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RWA & capital ratio engine
ID MOD-033
System SD06
Repo bank-risk-platform
Build status Deployed
Deployed Yes
Last commit 54197c02fff0ca78a988e6140d31778e59f05b46

Applies Basel III standardised risk weights to all exposures. Computes CET1, Tier 1, and Total Capital ratios. Updated daily.

Streamlit dashboard

MOD-033 ships a Streamlit page RISK_CAPITAL.STREAMLIT_CAPITAL_DASHBOARD providing: - CET1, Tier 1, Total Capital ratios with RAF threshold indicators - RWA breakdown by exposure class (corporate, retail, sovereign, securitisation, operational) - Period-over-period comparison (current vs. prior quarter) - Capital headroom to minimum regulatory requirement

Consumed by MOD-171 (Risk Intelligence Dashboard) in the capital section. Cross-schema SELECT grant on RISK_CAPITAL.* published views required for RISK_INTELLIGENCE_ROLE.

Module dependencies

Depends on

Module Title Required? Contract Reason
MOD-042 CDC pipeline — Neon logical replication to S3 Iceberg Required — RWA calculations are run in Snowflake against exposure data replicated via the CDC pipeline.
MOD-028 Credit score & risk rating Required — Credit risk ratings from the scoring engine map to Basel risk weights used in RWA computation.
MOD-031 ECL calculation & GL posting Optional — ECL stage data informs the credit risk capital overlay on the RWA calculation.
MOD-104 AWS shared infrastructure bootstrap Required — MOD-104 provisions the S3 Iceberg bucket (Snowflake external tables), KMS key, and bank-risk-platform EventBridge bus ARN. Required before this module can be deployed.
MOD-076 Observability platform Required — MOD-076 provisions the SNS alarm-intake topic ARN consumed by the Snowflake Alert action body via /bank/{env}/sns/alarm-intake/arn — required before ALERT_CAPITAL_RATIO_BREACH can be deployed.
MOD-102 Snowflake account configuration & governance Required — Snowflake account and governance provisioned by MOD-102 must exist before this module can read or write Snowflake.
MOD-171 Risk Intelligence Dashboard Required — Risk Intelligence Dashboard aggregates capital published views in its capital deep-dive and RAF summary — MOD-033 Streamlit is linked from the dashboard.

Required by

Module Title As Contract
MOD-034 Stress testing scenario engine Hard dependency —
MOD-035 IRRBB / EVE / NII model Optional enhancement —
MOD-036 Prudential return builder (RBNZ / APRA) Hard dependency —
MOD-066 Collateral & security management Optional enhancement —
MOD-105 Product eligibility engine Optional enhancement —
MOD-106 ROTE engine Hard dependency —
MOD-118 Member equity and share registry Hard dependency —
MOD-147 Related party exposure monitor Hard dependency —
MOD-150 Risk management platform Hard dependency —
MOD-152 Climate risk assessment Hard dependency —
MOD-165 Synthetic swap book aggregator Optional enhancement —
MOD-171 Risk Intelligence Dashboard Hard dependency —

Policies satisfied

Policy Title Mode How
CLQ-001 Capital Adequacy Policy CALC Capital ratios computed from live exposure data — no manual risk weight application
REP-002 Prudential Reporting Policy CALC APRA ARS / RBNZ BS returns populated from the same RWA engine — single source of truth
CLQ-006 Capital Disclosure & Reporting Policy CALC Pillar 3 disclosure figures sourced from the same engine — no reconciliation gap
GOV-002 Risk Appetite Statement Policy ALERT Capital ratio breach (CET1, Tier 1, or Total Capital) triggers an alert to CFO and CRO via MOD-076 alarm-intake, distinguishing between the regulatory minimum and the internal management buffer — FR-207.

Capabilities satisfied

Capability Title Mode How
CAP-070 Real-time capital ratio engine (CET1/RWA) CALC Calculates CET1 and total capital ratios against risk-weighted assets in real time as the portfolio changes.
CAP-072 Regulatory threshold alerting ALERT Raises an alert when the capital ratio approaches a regulatory or internal minimum trigger.

Part of SD06 — Snowflake Analytics & Risk Platform Compiled 2026-05-22 from source/entities/modules/MOD-033.yaml