number of ways, of course we’ve got what we wanted – that’s the expected outcome. We set off looking for a market risk model and a system to do that, and we’ve got that now.’ Kumar added that ‘it has brought another way to verify whether the contracts can cause a problem with the market risk exposure of the bank. Now we are able to test the market risk exposure for a specific deal in real-time.’
Rowland said the motivations behind the project would enable the bank to get the full potential out of the system. ‘It was more a project driven by the bank’s desire to have stronger internal management than it was the bank being required to do it by the regulators, that always makes a difference.’ For Leung, bringing the functionality in-house brought
great benefits to the bank. ‘In the past we outsourced it to Bank of America, so we didn’t have that flexibility and the means to find out the effects,’ he said. ‘If you wanted to test out one particular product’s impact on your overall market risk, we couldn’t do that. Now we can because it is all under our own control.’ A strong market for KRM has been Malaysia, where Rowland claimed an 80 per cent market share for the solution in 2009. One signing here was Bank Simpanan Nasional (BSN), the national savings bank of Malaysia. The deal was done with local partner, Know-How Technologies, a company Fiserv had worked with for a previous KRM implementation at Hong Leong Bank. ‘Having a local partner there is absolutely paramount to having a successful implementation,’ said Rowland.
The deal was signed in December 2008, following a nine- month selection process. Fiserv beat off competition for this deal from Sungard, according to Rowland. BSN’s initial requirement was primarily for asset liability management to replace spreadsheets, ‘but it was intrigued with what we could do for liquidity risk management’, he claimed. Subsequently, modifications were needed to enable daily
reporting for liquidity risk due to new requirements from the regulator, Bank Negara Malaysia. This did not require any changes in the coding of the product. ‘It is simply a function of the report-writer that’s being used to do the reports,’ explained Rowland.
By the middle of 2009, the implementation project was ‘60
to 70 per cent complete’, with everything ‘on-track so far’ and BSN expected to go live before the end of that year, with this duly occuring. The aforementioned Krung Thai Bank in Thailand
completed a roll-out of KRM in the second half of 2011. It went live with a first phase, for market risk, in February and followed this with a second cut-over, in October, for liquidity management and asset liability management. It was the third KRM client in the country. The bank went through a detailed selection, signing in December 2010, said Fiserv’s Clement Ooi, VP and MD, operations, risk and compliance for Asia
Pacific. It had a mix of in-house systems and manual processes but needed an integrated and robust solution to meet the enhanced reporting requirements of Basel III. Ooi believed the bank recognised the competitive advantage of early adoption. Orlando Hanselman, director for risk and compliance
at Fiserv, said factors influencing the selection included the ability to support bank-wide interest rate, FX and liquidity management across both the banking and trading books on a single database, plus Fiserv’s local expertise. Within Basel III, banks must demonstrate daily liquidity management reporting capabilities; on top of this, Bank of Thailand was pressing for weekly regulatory reporting rather than standard monthly reporting. There had been an appreciable pick-up in Basel III-related activity, despite the ‘protracted phase-in period’, said Hanselman, not long after Krung Thai’s final cut-over. Asia was considerably more advanced in its preparations than some other parts of the world, he added. Kamakura completed an upgrade project at Krung Thai Bank in October 2014. This brought full support for Basel II and III and allowed the bank to claim pioneer status for stress- testing among banks in Thailand. A major project for Kamakura in China has been at Bank
of Communications. The supplier announced in July 2014 that this had been completed. It spanned market risk-related metrics, including VaR, sensitivity analyses, risk factor disaggregation, Potential Future Exposure (PFE), and stress testing, both on a static and dynamic basis. It also included the implementation of the internal models approach (IMA) for regulatory reporting on market risk, including risk sensitivities and risk decomposition. Liang Kui, CFA, Senior Risk Manager at the bank, said the implementation of the Kamakura Market Risk module and relevant reporting structures underpinning the solution was ‘smooth, on time, and to our satisfaction’. In February 2016,
E.Sun Commercial Bank Ltd.,
Taiwan, implemented integrated solution of balance sheet management and funds transfer pricing. The project comprised software implementation, subject-matter consulting, and the development of reports addressing the requirements from both executive management and regulatory perspectives. In the same year, Malaysian-based RHB Banking Group, an existing user of KRM since 2000, chose to upgrade to a later version of the suite of solutions for Asset Liability Management, Funds Transfer Pricing, Basel 3 liquidity calculations for regulatory compliance, and other compliance calculations. In October 2017, Bank Islam Malaysia Berhad entered
into an agreement to Implement the suite of solutions for assets & liabilities management, funds transfer pricing, and liquidity management. In the next month, Singapore listed Hong Leong Finance also signed an agreement to use Kamakura’s set of solutions for its balance sheet management, funds transfer pricing, and liquidity management processes.
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