" ], "golden_hash": "fd4a6593c21762edb061a7e422de402c53656b7dac3cdd6ae01b9c522ccbf693" } ] }