SAS® Solution for Regulatory Capital

Comprehensive solution

  • Provides preconfigured calculations for regulatory credit risk measurement and management, alongside data integration and data quality tools and simulation capabilities.
  • All components are built on the SAS Risk Stratum platform, so they work together in an open, configurable, auditable and highly adaptable manner.

Regulatory calculations

  • Supports regulatory credit risk management with predefined methodologies and preconfigured reporting capabilities.
  • Fully supports Basel credit risk approaches for calculating risk-weighted assets, credit risk mitigation, reporting (COREP and FINREP), calculation audit trails and documentation.
  • Uses a standard workflow to calculate regulatory capital through ready-to-use regulatory configurations – including Basel III and Basel IV, CRD4 and CRD5 – that include:
    • All three credit risk approaches for credit risk (Standardized, IRB Foundation and IRB Advanced).
    • The approaches for securitization transactions and instruments subject to counterparty credit risk.
    • An optimized collateral allocation algorithm.
  • Calculations are data-driven, configurable and extensible, allowing you to add local regulatory variants to any of the mentioned regulatory frameworks and support different levels of calculation and consolidation perimeters.

Data management

  • Delivers consistent, accurate and reliable data as necessary for achieving best practices in credit risk management, using SAS Data Integra­tion.
  • Using SAS Data Integration, enables efficient management of all data from across the enterprise, including loan capture systems, trading systems, risk factor agencies, collateral management systems, loan decision systems, parameters from spreadsheets and more.

Reporting

  • Provides a self-service reporting environment that enables risk analysts to respond quickly to inquiries from the CRO, management and regulators.
  • Lets you create a risk framework that preserves your business units’ autonomy while enabling the parent bank to roll up risk reports into an integrated, aggregated, groupwide view.
  • Offers a full range of reporting capabilities for presenting regulatory credit risk measures at aggregated and lowest grain – offering insights on risk concentration and contribution.
  • Lets users view all of the input and configuration data and execute flows, create credit risk reports and interact with SAS Visual Analytics reports.

Regulatory disclosure

  • Fully supports the regulatory report submission process for the latest European (EBA ITS templates) COREP and FINREP regulatory report templates. and performs the tasks that are involved in a typical regulatory report submission cycle:
    • Orchestrate job flows for regulatory calculations and preparation of regulatory reporting data.
    • Create report packages for submission.
    • Generate Microsoft Excel, HTML and XBRL versions of the report based on a regulator-supplied data point model.
    • Run validation rules (typically regulatory validation rules) and provide notification of validation failures.
    • Enable users to manually add cell-level data or override cell-level data.
    • Generate the submission of XBRL instances.

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