FRTB - Fundamental Review of the Trading Book solution

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Overview

With FRTB, the Basel Committee on Banking Supervision (BCBS) has completely rewritten the rules used to determine how much capital banks must hold in order to offset their exposure to market risk. It replaces the existing standardised approach with a new calculation methodology, drastically changes the way in which model approval is granted and policed, replaces value-at-risk (VAR) with expected shortfall (ES) and alters the boundary between banking and trading books. It is clear that banks will face significant challenges with the introduction of FRTB.

The AxiomSL FRTB solution supports the standardised approach calculations i.e. the Sensitivities Based Approach (SBA) (including the Delta Risk Charge, Vega Risk Charge and Curvature Risk Charge for all risk classes, for example General Interest Rate Risk and Credit Spread Risk), the Default Risk Charge (DRC) and the Residual Risk Add-On (RRAO). In addition, the solution enables the execution of IMA models written in R within the platform.

All of AxiomSL’s solutions are built on the same adaptable, high-performance platform. This gives clients the opportunity to reduce costs and complexity of compliance by using one platform to manage all requirements. AxiomSL’s solutions are fully supported and are upgraded to reflect rule and reporting template changes. The unparalleled transparency gives users the ability to drill down from the reports produced to the calculations and source data.

AxiomSL is the leading global provider of regulatory reporting and risk management solutions for banks, asset managers and insurers. It empowers clients with the tools they need to manage their financial, risk and operational requirements, and to comply with regulatory calculation and disclosure mandates around the world.

Key Features

  • BCBS 239 compliant with the full traceability/ lineage of how the data flows upstream and downstream
  • Support for desk level SBA calculations
  • Not a black box—users can view logic being applied
  • No fixed input format for data into the platform
  • Scalable and robust architecture to support high volumes
  • Ongoing monitoring of rule changes and provision of update

Key Benefits

  • Compliance, control and governance
  • Modular components that can be stand alone or combined to add value for FRTB
  • Data aggregation across a front-to-back FRTB implementation
  • Visualization and dashboards of results applying different hierarchies and scenario analysis
  • Capturing of risk P&L and T+1 P&L to allow dynamic presentation, drill down of results and analysis
  • Track compliance on an ongoing basis, risk data is governed and logged for reporting n support flexible schemas to build up market data evidence, model validation scenarios, and results- facilitating firm level control (a pre-requisite to model approval)

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