Net Credit Exposure Limits
Counterparty risk management is at the forefront of challenges facing financial institutions (FIs). Intended to address systemic and contagion risks inherent in an interconnected banking system, the Single Counterparty Credit Limit (SCCL) rule applies to all large FIs, foreign and domestic, and limits net credit exposure to a single counterparty to 15% or 25% of capital. SCCL net exposures are reported quarterly on a new form, the FR 2590.
Questions to Consider
- How do we compile a complete and consistent reference of counterparty information?
- Have we prepared all the new data attributes required for exposure calculation?
- Are we able to address SCCL’s multiple data and operational challenges?
- Can we identify and sort our 50 largest counterparties?
- Will we be able to establish the infrastructure and processes that can run daily exposure and limit calculations?
- Can we source and centrally organize the complex information required to meet SCCL’s requirements?
- Is our methodology consistent with Basel risk-weighted assets (RWA) rules?
Features
AxiomSL provides FIs with an end-to-end solution for SCCL data staging, exposure calculation, risk transfers, monitoring, and reporting that runs on ControllerView®, its data integrity and control platform. It generates the FR 2590 report including the top 50 counterparties ranking, and automatically reconciles balances to the FRY-9C.
Functionalities
The solution is supported by AxiomSL’s SCCL-tailored data dictionary, calculation engine, and reporting, monitoring, and reconciliation functionalities. Validation and integrity checks ensure accuracy and data quality.
Capabilities
The platform provides full data management with transparent, user-controlled processes from data ingestion to report submission, including dynamic data lineage with detailed drill-down and drill-up inspection capabilities.
For more information about AxiomSL’s SCCL solution, download the PDF.
AxiomSL’s SCCL Solution
Modular design enables FIs to integrate external systems at various entry points in the process.
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