The financial sector continually grapples with the impact of rapidly changing regulation. Basel Accords, Dodd-Frank, EMIR and other regulations have forced firms to give over resources (people, time and money) to meet requirements. The key challenge is to adopt a strategic approach to regulatory change by bringing together systems, data and processes.
The winners will be firms who can leverage their investment in regulatory compliance to also improve their business performance. ActivePivot does just that by delivering unified, flexible analytics in a shared environment. ActivePivot's in-memory analytical platform enables businesses to meet this goal quickly and, crucially, can integrate unobtrusively in the bank’s architecture without requiring a massive system overhaul.
ActivePivot and FRTB
FRTB transforms conventional risk management. Historically, the front office was tasked with pricing, hedging and valuing positions while risk managers handled enterprise exposures. FRTB brings those tasks together at a far more granular level. Desk heads must be aligned with risk managers in terms of correlations, data density and normalization. A strategic approach is to separate calculation and aggregation to have the agility to calculate once and run analysis across many different dimensions and assumptions.
ActivePivot’s classification functions may be used to model desk/book boundaries as well as sort trades into the correct risk categories for liquidity adjustments. ActivePivot can handle large volumes of scenarios to compute the DRC at 99.9% confidence levels and carry out P&L attribution tests on data from multiple sources using both SA and IMA.
ActiveMonitor is able to monitor the P&L attribution test thresholds to enable you to maintain your IMA approval.
CCAR / DFAST
CCAR (Comprehensive Capital Analysis Review) and DFAST (Dodd-Frank Act Stress Tests) compliance has proven to be a difficult challenge for even the most sophisticated firms. Companies must submit detailed capital plans based on enormous sets of data and robust stress tests. To be successful, firms must align data from finance and risk systems and adhere to prescribed data content, calculations and formats. To meet these requirements, firms must adopt a flexible framework that can federate data from multiple systems, reconcile, map and aggregate data in a consistent manner.
ActivePivot provides the ideal platform to support CCAR/DFAST compliance. By seamlessly fitting into your existing infrastructure, ActivePivot performs complex mapping, aggregation and data classification from multiple source systems. It enables calculations of required metrics on aggregate values while supporting analytics and advanced slice and dice and drill through to aid and support ad-hoc regulatory queries.
Dodd-Frank Volcker Rule
Like other financial regulations, compliance with Volcker requires the aggregation of risk as well as the calculation of P&L and position data from multiple trading systems and engines, areas where ActivePivot excels. Users need to report and analyze stress scenarios, understand the impact of defining trading and non-trading books and quickly and easily assess risk and position limits.
ActivePivot’s post-processed measures allow analysis of risk measures (e.g. VaR and stressed VaR) at any dimension or level in sub-second time. Stressed scenario reports are easy to build and advanced slice-and-dice and drill-through functionality ensure timely responses to regulator’s ad-hoc questions.
What-if capabilities allow modeling of trading (market-making) desks and non-trading desks to quickly assess impact of designation. Flexible, multi-dimensional analytics provides analysis of inventories over any required period (30, 60, and 90-day periods).
ActiveMonitor provides KPI definition setting and monitoring of risk and position limits based on RENTD.
ActivePivot and BCBS 238 and 295 – LCR and NSFR
ActivePivot is able to classify and aggregate, by business units and hierarchies, all HQLA across the enterprise from multiple systems and geographies into quality buckets to allow computation of the LCR numerator.
The visualisation of maturity mismatches, of inflows and outflows and of liquidity netted by currency or any other dimension is made simple by configurable or regulator-defined time buckets available in ActiveUI, providing transparency across multiple siloed systems.
Mismatches may then be monitored in ActiveMonitor. Thanks to ActivePivot’s advanced aggregation functionality, users can monitor the concentration of funding by any group of dimensions as prescribed by the BCBS Committee. Market data is processed in real time and the amount, type and location of all available unencumbered assets that are eligible for secured financing at central banks or to serve as collateral for secured borrowing are immediately visible in dedicated dashboards. This provides transparency across systems that otherwise work in silos.
The financial crisis of 2007 forced financial institutions and regulators to assess and address market resiliency during market downturns and severe economic shocks. The result was to require standard OTC derivatives to trade on an electronic platform. The risks associated with non-centrally cleared derivatives were also considered and mandates put in place to ensure adequate margin is collected and managed. ActivePivot plays an important to support these requirements.
ActivePivot aggregates trades and margin rules from multiple, heterogeneous systems. This provides a single analytical platform to view inventory and transactions. HQLA is identified and visualized in easy to define dashboards using ActiveUI. Margin calculations may be supported directly in ActivePivot based on prescribed and/or custom rules. Our optional optimization engine allows custom configuration to support eligibility rules, limits and other criteria to ensure optimal pledge recommendations and what-if analysis. Finally, ActivePivot post-processors may be utilized to support margin replication based on published standards.
BCBS 279 SA-CCR
This legislation introduces a new standard approach for counterparty credit risk. It also replaces existing methods used for calculating exposure at default. This requires a transparent and robust analytical and calculation framework – ActivePivot quickly and easily fits into that framework.
ActivePivot federates data from multiple systems and platforms; it classifies and aggregates datain multiple dimensions by counterparty, hedging sets, asset and trade types. It eliminates manual processes and contributes to the data’s completeness and accuracy.
ActivePivot is multi-dimensional and therefore can aggregate exposures by hedging sets and allow what-if analysis on additional trades added to portfolios to check for the impact on capital charges.
ActiveUI dashboards will provide effective visualization of the data which informs decision making to lessen the capital charges.
ActiveMonitor can monitor daily limits and alert users to breaches or advise if limits are approaching thresholds.
ActivePivot key features enable banks to meet regulatory compliance and reap further benefits
Alerts and Monitoring
ActiveMonitor can be used to monitor regulatory thresholds such as LCR, counterparty credit limits or company defined measures and KPIs. Full escalation workflow can be defined and an audit trail is provided.
ActivePivot is an ideal tool for back and stress testing under regulator provided scenarios, company’s own stress test requirements from scenarios provided from multiple risk systems or the provision of data to regulators for their own stress testing.
Built in 'What-if' capabilities allow users to test assumptions and measure the impact of decisions before execution, such as new trades or reclassifications. Results may be shared through collaborative and secure views and dashboards.
Modern financial regulations have in common the need to aggregate massive volumes of data from multiple trading systems and risk/calculation engines. This is further complicated by the fact that data is often in the form of complex objects such as vectors and/or matrices and that aggregation and analysis are required at a variety of levels and dimensions.
ActivePivot is an in-memory, incremental object aggregator. As such, ActivePivot natively aggregates vectors as well as matrices and automatically re-aggregates as new information such new trades, amendments and cancellations, etc. arrive in real-time from multiple systems and platforms.
Multi-dimensional Slice and Dice
ActiveUI provides guided and self-service analytics with a highly functional dashboard for reports and ad-hoc query results. There is no limit to the number of dimensions on which reports can be built, allowing complete flexibility for the end user. Additionally, aggregated data can be sliced and diced with drill through advanced capabilities and meaningful graphs.
ActiveStorage, a NoSQL database, provides a persistence layer for the exponentially increasing regulatory data requirements. ActivePivot is scalable vertically (hardware), horizontally (multiple datacubes with same data schema) or polymorphically (different data schema with a common index) in a cost effective solution which is not just a pre-packaged regulatory report template generator.