Vichara leverages its expertise in risk management, financial modeling and big data management to provide highly transparent regulatory solutions.

Capital Adequacy

Vichara’s SSFA compliance solutions use risk weighted methodology for computing regulatory capital charges for securitized exposures as per Simplified Supervisory Formula Approach (SSFA). The solutions cover Agency and Non-Agency RMBS, CMBS, and consumer ABS.

Clients can analyze their portfolio of securitized assets to compute risk weights and capital charges for securitized assets compliant with SSFA methodology. We leverage our collateral mapping database at deal, group, tranche and loan-level to do the computations and also provide collateral mapping between different data sources giving clients the flexibility to choose their preferred data sources.

The RWA and capital charges are computed every month as new remittance data is available. Current as well as historical data is tracked within the solutions for comparison, time series analysis and reporting.

As an illustration below, Vichara's solutions provide a breakdown of key components contributing to computation of capital charge:

  • Weighted-average-risk-weighted capital requirement of the underlying exposures (Kg)
  • SSFA ratio (Kssfa)
  • Risk weighted assets (RWA)
  • Capital charge (CC)
Sample Results: