Capital and Credit Risk Solutions Driven by Basel and Capital Requirements Regulation

AnaCredit

Canadian Basel Capital

CECL

CRD IV: COREP

IFR

IFRS 9

QFC

SCCL

Credit Risk

The new credit risk framework includes two different methodologies with different sets of calculations.

Both methodologies and calculation sets – SA and Internal Ratings Based (IRB) – will need to be leveraged for efficient reporting, as well as for conforming with the output floor.

Furthermore, the framework for securitization has been rewritten, and will now involve increased complexity both in calculations and reports.

Output Floor

The output floor has been set at 72.5% of the standardized Risk-Weighted Assets (RWA).

This, combined with upcoming changes to RWA calculations will pose both methodological, optimization and reporting challenges for financial institutions.

A holistic data management and calculation process across an enterprise will be necessary to adequately address this.

FRTB

Operational and computational challenges will be created by the new market risk regime.

Improving Fundamental Review of the Trading Book (FRTB) capital requirements means that the application of Standard Approach (SA) rules will need to be consistent – with SA now applicable to all financial institutions – and achieving consistency across institutions will be complicated to achieve.

Margin Calculations

FINRA Rule 4210 defines initial and maintenance margin requirements on brokerage accounts

Treasury Reporting

U.S. Treasury requires the reporting of non-U.S. issued securities carried by the broker-dealer (TIC Reports)