Case Study – Digital Transformation & Regulatory Capital Automation (IFPR)

Background

A large financial services firm sought assistance in achieving regulatory compliance with the Investment Firm Prudential Rules (IFPR), where capital calculations were driven by the volume of trades they processed and facilitated.

The rules required calculating a rolling daily average of trade notional values over 6 to 9 months, across all asset classes with varying maturities and trade structures. This required not only sourcing the correct trade attributes but also implementing complex engineering to normalize the data for downstream processing of (10-15 million trades over a 9 month cycle).

Delivery

• Documented business requirements, eligibility modelling, and use cases for processing trade data and calculating k-factors on a daily basis.

• Developed a control framework to identify and flag new products eligible for inclusion in capital calculations.

• Designed a user-friendly graphical interface (GUI) to facilitate easy data analysis and extraction with exception management and override facility.

• Delivered a fully automated regulatory capital (K-Factor) calculation and reporting engine that digitized the capital calculations, reporting, and controls framework.

Benefits

• Enhanced the firm’s ability to monitor and report its capital and liquid asset requirements through an automated engine.

• Reduced the headcount required to calculate and monitor threshold requirements due to automation.

• Empowered the firm’s governing body to monitor emerging stress situations with timely and accurate reports, enabling more informed decision-making.