MSCI’s Regulatory Capital Module for FRTBMSCI’s innovative solution for calculating capital charges, designed to facilitate more efficient
implementation of the Fundamental Review of the Trading Book (FRTB)

Fresh challenges facing banks due to the new
FRTB changes

MSCI’s Capital Module to address Standardized& Internal Model changes

In January 2016, the Basel Committee on Banking

MSCI combines robust analytics and market data via a newSupervision (BCBS) published the revised rules for minimum

Capital Module in RiskManager that banks can use as part

capital requirements under its Fundamental Review of theof their process to comply with the Standardized and theTrading Book (FRTB) regulations.

Internal Model changes.

The new regulation mandates two capital charge approaches -Our expertise in modeling complex risk calculations andthe mandatory Standardized Approach and the optional

long-term investment in data and reporting infrastructureInternal Model Approach - both of which may add additional

enables us to help clients by offering:

complexities to how banks calculate their capital charge fora) Packaged solutions that aim to enhance operationalefficiency

market risk.
Banking experts have been vocal about the lengthy andcomplex implementation of the new rules, with complianceexpected as early as 2022. Many banks may consider
starting on work now to ensure they have the time andresources to meet the early 2022 deadline.

• Jurisdiction-specific configurations that let clients
calculate capital requirements in one step
• Market data includes their terms and conditions• Post-processing and aggregation can be conducted byclients directly in MSCI RiskManager

The MSCI advantageb) Flexibility in fine-tuning configurations to your needs,
and to validate specific risk results• Hosted/ASP solutions designed to mitigate theneed for additional hardware, budget or extra staff
to deploy• Ability to substitute MSCI’s data with your own (forexample – user-defined time-series tags, or bucketing
liquidity risk factors)• Market data available in the FRTB capital moduleof RiskManager• Custom reporting designed to allow you to better
understand and validate the capital charge• Built-in security master, with market and reference
data compiled from multiple vendors

Flexible delivery options• Access to a global research team with expertise infinancial regulation• RiskManager, our multi-asset class risk management
platform• Web-based Application Programming Interfaces (APIs)• Managed services including optional operational supportand data management from MSCIMSCI’s Regulatory Capital Module for FRTB | msci.com

MSCI calculations under the Standardized Approach
MSCI can provide calculations for prescribed risk sensitivities, assign them to the risk weights and derive the capital charge,
based on a bank’s specific position information.
BCBS rules for theJurisdiction specific configuration fileMulti-asset class risk engine

Standardized Approach• Sensitivities and stress test
• Time series tag integration

Positions including position tags

• Look-through enhancements• Calculation of risk chargeMarket data including time series tags
Product investments are highlighted in bold

MSCI analytics & data for the Standardized Approach

MSCI calculations under the Internal Model Approach
Several large banks already use MSCI’s Regulatory Capital Module for FRTB to help them calculate their capital charge using theInternal Model Approach. Based on a bank’s specific position information, the model can help you determine the capital charge,
which entails the calculation of all underlying expected shortfalls on the MSCI platform.

BCBS rules

Jurisdiction specific configuration filefor theInternal ModelPositions

ApproachMarket data including liquidity horizon andoption to classify non-modellable risk factor
Product investments are highlighted in bold

Multi-asset class risk engine• Expected shortfall calculations for part of
the full risk factor universe• Calculation of non-modellable risk factor
charge using existing stress test functionality• Capital charge calculation for modellable
risk factors (IMCC) including the liquidity
adjustment and cross asset classdiversification constraints

MSCI analytics & data for the Internal Model Approach

About MSCIMSCI is a leading provider of critical decision support tools and services for the global investment community. With over 45
years of expertise in research, data and technology, we power better investment decisions by enabling clients to understandand analyze key drivers of risk and return and confidently build more effective portfolios. We create industry-leading researchenhanced solutions that clients use to gain insight into and improve transparency across the investment process.
To learn more, please visit www.msci.com.
The information contained herein (the “Information”) may not be reproduced or disseminated in whole or in part without prior written permission from MSCI. The Information may not be used to verify orcorrect other data, to create indexes, risk models, or analytics, or in connection with issuing, offering, sponsoring, managing or marketing any securities, portfolios, financial products or other investment
vehicles. Historical data and analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. None of the Information or MSCI index or other productor service constitutes an offer to buy or sell, or a promotion or recommendation of, any security, financial instrument or product or trading strategy. Further, none of the Information or any MSCI index
is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. The Information is provided “as is”
and the user of the Information assumes the entire risk of any use it may make or permit to be made of the Information. NONE OF MSCI INC. OR ANY OF ITS SUBSIDIARIES OR ITS OR THEIR DIRECT ORINDIRECT SUPPLIERS OR ANY THIRD PARTY INVOLVED IN THE MAKING OR COMPILING OF THE INFORMATION (EACH, AN “MSCI PARTY”) MAKES ANY WARRANTIES OR REPRESENTATIONS AND, TOTHE MAXIMUM EXTENT PERMITTED BY LAW, EACH MSCI PARTY HEREBY EXPRESSLY DISCLAIMS ALL IMPLIED WARRANTIES, INCLUDING WARRANTIES OF MERCHANTABILITY AND FITNESS FORA PARTICULAR PURPOSE. WITHOUT LIMITING ANY OF THE FOREGOING AND TO THE MAXIMUM EXTENT PERMITTED BY LAW, IN NO EVENT SHALL ANY OF THE MSCI PARTIES HAVE ANY LIABILITYREGARDING ANY OF THE INFORMATION FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL (INCLUDING LOST PROFITS) OR ANY OTHER DAMAGES EVEN IF NOTIFIED OF THE
POSSIBILITY OF SUCH DAMAGES. The foregoing shall not exclude or limit any liability that may not by applicable law be excluded or limited.
©2019 MSCI Inc. All rights reserved | CFS0719

MSCI’s Regulatory Capital Module | msci.com