Comprehensive Capital Analysis and Review (CCAR) Reporting Dodd-Frank Act Stress Testing (DFAST) Reporting

Beginning in 2012, the Federal Reserve Board (FRB) mandated that the largest U.S. Bank Holding Companies (BHCs) would have to file a “Comprehensive Capital Analysis and Review” led by stress testing. The stress tests are designed to assess the capital adequacy of large BHCs using forward-looking projections of revenue and losses. The bank list was expanded the following year and now encompasses 30 BHCs. It will expand again in 2015 when foreign banks will lose their exempt status under Supervisory Letter 01-1.

Data collected through the FR Y–14A/Q/M provides the Federal Reserve with the additional information needed to help ensure that large BHCs have strong management process and risk measurement supporting internal assessments of capital adequacy.

Challenges: Data Consolidation and Integration to meet reporting requirements

CCAR is a very complex, data intensive exercise. Retrieving, standardizing and maintaining financial, risk and reference data is the first task. Then, the firm must mix financial and risk data and reference data to be used simultaneously in many of the reports. The reporting burden for firm rises as the FR Y-9C and the CCAR quarterly reports are due at the same time. The Federal Reserve publishes in November its macro variables and expects banks to incorporate them into their models and then use the models for the stress tests the firm must report by January 5. Semi-annual reporting stress reporting may be requested by the FRB.

To meet these regulations, BHC will need a robust regulatory framework combined with a flexible reporting solution. AxiomSL’s comprehensive regulatory reporting solution enables BHC to source, enrich, calculate, analyze, disclose and reconcile data to meet reporting requirements. This solution provides traceability and drilldown capabilities and it is adaptable to quickly meet evolving and new regulations on a centralized platform.

AxiomSL, global leader in regulatory reporting solutions and risk management for over 20 years, provides a dynamic data management framework, which offers flexibility and scalability in consolidating clients’ data while delivering data transformation, calculation and reporting processes transparency. This robust technology addresses current regulatory deadlines while building the foundation for a strategic cost effective long-term regulatory reporting platform.

Complex and evolving requirements for submission

The submissions are quite varied in nature. Some worksheets based on products have a materiality threshold. Some submissions are based on historical data, only. Some simply capture the institution’s address, persons to contact, etc. Several take much of their input from the firm’s FR Y-9C and sub-ledger data. Others require inputs from risk management inasmuch as they incorporate a product’s option risk measures and other sensitivities. The Fed also conducts disruption of market exercises on the product data at randomly selected dates.

With respect to the stress tests, they are dependent on a bank using FRB supplied macro variables, such as US “real GDP growth” or “unemployment rate” to construct models.

AxiomSL’s integrated platform has the ability to compute capital adequacy calculations at various levels of granularity and from multiple and diverse sources providing all the steps to comply with regulatory requirements and financial control reporting. It delivers both data integrity and a transparent link between the client’s data source and the standard calculations. AxiomSL’s high performance architecture leverages clients’ existing data structure to quickly and accurately populate the information required to meet reporting accuracy requirements and validation process.

AxiomSL’s integrated solution addresses capital adequacy and margin demands by providing a strategic data management platform which enables financial institutions to:

• Interface with clients’ data structure and workflow process without any data conversion;
• Data Consolidation and Integration – cross-system integration to retrieve and standardize financial, risk, and reference data;
• Management and Audit Requirements:
  • Establish Ownership and Sign-Off
  • Design Process and Reconciliation Controls;
  • Provide variance & Internal analysis;
  • Deliver versioning of business rules and calculation methodology.
• Allow for quick implementation;
• Streamline and automate reporting processes;
• Provide cost-effective preparation of regulatory reports for electronic review and submission.