The CRR2 Regulation requires banks to have a risk weighting of 1250% in the RWA calculation for the total exposure of the funds held, which cannot be presented on individual securities and therefore cannot be weighted individually.
The Austrian universal bank had no automated technical connection to the individual securities data of its funds. This led to considerable resource expenditure, operational errors due to manual processes and higher capital costs due to increased SHEV.
The professional and technical connection of the individual fund securities was designed and connected to the bank’s data warehouse. The RWA of the funds is automatically determined on the first bank working day by the SACCR calculation core (look-through approach).
This led to a reduction in RWA in relation to the fund portfolio (approx. EUR 120 million): average <= 100% instead of 1250%
Proof of state change
- Minimization of operational risk and reduction of manual effort through automation
- RWA calculation on the first bank working day