ICAAP and Basel III capital on the statutory schemas
Updated
In short
Can one platform produce ICAAP and statutory financial statements?
Kelvyn computes Basel III capital on the Standardised Approach — CRR Article 111 and 112 to 134 risk weights, exposure at default, operational risk on the basic indicator approach, concentration measured as a Herfindahl-Hirschman index, a Pillar 2 assessment, capital ratios and capital surplus — and renders them into ICAAP and capital reports. The same statement engine produces Bank of Italy Circolare 262 balance sheet, income statement and cash flow on the statutory schemas.
Capital, computed rather than transcribed
Risk weights come from the CRR articles rather than from a spreadsheet lookup someone maintained. Exposure at default, the basic-indicator operational risk charge, concentration as an HHI, and the Pillar 2 assessment are all derived from the portfolio data already in the system.
Capital ratios and surplus fall out of the same computation, so the number in the ICAAP report and the number in the capital report are the same number, not two transcriptions of it.
Statutory statements on real schemas
Financial statements are produced against seeded statutory schemas rather than against a generic chart of accounts bent into shape. Bank of Italy Circolare 262 balance sheet, income statement and cash flow ship as system templates, alongside the capital and ICAAP schemas and a generic IFRS 9 set.
Italy is the delivered jurisdiction. The statutory schemas, the stress scenario seeds and the localisation are Italy-first, which is a specificity claim rather than a limitation to hide.
Connected to the stress engine
A stress run does not stop at the portfolio. It propagates into a full stressed statement set held alongside the baseline, with walk diagnostics between them, so the capital position under a scenario is produced by the same pipeline that produces it under the base case.
Scope
What this does not do
Standardised Approach only. There is no internal-ratings-based approach, and no Basel IV implementation — the CRR and Basel III rules are what is implemented.
Kelvyn produces statements and reports on statutory schemas. It does not file, and it does not generate jurisdiction-specific supervisory returns: no MiFID II RTS 22 or RTS 25 reporting, and no SOX, SEC or FCA return.
Provision coverage feeding the capital computation comes from the simplified impairment model described on the IFRS 9 page. That dependency is real and worth knowing before the output is relied on.
Questions
- Which Basel approach is implemented?
- The Standardised Approach, using CRR Article 111 and 112 to 134 risk weights. There is no IRB approach.
- Does Kelvyn support Bank of Italy reporting schemas?
- Yes. Circolare 262 balance sheet, income statement and cash flow ship as seeded system templates, together with Circolare 262 capital and ICAAP variants.
- Does Kelvyn submit regulatory returns?
- No. It produces the statements and reports; filing and any jurisdiction-specific supervisory return remain outside the product.
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