Preliminary study and implementation of the disclosure requirements 2016

We supported a German Landesbank and a mortgage lending institution with a preliminary study and an implementation project regarding the disclosure requirements 2016 (BCBS 309). The differences between current and future requirements were analysed and documented. Furthermore we assisted with an estimate of the costs for the business and technical implementation. We designed the business concepts, defined the required attributes and key figures in SAP BW and adjusted the process flow charts. The technical implementation as well as the test of the new templates were also accompanied by us.

Implementation of the Basel III requirements for own funds

We supported with the design of a business concept for own funds and adjusted internal work instructions of a large German retail bank. Furthermore, we documented the relevant data requirements and processes to fill out the COREP sheets.

Quality assurance of the solvability and disclosure reports

Regular tests of the solvability and disclosure reports of a mortgage bank, documentation of the procedure and the results. We supported with the business concept and the test of the data quality of a foreign subsidiary as well as with the review of the relevant risk parameters.

Communication with external and internal auditors

We supported a bank with the creation of the concordance list for the supervisory authorities and the communication with internal and external auditors.

Strategic implications of the Basel II requirements

We supported a mortgage bank in the evaluation of necessary changes of the product portfolio, in the valuation of new products regarding new regulatory requirements as well as the evaluation of of the credit risk strategy.

QIS 5

We assisted a mortgage bank in the implementation of the fifth Quantitative Impact Study (QIS 5).

Basel II-calculation kernel

We specified the calculation kernel to fulfil German Basel II requirements. Included were - among other things - the details regarding segmentation of exposures, Standardised Approach, Internal Ratings-Based Approach and credit risk mitigation. The data requirements were defined.

Set-up a rating agency

We supported a German financial services provider in the documentation of the mathematical methods for the selection of financial ratios and the mathematical procedures for analysing annual financial statements. We defined the data requirements and assisted in selecting a data supplier.

Quality improvement in regulatory reporting

We assisted the subsidiary of a large foreign bank in optimising the implementation of the 6th amendment of the German banking act, connected the risk management system PANORAMA with the SAS data warehouse respectively the reporting software SAMBA and documented the used option pricing models for the supervisory authorities.

Implementation of the 6th amendment of the banking act

We selected appropriate software for a savings and loan association to fulfil the German Capital Adequacy Directive (CAD) especially the valuation of securities and derivatives. Provided a model portfolio for a fictitious savings bank and evaluated the relevant products according to the German CAD. We analysed the relevant data requirements for the reporting software SAMBA and transformed CAD requirements (two leg approach) into an Excel solution.

Implementation of the German CAD

We assisted a central savings bank in the development of a manual for the consideration of market risk in compliance with the German CAD.

Annual audit and the 6th amendment of the banking act

Review of the German CAD calculations of credit institutions in cooperation with auditors.