SA-CCR Credit Risk Solution Addresses Basel IV

Driven by an extensible data dictionary architecture, the SA-CCR (Standardized Approach – Counterparty Credit Risk) solution automates exposure at default (EAD) computations and provides new potential future exposure (PFE) and replacement cost (RC) calculations in line with Basel IV requirements. Additionally, our ISDA-aligned ‘golden source’ calculations ensure firms’ compliance with the SA-CCR regulatory framework.

Complex Calculations And Global Implications

Basel IV outlines how the new SA-CCR will replace previous approaches, including the current exposure method (CEM) and the standardized method (SM), and will be mandatory for over-the counter derivatives, exchange-traded derivatives, and long settlement transactions. Financial institutions around the world will be required to use the new methodology to calculate their CCR exposures.

Increased Data

Calculations under Basel IV are more complex, requiring more data attributes. The calculations are also more interdependent with other parts of the capital framework, including those for FRTB, Leverage Ratio (LR) and Large Exposure (LE).

Varying Timelines

Adoption of the new SA-CCR approach is taking different paths globally. Some jurisdictions may have already implemented it, some others may not have started yet, while others may adopt the Simplified Approach (SA) or Original Exposure Method (OEM).

Learn more about AxiomSL’s SA-CCR Credit Risk Solution

AxiomSL’s SA-CCR Credit Risk Solution And Capital Calculations And Reporting

SA-CCR credit risk solution enables transparent logic and data steps and multi-jurisdictional calculations

SA-CCR credit risk solution enables:

Running different versions of the calculation logic for seamless results comparison

Transparent logic and data steps with references to articles

Multi-jurisdictional calculations

Multi-level sign-off with pre-submission reports

SA-CCR credit risk solution addresses all SA-CCR and comprehensive set of capital calculations on a single platform.

Data-driven / Transparent / ISDA-aligned

Driven by CapitalView, an extensible data dictionary

New and complex calculation functionality including FRTB and SA-CCR alignment

Corroborated against golden source ISDA calculations for FRTB, SA-CCR, and CVA

BCBS 239 compliant with automatic, ongoing monitoring of rule changes and updates

Robust architecture handles large data volumes to deliver scalability

Solution Features

Governance

Processes large data volume, leveraging big data technology without compromising transparency and drilldown.

Complies with rigorous ISDA-aligned golden-source benchmark calculations, thereby unifying expected results and enabling out-of-the-box collaborative industry credibility.

Data Management

Transaction-level data can be natively ingested into the SA-CCR credit risk solution to be properly classified for Basel compliance.

Consistency of data and logic provides comprehensive reporting capabilities and monitoring of regulation changes across capital requirements.

Consistent Calculations

Accommodates parallel running of calculations to enable better-informed business decision making.

CEM and SA-CCR EADs can be run and streamlined into risk-weighted assets (RWA), CVA and calculations for LE or single counterparty credit limits (SCCL) in the U.S.

Transparent Processes

Running on a single data and analytics platform, all required SA-CCR calculations are addressed.

Provides drilldown into logic and data at each step, including regulatory article references and auditable adjustment capabilities across the data flow enables dynamic data lineage.

Key Benefits

Ensures consistency between data for SA-CCR and other Basel framework calculations such as FRTB

Supports full impact analysis, including parallel running of calculations

Aligns with ISDA golden-source benchmarks, ensuring credibility of standardized calculations

Powered by new technology like Spark, ensuring high performance for large data volumes

Integrates data from disparate sources to optimize processes and automate calculations

Deployable on secure RegCloud®, enabling operational efficiencies

Related Insights

Important Considerations for SA-CCR Credit Risk

As both Basel IV and jurisdictional regulatory requirements change, are we able to quickly adapt?

How do we ensure consistency between FRTB asset classes and multiple asset class potential future exposure (PFE) required for SA-CCR?

Can we do impact analysis, including parallel running of calculations with new regulations to better inform business decisions?

Will we be able to absorb the additional IT / finance / risk and resource burden and what are best practices for optimizing resources?


SA-CCR Credit Risk Solution

Learn more about addressing new SA-CCR Requirements

Connect with AxiomSL

Speak with a Sales Representative.

We use cookies in order to give you the best possible experience on our website. By continuing to use this site, you agree to our use of cookies.
Accept