CRR3 & Basel IV
With the announcement of the Capital Requirements Regulation (CRR) 3 and Capital Requirements Directive (CRD) VI, the EU plans on implementing the Basel IV (Finalising Basel III) reforms with a distinct localized flavour. With several fundamental changes from the existing CRR2, it promises to have a big impact during its implementation (Jan 1, 2025). It becomes imperative for banks to not only do a preliminary gap assessment but also structure their implementation around the new requirements.
How does Finalyse address your challenges?
Detailed Gap Assessment:
New calculation standards
Critical data elements identification
Identification of shortcomings of the current implementation
Descriptive Business Requirements for implementation:
Relying on Finalyse’s inhouse tools and standard templates to structure them as laid out by the regulation
Impact Analysis:
Support the bank’s Quantitative Impact Study (QIS) needs for Basel III monitoring
Output Floor Requirements:
CRR3/Basel IV have stipulations to calculate the entire portfolio on Standardized Approach for benchmarking – rely on Finalyse expertise for computing SA calculations for the entire portfolio
Integration with different reporting systems:
Standard tools to integrate QIS/impact assessment output for reporting
Business Strategy:
Leverage Finalyse expert knowledge to simulate different scenarios for output floor distributions across different exposure classes and approaches/types of risk
Key Features
- Basel IV Gap Assessment and Critical Data Elements identification
- Basel IV Impact Assessment
- RWA Calculators implementation for different vendors (SAS, Moody’s, etc.) and their preparedness towards Basel IV requirements
- Catering to different collateral allocation mechanisms (including coverage of EBA CRM Guidelines) and custom European elements expected in CRR3 (SME Supporting Factor, Infrastructure Supporting Factor, etc.)
- QIS reporting as mandated by the EBA with standard templates, including integration with different reporting data marts
Abishek Chopra is a seasoned Risk Management professional with over 12 years of experience in multiple areas of credit risk, especially on CRR and Basel guidelines. He has expertise in addressing complex regulatory topics such as credit risk mitigation for RWA optimization of different asset classes, Basel IV application of Whole Loan/Split Loan approaches for mortgages, SA-CCR and Securitization.
Nathan Desmidt is a Managing Consultant with more than 8 years of experience in risk management. Nathan’s area of expertise lies within regulatory capital calculations, specifically in the context of CRR2/CRD5 and upcoming Basel 4/CRR3 regulations. Recently Nathan has been involved in the implementation of a new RWA calculator at a large financial institution aiming to enable Basel 4 compliancy, focusing on validation of RWA calculations in light of the new framework’s developments.
Maël Kerbaul is a Senior Consultant with over 15 years of experience in the banking and financial industry, especially in risk management. His main area of expertise lies in the credit risk management and regulatory capital calculation. He has developed a broad knowledge of Basel IV/CRR3 while he played a major role in the impact assessment of this new regulation at a large financial institution in Belgium. Maël has also a wide experience in data analysis for credit risk and has a good command of SAS EG and SQL.