They will also need the ability to run the calculations on a regular basis - even as often as daily - to ensure they do not exceed the capital limits set by regulators. G-SIBs Are Most Affected…Ī recent Basel monitoring report found that under the new SA-CCR rules, G-SIBs may see their CCR charges increase 27.2% versus current levels (per BCBS, April 2020). Financial institutions should not underestimate the new methodology’s operational implications across their organizations - this will not be as simple as 1+1. Not only are calculations under the Basel IV SA-CCR approach more complex, requiring more data attributes, they are also more interdependent with other parts of the capital framework - including large exposure calculations. Complex Calculations Do Not Add Up To A Simple Sequenceįurthermore, to comply, banks will need to incorporate a variety of complex calculations - including new add-on potential future exposure (PFE) and replacement cost (RC) calculations that are necessary to compute exposure at default (EAD). Financial institutions around the world will be required to use the new methodology to calculate their CCR exposures and corresponding capital reserves, leaving them with an altered capital profile.
![sa ccr sa ccr](https://www.bovill.com/wp-content/uploads/2020/10/Bovill-SA-CCR.jpg)
The new SA-CCR approach will be mandatory for all over-the-counter derivatives, exchange-traded derivatives, and long settlement transactions. This gives banks a unique opportunity to reduce cost and complexity by using a single platform to meet all of their regulatory calculation and reporting requirements, including other Basel capital calculations such as the Fundamental Review of the Trading Book (FRTB) and Interest Rate Risk in the Banking Book (IRRBB).With Basel IV, the Basel Committee on Banking Supervision (BCBS) has outlined the standardized approach to counterparty credit risk (SA-CCR) with the intention of replacing the previously existing approaches, including the current exposure method (CEM) and the standard method (SM). The SA-CCR solution is built on the same platform as all of AxiomSL’s other offerings.
#Sa ccr update
These regulatory update releases are separated from software releases, allowing firms to upgrade quickly without undertaking regression testing. This gives users confidence in the accuracy of the results and enables them to respond to queries from regulators.ĪxiomSL continually monitors changes to the SA-CCR calculations and provides updates when they are amended. Users have the ability to drill down from their final SA-CCR figures to their source data and can see how the data has been transformed at each stage in the calculation process. The solution offers unparalleled transparency. This will allow banks to execute their SA-CCR calculations each day to ensure they are within their capital limits and to circulate the relevant information to different internal groups.
![sa ccr sa ccr](https://www.risk.net/sites/risk/files/styles/landscape_750_463/public/article_copied_files/Banks-look-to-optimisation.jpg)
Due to its high-performance capabilities, AxiomSL’s solution can process large volumes of data rapidly. This allows them to understand how they will be affected by SA-CCR and ensures they can migrate smoothly to the new calculations when SA-CCR comes into force.
#Sa ccr full
When mandated in the European Union (EU), it will also be possible to automatically feed the SA-CCR results into Common Reporting (COREP) templates using the appropriate XBRL taxonomy.ĪxiomSL’s solution provides full support for impact analysis, including the ability for banks to do parallel running of their incumbent calculations and the new SA-CCR calculations.
![sa ccr sa ccr](https://image.slidesharecdn.com/a09b8068-71e7-436d-95d4-dc93f911f614-150710203343-lva1-app6891/95/saccr-20150710-final-10-638.jpg)
The calculation results can be used as inputs for other Basel capital calculations. If necessary, they can adjust their input data. When the calculations have been completed, users can review the results, check whether they are as expected and do trend analysis. It is then used to run the add-on, PFE and RC calculations and to produce the EAD. Data can be loaded on to the solution in any format without the need for data conversion. AxiomSL’s solution aggregates and normalizes all of the data required for SA-CCR from the disparate sources in which it is maintained. This greatly reduces the cost and complexity of compliance. AxiomSL’s ‘one platform’ model means the same system can be used for all other regulatory calculation and reporting requirements, including the other Basel capital calculations. AxiomSL’s solution for the Standardized Approach for Measuring Counterparty Credit Risk Exposures (SA-CCR) includes the functionality and new calculations needed to compute exposure at default (EAD) and provides full support for impact analysis.