Modules/Insight Core

Solvency Insight CoreSolvency and credit, market and operational risk

Solvency ratios, from own funds to risk-weighted assets, the leverage ratio and large exposures: analysis, stress, projection and industrialised regulatory reporting.

KernelIRRBBCSRBBGAPLCRNSFRALMMFlowQuant ALMSolvency
Role, inputs, outputs

Produce, stress and project solvency.

Inputs
Exposures and counterpartiesOwn fundsMarket positionsBalance sheet projection
Solvency Insight Coredeterministic engine
Outputs
CET1, Tier 1 and total ratiosCredit, market and operational RWALeverage ratio and large exposuresDrill-down to the finest granularityReverse stressSimulationICAAPMulti-currency, by entity and for the groupBridge and multi-bridge between reporting datesAnalysisRegulatory, management and custom reporting
Role

Produce and analyse the bank's capital adequacy: own funds by tier, including CET1 (Common Equity Tier 1), credit, market and operational RWA (risk-weighted assets), capital ratios against regulatory minima and Pillar 2, the leverage ratio and large exposures, COREP (common reporting framework) reporting, their evolution between reporting dates and their projected trajectory for capital planning.

Inputs
  • Exposures, counterparties, ratings, guarantees and collateral
  • Own funds
  • Market positions
  • Business indicator, for operational risk
  • Balance sheet projection
Outputs
  • CET1, Tier 1 and total ratios, with the headroom above the minima
  • Leverage ratio and large exposures
  • RWA (risk-weighted assets) by risk and by exposure class
  • Industrialised regulatory reporting
  • Management report
  • Bridge and multi-bridge between reporting dates, with drill-down to the exposure
  • Data and own-funds controls
Analysis
  • RWA composition and density by exposure class
  • Main counterparties and large exposures
  • Effect of guarantees and collateral
  • Quantified explanation of the change between two reporting dates: own funds, credit, operational, market
  • Preset and configurable analysis routines
Stress and projection

A stress, in text or by configuration.

  • In text: the shock is described in one sentence (“−15% on the value of residential real estate”, “default of counterparty X”).
  • By configuration: the scenario is set up in the stress screen, shock by shock.
  • Solvency projection: the ratios at each horizon of the plan, with an auditable calculation.
  • Reverse stress testing: the scenarios that lead to a threshold being breached, or to a target survival horizon.
Stress configuration

Reusable scenarios.

  • Base: the reporting date or the projection.
  • Nature: idiosyncratic, systemic or combined.
  • Shock on own funds, exposures, ratings, defaults, collateral, guarantees, market positions or the business indicator.
  • Targeting by region, country, rating or sector.
ICAAP components

Projection of ratios in the normative perspective over the plan horizon, stress and reverse stress tests, gap analysis.

Example

Several shocks, one question.

RIALTO applies the shocks, recomputes RWA and ratios, and details the effect of each.

  • Solvency dashboard: own funds, RWA and ratios against the minima
  • Bridge and multi-bridge between reporting dates, with drill-down to the exposure
  • Preset and configurable analysis routines
rialto-kernel · chat Solvency
What are the solvency ratios if exposures to French corporates rise by 10% and residential real estate falls by 15%?
RIALTO · Kernel
Stress result CET1: 16.82% → 15.87% (−0.95 pt) · Total RWA: 5,924.3 M → 6,278.4 M
Stress resultCard↗
CopyPNG
2025-12-31 · Group (consolidated)
Dashboard
Indicator
Before
After
Change
CET1 ratio
16,82 %
15,87 %
−0,95 pt
Tier 1 ratio
18,88 %
17,82 %
−1,06 pt
Total capital ratio
21,24 %
20,05 %
−1,20 pt
Total RWA
5 924,3 M
6 278,4 M
+354,1 M
Own funds requirement (8% of RWA)
473,9 M
502,3 M
+28,3 M
Shock 1 — Exposure change — Corporates · country: FR Change in the reported gross exposure: carrying amount, off-balance-sheet commitment, derivative market value. Shock: +10% · 313 exposures
Shock 1 — Exposure change — Corporates · country: FRCard↗
CopyPNG
2025-12-31 · Group (consolidated)
Dashboard
Indicator⇅
Before⇅
After⇅
Change⇅
Reported exposure
3 399,3 M
3 739,2 M
+339,9 M
EAD
2 735,4 M
3 009,0 M
+273,5 M
RWA
2 268,5 M
2 505,2 M
+236,7 M
CET1 ratio
16,82 %
16,17 %
−0,65 pt
Shock 2 — Property value — Residential real estate Value of the properties behind the loans: the LTV and the covered share move. Shock: −15% · 6,265 properties
Shock 2 — Property value — Residential real estateCard↗
CopyPNG
2025-12-31 · Group (consolidated)
Dashboard
Indicator⇅
Before⇅
After⇅
Change⇅
Property value
4 762,0 M
4 047,7 M
−714,3 M
EAD
2 502,5 M
2 502,5 M
0,0 M
RWA
680,9 M
798,3 M
+117,4 M
CET1 ratio
16,17 %
15,87 %
−0,30 pt
Illustrative example · fictitious data
ICAAP

Contribution to the ICAAP

Projection of ratios in the normative perspective, stress and reverse stress tests for the ICAAP (internal capital adequacy assessment process).

Functional scope

What the module covers.

Solvency dashboardOwn funds by tierCredit, market and operational RWACET1, Tier 1 and total ratiosLeverage ratioLarge exposuresQuick stress in conversationStress configurationSolvency projectionBridge and multi-bridge between reporting datesDrill-down to the exposureIndustrialised regulatory reportingManagement reportConfigurable analysis routinesControlsCOREP reportingCapital planningPillar 2 and normative perspective
3 risks
credit, market and operational
Stress
the ratios recomputed under shock
T1…Tn
the ratios projected horizon by horizon
Exposure
bridge and drill-down to the exposure

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