An application ecosystem dedicated to Structured Finance and Asset Management, designed to centralize workflow management for ABS and complex credit lines. The suite enables advanced pre-deal analysis through calculation engines for risk and profitability metrics (RWA, RAROC, EVA), supporting strategic decisions regarding asset disposal or retention. This innovation initiative centers onthe RWA Engine, a unified infrastructure that ensures consistency in valuation and operational synergies across different asset segments (ABS Pricing, Repos, and Structured Loans).
Digisec – DGS: The project centralizes the bank’s entire ABS (Asset-Backed Securities) supply chain management through a workflow that encompasses all desks involved, from structuring to managing credit line renewals. The widget-based interface allows for the management of the various functions specific to each desk.
Asset Disposal – AD: The project’s main functionality is to calculate, on a monthly basis, various risk and position valuation parameters—such as EVA sell and EVA hold—for the bank’s loan portfolio. There are also several features that allow for the simulation of modified deals or deals created from scratch (pre-deals). Structured Finance – FS: The project performs pre-deal analysis (simulation) on structured finance loans. The economics are calculated, including risk parameters such as RWA, RAROC, and EVA hold. An automated calculation feature was subsequently integrated for a portion of the loan portfolio held by the bank.
RWA Engine: The project aims to unify the calculation of various assets by leveraging synergies and commonalities among different applications that currently have separate calculation engines (ABS Pricing, Asset Disposal, Structured Finance, ABS Repo).