Challenge Oct-2014

Decision Model:  “Borrowing PASS/FAIL Decision with Mitigation CriteriaSolutions

Rule # 1:
New Borrowings cannot exceed 30% of Total Assets.
Mitigation Criteria:
If the executive committee flag is set to “Y” and the executive committee exposure override is set to a percentage higher than the new borrowings/total assets ratio then PASS
Otherwise FAIL

Rule # 2:
New Borrowings cannot exceed 1-4 Threshold.
Mitigation Criteria:
The new borrowings is less than the non-repo collateral available for the customer
then PASS
Otherwise FAIL

Test Data

Customer #200: ABC Bank
Total Assets = 20,000,000
Executive Committee Flag = “Y”
Executive Committee Exposure Override = 35%
1-4 Threshold = 1,000,000
Non-Repo Collateral = 2,500,000

Customer #500: Bank One
Total Assets = 50,000,000
Executive Committee Flag = “N”
Executive Committee Exposure Override = 0%
1-4 Threshold = 3,000,000
Non-Repo Collateral = 3,250,000

Change the mitigation rules to make the failed transactions to pass.

Proposed By: a Wall Street institution as a POC for selecting a BRMS

Solutions:

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