The regulations, resulting from the Fundamental Review of the Trading Book (FRTB), are widely seen as the next major compliance challenge following MiFID II. Both the complexity and the timeframe of the regulations are set to become a major concern for financial institutions.

Anthony Pereira, CEO of Percentile, said: “The new FRTB requirements set a very high bar for market risk capital calculations. While banks will be able to continue to use internal models, the calculations will require about 30 times more data storage and processing capacity, and will have to be done daily, at trading desk level. The standardised approach is less computationally intensive but complex enough to warrant a non-spreadsheet solution. We developed the Standardised Calculator, which will be part of our complete RiskMine FRTB solution, by working in collaboration with clients and industry experts. Having an easy-to-use standardised calculation tool, coupled with Percentile’s expertise in risk data management will accelerate our clients’ FRTB projects.”

Percentile’s latest innovation is in direct response to the publication of a revised market framework by the BCBS in January 2016. It is now clear that addressing the key challenges of FRTB requires closer integration between trading desks and the risk management functions. The Standardised Calculator is a standalone, lightweight tool which uses an institution’s data to quickly produce capital charge figures. Financial institutions can instantly assess the capital impact and identify the drivers of their capital charge, whether it be individual books or positions or bad reference data, such as a missing credit rating. Percentile’s approach of using the banks’ existing infrastructures means that firms are able to meet regulatory demands with minimal disruption to their systems.

Pereira added: “This regulation aims to address the shortcomings of existing capital regulations by adding significantly more intricate calculations to the Standardised Approach capital charge and by increasing the granularity and data quality requirements of internal models.” He continued: “Although the deadline of 2019 seems a long way off, the regulation is complex and our solution will allow our clients to fully meet regulators’ expectations with confidence. This allows firms to concentrate on the more onerous assessment of internal models.”

RiskMine, Percentile’s flagship award-winning software, has evolved over the past decade to keep pace with complex and changing demands from regulators while aligning risk management more closely with the front office. With its flexible and scalable approach, RiskMine provides its users not only with the tools to manage today’s challenges, but also with a solution that keeps pace with future regulatory requirements.