Achieving FRTB ComplianceAchieving FRTB Compliance

Achieving FRTB Compliance

The new market risk capital charge, FRTB, is forcing banks to review every aspect of the current market risk calculation ahead of the implementation deadline.

Compliance for FRTB and beyond

To help banks ensure their operations and infrastructure are ready in time, Fusion Risk has been designed to deliver a scalable, modular package that is available off the shelf. The solution provides the full front-to-risk alignment required by FRTB, including the necessary connectivity to third-party or other in-house solutions, and monitoring and reporting capabilities.

The solution also extends beyond FRTB. To help customers meet the demands of increasing regulation, which are often coupled with pressures to transform the business, Fusion Risk has been developed to quickly adapt to FRTB and other market practices while minimizing costs and disruption. The solution is designed to incorporate wider transformative activities, such as the valuation of collateral, introducing global limits or overall better capital planning to optimize treasury operations.

  

Fusion Risk FRTB Solution: Benefits

  • Full data control and transparency, with a standardized approach (SA) solution that provides insights by individual desk, and on an aggregated level
  • Greater agility and performance, being based on an open architecture that provides an internal model approach (IMA)
  • Pricing consistency between risk and the front office, with a fast, shared and coherent pricing engine
  • Optimized desk performance, with support for P&L attribution and back-testing
  

Fusion Risk FRTB Solution: Functionality

  • Off-the-shelf solution that’s fast to implement
  • Sensitivities and stress-test framework with full data control by desk
  • SA solution that enables you to:
    • Manipulate and reconcile very large P&L data sets
    • Quickly adopt new limits management metrics
    • Perform pre-deal FRTB calculations to check the materiality of charges
  • Scalable, modular package that can grow with changing market and regulatory demands

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What are the aims of FRTB?

FRTB aims to deliver more consistency in capital treatment and less variation between institutions, markets, and products. The regulation mandates a clear segregation of all instruments belonging to the trading and banking books and has the potential to substantially increase a bank’s capital requirements.

54% of banks do not know if they will meet the regulatory deadline