Harmonia© — Calibration Engine for Risk, Capital and Efficiency

Harmonia© is a deterministic calibration engine for risk, capital and efficiency — a proprietary system of Swissdacs GmbH. It is built for banks and companies that need to know, precisely and defensibly, how much capital a portfolio truly requires, and to release whatever is held beyond that.

One engine, three values

A credit portfolio holds three values at once: the risk it carries, the capital it consumes, and the efficiency it could reach. In a conventional bank these are calculated separately, by different functions, at different times. Harmonia brings them into a single calibration. It reads a portfolio position by position, orders each exposure by rating, geography and risk history, and calibrates the entire book to a defined level of confidence — all in one pass, and always deterministically: the same inputs produce the same result, every time.

From four desks to one engine

Today a bank typically answers the capital question across four separate desks — risk, capital, ALM and treasury — each with its own model, timing and assumptions. The gaps between them are where capital is lost. Harmonia condenses those four views into one engine and one calibration, so the answer is internally consistent by construction rather than reconciled after the fact.

Deterministic and auditable

Harmonia is not a black box and not a forecast. It is deterministic: every number it produces can be traced to its inputs and reproduced exactly. It derives the residual loss a portfolio needs to absorb, distinguishes that tail from the part of the book that is structurally protected, and records the full path from input to result. That makes the output something a regulator, an auditor or a treasury team can examine and re-run — not accept on trust.

Inverting the stress test

Harmonia© inverts the stress test: where a stress test runs from scenario to outcome, Harmonia© starts from the required outcome and computes back to the admissible parameters, within CRR-admissible ranges, deterministic and position by position.

This direction of computation is the source of Harmonia©'s accuracy in setting calibrated thresholds. A forward simulation explores outcomes and approximates where a threshold might lie; the inverse computation starts from the threshold that must hold and determines the parameter set that holds it. Every threshold is therefore a computed value, set at the maximum computable confidence level, derived position by position and reproducible to the digit. Simulation approximates thresholds; inversion defines them.

At the end of each run, Harmonia© verifies its own result: the computed parameters are run forward through a conventional stress test, and the required outcome must reproduce. Every calibration closes its own loop.

Defensible by construction

A precise number is only useful if it is accepted. Harmonia is built so that its results are defensible line by line — consistent with the prudential framework the institution already operates under, with the calibration logic kept separate from, and supporting, the regulatory arithmetic. Recognised risk transfer is treated as recognised risk transfer; the engine sharpens the measurement, it does not bend the rules.

Where Harmonia is applied

Harmonia© is in live use at European banks: structures engineered with the system have been executed with European financial institutions within the CRR framework. Anonymised case material is available under NDA.

Harmonia is the engine behind several applications engineered by Swissdacs:

Leasing and factoring portfolio optimisation — releasing capital tied up in working-capital books.
Bank capital efficiency — sizing required capital to what a portfolio needs and releasing CET1 where conventional treatment is over-conservative.
Structured Loss Absorption (S.L.A.©) — Swissdacs' methodology for engineering where, and in what order, losses are absorbed.
Insurance-backed portfolio protection — pairing calibration with credit protection from rated insurers.

Harmonia© operates entirely within existing regulation: the credit risk mitigation framework of the CRR, Articles 213 to 217, applied through the substitution approach of Article 235, as the law stands today. Its admissibility rests on the current framework; what is new is the engineering precision with which these provisions are applied to factoring, leasing and Schuldschein portfolios.

Validation follows engineering practice: every calculation is deterministic and reproducible, and any supervisor or auditor can re-run any result at any time. Structures engineered with the system have been executed with European financial institutions: banks accepted the results at their own capital risk, and rated carriers underwrote on its outputs. Each executed transaction stands as an independent confirmation of the method. Harmonia© is live and operational, and deployment is scaling across institutions and asset classes. Built to be examined, line by line.

Regulatory maintenance

Regulation moves continuously; Swissdacs keeps structures current inside it. A continuous regulatory watch across more than seventy reference institutions flags findings, statements and rulings as they appear and assesses their effect on live structures; where required, documentation and calibration are adapted. Eligibility is a state, maintained continuously.

A proprietary system of Swissdacs

Harmonia© is developed and owned by Swissdacs GmbH, an engineering company for banks and companies focused on risk, capital and efficiency. To see Harmonia applied to a real portfolio, or to discuss an application, visit swissdacs.com or contact info@swissdacs.com.

Swissdacs operates as an engineering system: a decisional board, two working groups, four software suites and an independent validation engine running alongside the deterministic core. Governance, engineering and validation stay separate by construction.