Slide 1: An introduction to RQUEST
A Finance Technology Solutions Company An introduction to RQUEST TM © 2011 vertiv
Slide 2: Overview
Overview vertiv CONFIDENTIAL Real-time configuration • Asset Class • Rules & Formulae • Cells Liquidity Risk Management Basel II/III Real-time trace-back • Results to sources • Data Lineage • Reconciliation Risk & Compliance Regulatory Reporting Scalable implementation services • Large data set oper
Slide 3: Business Challenges
Business Challenges vertiv CONFIDENTIAL Rapidly changing Increasing audit Increasing Regulatory controls calculation requirements complexity Limitation of Visible Increasing data organically grown calculations granularity – systems contract level Need for cross Trace-back Time-series functional syst
Slide 4: Technology Challenges
Technology Challenges vertiv CONFIDENTIAL • Adhoc systems (Excel/Access/Scripts) System • Data Integration Challenges Limitations • Accounting rules hard-coded into the system • Drill back from ledger to source not possible Implementation • Metadata and structural integrity missing Challenges • Reco
Slide 5: Component Diagram
Component Diagram vertiv CONFIDENTIAL Financial Rules Manager Rquest TM Configurable approach to rule management Transformations, Enrichment, Allocations Built in Statistical functions and time-series analysis Liquidity Risk Regulatory Basel II/III Accounting Engine Management Reporting
Slide 6: Liquidity Risk Management Product Features
vertiv CONFIDENTIAL Liquidity Risk Management Product Features © 2011 Bintelgroup 6
Slide 7: Liquidity Risk Management
Liquidity Risk Management vertiv CONFIDENTIAL • Real-time configuration of Asset Class • Configurable of Rules, Formulae • Real-time trace-back from to sources • Data Lineage Tracking • Cash flow Calculations • Mismatch Calculations • Concentration Risk • Stress Testing and What-if analysis • Adjust
Slide 8: Liquidity Reporting 1 – Extensive Coverage
Liquidity Reporting 1 – Extensive Coverage vertiv CONFIDENTIAL OTC derivatives, ETD margins, OTC margins, OTC derivatives (downgrade triggers), FX, Debt securities, Own account Asset Class debt securities, Equities, Repos and reverse repos, Stock Coverage borrowing and lending, Deposits, Loans, Comm
Slide 9: Liquidity Reporting 2 – Stress Testing support
Liquidity Reporting 2 – Stress Testing support vertiv CONFIDENTIAL Extensive Stress tests support to Identify sources of potential liquidity strain Ensure liquidity exposures are within limit Identify impact on pricing assumptions R The impact of liquidity stresses assessed on banks’ I C
Slide 10: Liquidity Reporting 3 – Adjustments Functionality
Liquidity Reporting 3 – Adjustments Functionality vertiv CONFIDENTIAL Robust Adjustment Module Adjustments can be made at various stages of report gen Adjustments can be applied to other reports Adjustments are version controlled and audit trail generated Updating transactions supported fo
Slide 11: Liquidity Reporting 4 – Traceability and Lineage
Liquidity Reporting 4 – Traceability and Lineage vertiv CONFIDENTIAL 1* Data lineage Transformation PATH from 1* 2* source to target is always maintained 1* 2* Drill back 1* 2* Intermediate VALUES at various 1* 3* 2* stage are also maintained from source to target Identify sources of potenti
Slide 12: Liquidity Reporting - Sample reporting metrics
Liquidity Reporting - Sample reporting metrics vertiv CONFIDENTIAL Contractual Spot Open maturity < 1wk 1wk -1m 1m-3m 3m-6m 6m-12m >12m Total Assets 110 20 10 Total Liabilities 70 30 20 Off Balance 20 Sheet Liquidity Mismatch -20 10 10 Mismatch as % of total -18% 50% 100% Assets • Dimension rich dat
Slide 13: Liquidity Risk Management – Reports Coverage
Liquidity Risk Management – Reports Coverage vertiv CONFIDENTIAL Report Name Description FSA047 Enhanced Mismatch Report (EMR) Daily Flows – Parts 2,5 & 6 FSA048 Enhanced Mismatch Report (EMR) Main Details - Parts 1,2,5,6,9,10,11. Columns A-J FSA50 Liquidity Buffer Qualifying Securities: Market Valu
Slide 14: Liquidity Risk Management – Process Flow
Liquidity Risk Management – Process Flow vertiv CONFIDENTIAL © 2011 Bintelgroup 14
Slide 15: Basel II/III Product Features
vertiv CONFIDENTIAL Basel II/III Product Features © 2011 Bintelgroup 15
Slide 16: Basel II/III
Basel II/III vertiv CONFIDENTIAL Consolidated Data Management • Fin-Risk, Reference • Single point of control Extensive Coverage • Standardized, Foundation and Advanced IRB Approach • RWA, EC, RC , RORAC, correlation Pillar II – Supervisory Review support Basel III – Liquidity Management BASEL II/II
Slide 17: Basel II Framework
Basel II Framework vertiv CONFIDENTIAL Investors should be Regulatory capital provided with a should be more more transparent closely aligned with view of a Bank’s risk the risk profile exposure of the Bank BASEL II/III Supervision Regulators should have greater supervisory powers to increase capita
Slide 18: Vertiv Basel Process Flow
Vertiv Basel Process Flow vertiv CONFIDENTIAL © 2011 Bintelgroup 18
Slide 19: Credit Risk
Credit Risk vertiv CONFIDENTIAL Credit Risk Methodology Standardised Approach AIRB Exposure Classes Risk weights are derived at facility (product) Wholesale level (Similar in principle to Basel I) Central Governments and Banks Institutions Foundation Internal Rating Based (FIRB) Corporate - Speciali
Slide 20: Credit Risk
Credit Risk vertiv CONFIDENTIAL Measure credit risk pursuant to fixed risk weights based on external credit assessments Standardised Least sophisticated capital calculations; generally highest capital burdens Most Japanese banks will start Basel II as standardised banks Most US banks will st
Slide 21: Market Risk
Market Risk vertiv CONFIDENTIAL Vertiv’s risk management module clients now can perform key risk management tasks in one piece of software with one data base, one graphic user interface and one set of analytical libraries: • Calculate Historic and Monte Carlo VaR • Pricing of various instruments • S
Slide 22: Operational Risk Capital Charge
Operational Risk Capital Charge vertiv CONFIDENTIAL The board of directors and senior management are actively involved in the oversight of Operational risk management framework. It has an operational risk system that is conceptually sound and implemented with integrity. It has sufficient resou
Slide 23: Operational Risk Calculations
Operational Risk Calculations vertiv CONFIDENTIAL Basic Indicator Approach (¶¶ 649-651) 15% of bank’s average annual gross income over previous three years Standardised Approach (¶¶ 652-654, ¶¶ 660-663) Capital charge for each of 8 business lines calculated against average annual gross income fo
Slide 24: Regulatory Reporting Product Features
vertiv CONFIDENTIAL Regulatory Reporting Product Features © 2011 Bintelgroup 24
Slide 25: Regulatory Reporting
Regulatory Reporting vertiv CONFIDENTIAL Real-time configuration • Asset Class • Rules, Formulae and Cells Real-time trace-back • Results to sources • Data Lineage Hierarchical Rule Definition Interface Regulatory Reporting Reports Metadata for Rule-Cell association Rapidly changing regulatory requi
Slide 26: RQUEST – Architectural shift in risk reporting
RQUEST – Architectural shift in risk reporting vertiv CONFIDENTIAL Traditional Rule Limitation Vertiv’s Financial Manager Rules Manager • Built for • Cannot meet • Set Operations transactional volume needs to meet volume processing requirements • Traceability / • Built for low volumes of => Drill ba
Slide 27: RQUEST Features 1 - Elastic
RQUEST Features 1 - Elastic vertiv CONFIDENTIAL Architected for changing regulations Metadata driven approach makes it easy for on boarding new reports Two step rule transformation approach brings modularity to process Extensive support of finance functions ensure good coverage of the requir
Slide 28: RQUEST Features 2 - Metadata
RQUEST Features 2 - Metadata vertiv CONFIDENTIAL Report metadata links Report – Schedule – Part – Line - Cell This allows marrying a regulatory rule to a report cell Rule to Cell association allows trace back from cell to source Report metadata also ensures if all the line items are being re
Slide 29: RQUEST Features 3 – Traceability & Lineage
RQUEST Features 3 – Traceability & Lineage vertiv CONFIDENTIAL 1* Data lineage Transformation PATH from 1* 2* source to target is always maintained 1* 2* Drill back 1* 2* Intermediate VALUES at various 1* 3* 2* stage are also maintained from source to target to identify sources of potential
Slide 30: RQUEST Features 4 – Scalable and Efficient
RQUEST Features 4 – Scalable and Efficient vertiv CONFIDENTIAL Minimized trucking of data ensures scalability Two stage approach for regulatory reporting ensures minimized data movement and enhanced performance Reg Reporting Data mart (Cell Definition) Second Level Second Drill Level back Rules
Slide 31: RQUEST Features 5 – Other key features
RQUEST Features 5 – Other key features vertiv CONFIDENTIAL Robust data integrator consolidates data silos Reconciliation module delivered for quick data checks Reports coverage for FFIEC 001-009, FR 2314 reports XBRL support for electronic filing Utilities like Hierarchy manager, Process S
Slide 32: Appendix
vertiv CONFIDENTIAL Appendix © 2011 Bintelgroup 32
Slide 33: RQUEST Edge
TM RQUEST Edge vertiv CONFIDENTIAL Dimension Traditional Rule Engines Vertiv RQUEST Methodology Processed one row at a time - slow Many rows can be processed at a time Execution Java/C++ Based SQL, CCL based Processing Mechanism Out of procedure In place data processing • Longer Times (Latency) • No
Slide 34: RQUEST Edge
TM RQUEST Edge vertiv CONFIDENTIAL Dimension Traditional Rule Engines Vertiv RQUEST Infrastructure Scalability Low-medium Highly Scalable • Clustering • Vertical • Grid / Cloud • Horizontal Processing choice Possible Limitations Diverse • Real-time (CEP) • Intra-day (Cache) • End-of-day (DB) Utiliti
Slide 35: RQUEST Edge
TM RQUEST Edge vertiv CONFIDENTIAL © 2011 Bintelgroup 35