An integrated risk and reporting solution

Deliver a more forward-looking view of the business required by regulators by maintaining a link between a firm's risk profile, risk management, risk mitigation systems and its capital and liquidity planning. Gain access to our RUS (Regulatory Update Service) integrated with our Risk Management platform. Look at the impact of stress testing, cash flows, liquidity, profitability and solvency before and after management actions. Overcome challenges around increased costs and inefficiency due to data duplication and inconsistent modeling of risks across Pillar 1 and 2, as well as manually intensive reconciliation.

The solution complements OneSumX for Regulatory Reporting and OneSumX for Risk Management, bringing the suite together in a focused manner. It allows you to meet the key quantitative requirements of PRA's Pillar 2 framework.

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Achieve compliance with PRA110

Designed to capture the firm’s cash flow mismatch and ensure effective monitoring of a liquidity risk profile in stress.

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Improve operational efficiency

Achieve consistent outcomes across key risks in your Pillar 2 risk reporting. Our best-in-class risk management and reporting solution helps firms improve operational efficiency.

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Regulatory reporting technology

The reporting applications allow you to graphically display key risk metrics, compare outcomes across scenarios and deliver regulatory reporting templates for FSA071-082, PRA110.

What you need to know about Pillar 2 and PRA110

  • The Prudential Regulatory Authority (PRA) in the UK has a comprehensive set of Pillar 2 requirements and expectations for banks, building societies and PRA-designated investments firms
  • The PRA use Pillar 2 to assess how robust a firm’s business model is on a forward-looking basis under stress
  • The PRA Pillar 2 framework allows firms and the PRA to understand intertemporal risk dynamics
  • Firms must provide important information to the PRA on how management actions are used to preserve its franchise should an adverse market event occur.
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OneSumX Pillar 2 and PRA110 features

Gain full data versioning and lineage and access a wide set of capabilities to support Pillar 2, ILAAP and ICAAP requirements with our solution.

It allows for the derivation of business as usual and stressed outcomes pre and post management actions through a single calculation run. So you can increase operational efficiency with an integrated and consistent, easy-to-follow view.

Our solution delivers liquidity stress testing, multiyear ad-hoc projections of risk, income/expense, liquidity, profitability and capital adequacy. It does so with shared micro-and macro-economic assumptions, growth assumptions and stresses, to support many facets of PRA Pillar 2. This includes projections and stresses of expected operational losses for input into the Pillar 2A calculations.

  • Credit risk

    • Application of the PRA’s benchmark risk weights to respective asset classes
    • As defined in Tables A1 and A2 of the PRA’s methodology notes to produce PRA111, FSA076 and FSA077.

  • Market risk

    • Assess and stress illiquid, concentrated and one-way positions by taking into account the integration among the stressed market risk factors
    • Determine VaR, stressed VaR, expected shortfall (ES) and stressed ES based on a 1 in 1,000 year confidence level over a one-year time horizon.
    • Calculate the difference between Pillar 1, Pillar 1 adjustments for model risk and a 1 in 1,000 year event to estimate the Pillar 2 add-on
    • Report through your ICAAP using FSA080 and PRA111
    • Assess the impact of BCBS FRTB rules before they go live in your jurisdiction to preemptively manage positions and risks.

  • Counterparty credit risk

    • Assess and improve risk management practices in respect of derivatives, margin lending, securities lending, repo and reverse repo or long settlement business.
    • Analysis and stressing of settlement risk, collateral management, wrong-way risk and model validation.
    • Assess the impact of the revised rules for SA-CCR as defined by BCBS 279 and CRRII to improve ISDA contract negotiation and improve capital planning.

  • Credit concentration risk

    • Measure and manage single name, sector and geographic concentration using the Herfindahl-Hirschman Index (HHI index).
    • Do so under business as usual, stress scenarios pre and post management actions.
    • Map HHI index output ranges to capital add-ons and report them in their ICAAP in accordance with PRA Pillar 2 templates FSA078 and FSA079.

  • Interest rate risk in the banking book

    • Estimate interest gap, VaR,NII, NIM, EVE, ΔEVE and EaR
    • Understand and mitigate the risks from different interest rate shocks on fixed, floating, derivative and non-maturing assets and liabilities
    • Apply capital addons and regulatory aggregations rules
    • Meet regulatory reporting obligations through your ICAAP as well as FSA017 and PRA111.

  • Ring-fenced bodies (RFB) group risk

    • Calculate the difference between the amount of capital applicable at the RFB sub-group level to cover credit concentration risk (identified on a sub-consolidated basis) and the RFB’s sub-group‘s share of capital held by the consolidated group
    • Assess the impact of pension obligation risk on RFB group risk and report it through the ICAAP and in FSA071.

  • PRA buffer

    • Calculate the amount of capital, both quality and quantity, to cover the firm’s Pillar 1 and Pillar 2A risk under severe stress
    • Assess the impact of additional Risk Management and Governance (RM&G) scalar of 10% to 40% as an additional capital buffer over and above other buffers
    • To support the PRA’s SREP, run scenarios and sensitivity analysis against PRA-specified and internal scenarios
    • Meet regulatory reporting obligations through the firms ICAAP and reporting of PRA111.

  • Liquidity risk reporting

    • Measure, monitor, manage and stress all aspects of contractual funding
    • Includes market liquidity risk from cash flow mismatch risk to survival horizon
    • Scenarios include debt-buy back, margined and non margined derivatives as well as securities financing transactions
    • Help to reduce your L-SYSC risk and buffer requirement through a holistic solution that fully supports your ILAAP process and the PRA110 reporting obligations.

  • Leverage

    • Measure, monitor, manage and stress all aspects of leverage ratio
    • Anticipate changes to capital which directly impact leverage ratio
    • Fulfil ICAAP reporting obligation including the relevant parts of PRA111 that relate to leverage.

  • Profitability

    • Analyse, define and manage profit or loss, net interest income, net interest margin, FTP rates, RoRWA and RoE
    • Do so in both static and going concern dynamic
    • Fulfil ICAAP reporting obligation including the relevant parts of PRA111.
Expert insights

Downloads
Browse all OneSumX FRR downloads
Integrated risk and Reporting for Pillar 2
OneSumX Regulatory Reporing Overview Brochure
OneSumx for Regulatory Reporting Solution Overview
Business Analytics Solution Primer
OneSumX Business Analytics Solution Primer
AnaCredit Soluton Primer
OneSumX AnaCredit
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