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OFSAA Risk Engine – Basel II / III

Background

The client engaged ACS to deliver an OFSAA calculation engine for US Final Rules Basel III focussing on the delivery of both Basel II and Basel III Counterparty Credit Risk Weighted Assets (RWA) from a US Fed perspective based upon rules issued in July 2013.

Approach

  • Design sourcing to support the requirements but aligning with the Group data and data model.
  • Develop and process all data to support the RWA calculation for pooled retail, wholesale, granular retail Home Lending and securitisation exposures. Develop a US compliant Standardised EAD calculation.
  • Design and develop a calculation engine to support the securitisation Simplified Supervisory Formula Approach.
  • Design a consolidated data mart to report regulatory and internal management data.

Solution

  • Development of an E2E ETL solution to pull data from the core warehouse, securitisation sources and Home Loan systems in support of the US requirements.
  • Development of complex rules and routines to correctly classify exposures and calculate Standardised EAD.
  • Design and development of a counterparty hierarchy and connections system to ensure that the correct PD was allocated based upon Counterparty, Counterparty parent and Guarantors.
  • Delivery of regulatory schedules for reporting AIRB exposures to the US Fed on returns FFIEC101 and FR Y-9C.
  • Design and development of an Internal Management Reporting mart to report comparatives between US AIRB, US Standardised, UK AIRB, UK Standardised and Pooled v/s granular Home Loans.

Benefits Realised

  • Significantly improved Regulatory confidence with US FED.

Sapace

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