FI-Sim — Compliance & Regulatory Monitoring

Monitor Traffic Lights — 24 Active Monitors

VaR Breach Rate

250-day rolling breach frequency

1.25% (threshold <2.0%)

CET1 Ratio

Common Equity Tier 1 / RWA

15.32% (threshold >13.0%)

Leverage Ratio

Tier 1 / Total Exposure

9.07% (threshold >5.0%)

NSFR

Net Stable Funding Ratio

116.8% (threshold >110%)

Data Completeness

BCBS 239 data quality score

98.0% (threshold >95%)

NPL Ratio

Non-performing loans / total loans

1.55% (threshold <3.0%)

SVaR Capital Ratio

SVaR capital charge vs allocation

Within limits (78% utilisation)

IRC Coverage

Incremental Risk Charge adequacy

$285M (limit $400M)

Large Exposure Limit

CRR Art 395 single-name cap

18.2% (threshold <25%)

Sanctions Screening

Counterparty/entity screening pass rate

100% (threshold 100%)

Audit Trail Integrity

Glass Box: all outputs traceable

100% (threshold 100%)

Model Inventory

SR 11-7 model governance

8/8 current (all validated)

IRB PD Calibration

PD model Gini and calibration test

Gini 0.89 (threshold >0.80)

ECL Coverage

IFRS 9 provision adequacy

112% (threshold >100%)

Counterparty IM Margin

SIMM margin call timeliness

99.8% (threshold >99%)

Regime Classification

MSE regime detection confidence

72% (threshold >60%)

Risk Appetite Headroom

Distance to nearest limit breach

21% (threshold >10%)

HQLA Adequacy

Level 1 + Level 2 assets

$48B (req. $42B)

VaR Breach Count (250d)

Rolling 250-day exception count

5 breaches (GREEN ≤4, AMBER 5-9)

LCR (Margin-Adjusted)

LCR after stressed margin calls

108.9% (comfort >110%)

Position Scale

Desk notional vs risk capacity

0.85x (target >0.90x)

SVaR Dual Capital Increase

SVaR multiplier trend (3-month)

+12% (threshold <+10%)

VaR Multiplier

Regulatory multiplier (Basel III green/yellow/red zone)

3.40x (GREEN ≤3.0x, RED ≥3.4x)

FRTB-IMA PLAT

P&L Attribution Test (Spearman/KS)

2 desks failing (threshold: 0 fails)

Regulatory Rule Coverage — 58 Rules across 21 Categories

Category	Code	Rules	Description	Status
Market Risk	MR	11	VaR, SVaR, ES, method governance, backtesting	9 GREEN 2 AMBER
Stress Testing	STR	5	Scenario governance, reverse stress, ICAAP	ALL GREEN
Risk Appetite	RAF	5	Limit hierarchy, cascading gating, escalation	ALL GREEN
Leverage	LEV	3	SLR, UK leverage, supplementary	ALL GREEN
Credit Risk (IRB)	CR	3	PD calibration, LGD floors, RWA output floor	ALL GREEN
Counterparty	CCR	2	SA-CCR, CVA capital charge	ALL GREEN
Liquidity (LCR)	LIQ-L	3	LCR, stress testing, HQLA composition	2 GREEN 1 AMBER
Liquidity (NSFR)	LIQ-N	2	NSFR, stable funding quality	ALL GREEN
Large Exposures	LE	2	CRR Art 395, connected client groups	ALL GREEN
Capital Planning	CAP	3	MDA buffer, capital conservation, distribution	ALL GREEN
FRTB-IMA	FRTB	4	ES, PLAT, RFET, DRC desk-level	2 GREEN 2 RED
Model Risk	MOD	2	SR 11-7 / PRA SS1/23 model inventory	ALL GREEN
Data Governance	DATA	2	BCBS 239 data quality and aggregation	ALL GREEN
Provisioning	PROV	2	IFRS 9 ECL, staging adequacy	ALL GREEN
Operational Risk	OPR	1	SMA capital charge	GREEN
Conduct Risk	COND	1	Product suitability, mis-selling controls	GREEN
AML/KYC	AML	1	Sanctions screening, PEP monitoring	GREEN
DORA / ICT Risk	DORA	2	Digital resilience, third-party ICT risk	ALL GREEN
Concentration	CONC	1	Sectoral and geographic concentration	GREEN
Reporting	REP	2	COREP/FINREP timeliness, Pillar 3	ALL GREEN
Margin / Clearing	MARG	1	EMIR margin, SIMM timeliness	GREEN

Trade Compliance — 10-Gate Pre-Trade Framework

Gate	Check	Regulatory Basis	Pass Rate	Rejections
1	VaR Limit	Basel III / CRR Art 325	98.0%	24
2	Capital Adequacy	CRR Art 92	99.0%	8
3	Counterparty Limit	Internal RAF + CRR Art 395	97.0%	35
4	Rating Threshold	IRB minimum PD / credit quality	99.0%	12
5	Concentration	CRR Art 394-395, Pillar 2	98.0%	18
6	Regime Gate	Internal: MSE regime-conditional limits	99.0%	5
7	Large Exposure	CRR Art 395 (25% Tier 1)	99.0%	8
8	Sanctions / Restricted	OFAC, EU Reg., HMT Sanctions	100.0%	2
9	Product Suitability	MiFID II / Conduct Risk	99.0%	6
10	Trade Size Limit	Internal RAF desk-level caps	98.0%	15

Overall pass rate: 97.3% — 342 of 380 trade requests passed all 10 gates today. 38 rejections routed to desk heads for review. 0 overrides without documented escalation.

Compliance Event Timeline — Monthly (2015–2026)

Regulatory Reporting Calendar & DORA

Return	Frequency	Next Due	Status
COREP CA1 (Capital)	Quarterly	2026-Q2	PENDING
COREP LCR	Monthly	2026-04	PENDING
COREP NSFR	Quarterly	2026-Q2	PENDING
Pillar 3 Disclosure	Semi-annual	2026-H1	PENDING
FRTB-IMA PLAT	Monthly	2026-04	REMEDIATE
Large Exposures (LE)	Quarterly	2026-Q2	PENDING
VaR Backtesting	Quarterly	2026-Q2	GREEN
FINREP (F01-F20)	Quarterly	2026-Q2	PENDING
ICAAP / ILAAP	Annual	2026-12	ON TRACK

DORA — Digital Operational Resilience Act

ICT Risk Management

ACTIVE

Framework established. Risk assessment current. Board-approved ICT strategy.

Incident Reporting

CONFIGURED

Classification taxonomy aligned. Reporting channels to NCA tested. 0 major incidents YTD.

Resilience Testing

SCHEDULED

TLPT scope defined. Threat-led penetration testing Q3 2026. Tabletop exercises complete.

Third-Party ICT Risk

MONITORED

12 critical ICT providers. Concentration risk assessed. Exit strategies documented.

Information Sharing

ACTIVE

Participating in FS-ISAC threat intelligence sharing. Cyber threat feeds integrated.

Audit Trail — Recent Events

Timestamp	Event	Source	Detail	Status
2026-03-26 08:45	Trade compliance check	Compliance Engine	380 trade requests evaluated against 10-gate framework	PASS
2026-03-26 08:30	Daily VaR computation	VaR Engine	VaR = $142M, SVaR = $189M, 3 breaches in rolling 250d	GREEN
2026-03-26 08:15	Regime classification	MSE Engine	ELEVATED regime, confidence 72%, transition probability to STRESS 18%	INFO
2026-03-26 08:00	Data freshness check	DataHub	628 datasets checked, 0 stale, 2 delayed (non-critical)	GREEN
2026-03-25 17:00	Daily compliance summary	Compliance Engine	18 GREEN / 4 AMBER / 2 RED monitors. Escalation memo sent to CRO.	AMBER
2026-03-25 16:30	FRTB-IMA PLAT result	VaR Engine	Rates desk and EM desk failing Spearman test. Remediation plan filed.	FAIL
2026-03-25 14:00	Counterparty limit breach	CCR Engine	CP_042 (hedge fund) exceeded 90% of limit. Temporary hold applied.	ESCALATED
2026-03-25 09:00	Model validation review	Model Risk	IRC model annual review completed. No findings. Valid until 2027-03.	PASS
2026-03-24 17:00	Sanctions screening update	AML/KYC	OFAC SDN list updated (v2026.03.24). 0 new matches against client base.	GREEN
2026-03-24 11:00	Risk appetite recalibration	RAF Engine	Q1 2026 limits reviewed. 2 limits tightened (concentration, EM exposure).	APPROVED