Esteemed Customers,

As we prepare to embark ourselves onto the new year, we look back at the challenges and success this year has brought and we are excited to provide you with a taster of what we have in store for you in 2016:

The Computime BRSANALYTICS team is in the final stages on the development of the first COREP module to provide our customers with a scalable solution extending on the current BRSANALYTICS Platform.

Given the size of the CRD regulatory requirements, the BRSANALYTICS COREP Regulatory solution shall be phased focusing on different areas of the requirements. Following customer meetings and discussions, in Phase I we initially look into some of the most time consuming areas of Own Funds, Credit Risk Calculations by focusing on:

Automated Exposure Classes classification

Risk Weighted Calculations

Credit Risk Mitigation Calculations

Stepped Approach to Credit Risk Calculations:

  1. Exposure Value Identification for on balance sheet or off balance sheet items based on risk level associated
  2. Exposure Class Classification; based on system rules, indicators, CoA placements to classify an on / off balance sheet item to fall under one of the classes. These shall be part of the base product but configurable / extendable based on customer requirements.
  3. Calculation of Risk Weight according to the Standardised Approach for class and regulations; where each item will be split and weighted as required. The BRSANALYTICS Engine will come with a set of inbuilt rules based on the CRR which can then be extended in complexity based on client specific requirements. Whilst the base rules cover the essential functionality, the additional rules will tackle instruments which may not fall under the standard rule base. All system rules will be documented within a detailed manual.
  4. Credit Risk Mitigation shall be applied to collaterals and items using the Simple Method approach.
  5. Final Risk Weighted Asset is then calculated based on the secured and unsecured exposure values and risk weights associated.

We are therefore finalising our work on the BRSANALYTICS COREP Risk Calculation Engine which will be the driver for the first phase of the COREP calculations. We have designed this engine keeping the following user centric design features in mind:

(i)          Calculation transparency

(ii)        Customisability and full flexibility for specific requirements

(iii)       Auditing and tracing

Calculation Transparency

Part of the complexity in COREP, is the amount of rules and data transformation required for each and every data line. All the rules and path flows for calculations will be made available as path of the BRSANALYTICS COREP Calculation Engine user interface. A user will be able to navigate through the different rules through filtering and searching available in the user interface. This will give full transparency during any auditing or/and data analysis of values.

Customisability and Flexibility

The calculation engine will come with a set of pre-defined rules which will be fully documented in the system manuals. We shall be catering for most of the base articles in the CRR but through the engine, this will additionally allow ease of editing and rule addition through an advanced user interface which provides suggestions as you are writing rules. This will allow for advanced rule configuration for particular transactional accounts which may not adhere to the standard BRSANALYTICS rule pack but which a bank wish to report accordingly.

Auditability and Traceability

We understand that when it comes to the final derivation of a classification or value, it important to be able to identify which BRSANALYTICS COREP rule triggered a particular calculation or rule so customers will be able to drill down in a value and understand how this value was generated by the system when performing detailed data analysis in Excel.

The first phase of COREP will therefore be focusing on classifications and calculations of Exposure Classes, Risk Weights and Credit Risk Mitigation which are deemed to be some of the most time consuming areas prior to filling in the reporting packs. The focus is on values and data which will be used for reporting requirements. Customers may then use the BRS COREP Engine data to fill in reports via pivots or formulas, or alternatively we may assist in the implementation of formulas based on the client’s requirements for the various sheets. The solution will be available for presentations from February 2016. If you are interested in a detailed one-to-one presentation, please feel free to contact us on our return in January.

In the meantime, the BRSANALYTICS team wishes to augur you and your loved ones, best wishes for the festive season and we look forward to further collaboration during the upcoming year.