Basel RWA Calculation Engine

Exposures to risk weights to aggregated RWA and the capital ratio

Basel RWA Calculation Engine Exposures to risk weights to aggregated RWA and the capital ratio 01 / Exposures 02 / Classify 03 / Weight 04 / Aggregate 05 / Report Exposures · loans, off-balance · 01 / Exposures · feed Exposures loans, off-balance feed Asset Class · on-balance · 02 / Classify · map Asset Class on-balance map CCF Convert · off-balance EAD · 02 / Classify · factor CCF Convert off-balance EAD factor Risk Weight · standardized · 03 / Weight · lookup Risk Weight standardized lookup RWA Sum · aggregation · 04 / Aggregate · totals RWA Sum aggregation totals Capital Ratio · CET1 / Tier1 · 05 / Report · report Capital Ratio CET1 / Tier1 report on-balance off-balance EAD EAD weighted total RWA Legend primary data policy / PII async batch data store

Deterministic Pipeline

  • • Each exposure flows through classify, weight, and aggregate stages
  • • Off-balance items pass a CCF step to derive exposure-at-default first
  • • The same inputs always produce the same RWA total

Regulatory Output

  • • RWA sum divides into capital to yield CET1 and Tier1 ratios
  • • Risk weights come from a versioned standardized-approach table
  • • Every stage is auditable for supervisory reporting

Data-flow diagram • Built with Archify • Create yours ↗ • Hover to trace • R route • Click to focus • +/− zoom • M radar • T theme • E export