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AxiomSL introduces strategic solutions for Basel SA-CCR reforms

Tuesday, February 9, 2016

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FREMONT, CA: AxiomSL, a provider of regulatory reporting and risk management solutions, announces a solution for Standardized Approach for Measuring Counterparty Credit Risk Exposures (SA-CCR) - an important component of the Basel reforms, which indicates the amount of capital, banks must maintain in order to mitigate their exposure to risk.

The solution provides the running of impact analysis assessments which allows banks to understand how SA-CCR will affect their capital requirements and help them to plan accordingly. The solution also supports other Basel calculations which would be used in future such as the Fundamental Review of the Trading Book (FRTB) and Interest Rate Risk in the Banking Book (IRRBB) which is also entitled as the ‘Basel IV’.

SA-CCR will be mandatory in the future for all over-the-counter (OTC) derivatives, exchange-traded derivatives (ETDs) and long settlement transactions. SA-CCR will replace the obligatory Current Exposure Method (CEM) and Standardized Method (SM).

The solution will automate the computation of exposure at default (EAD) using the SA-CCR methodology and provides new potential future exposure (PFE) calculations and the new replacement cost (RC) calculations mandated for both margined and unmargined trades.

 The solution can also process large volumes of data and run the SA-CCR calculations rapidly. The solution also boasts unparalleled transparency, including the ability to drill down from the outputs to the source data. It is based completely on the core AxiomSL Platform and would be monitored and updated whenever SA-CCR calculations are amended. Hence, the solution allows users to get accurate reports and figures which would help them respond to queries from regulators quicker and easier.

“SA-CCR is one of a number of significant changes to the Basel capital adequacy requirements that will come into force over the coming years – the others include the FRTB and IRRBB. Instead of focusing on each of these requirements in isolation, banks need to think strategically about the entire package of changes now,” says Nicola Hortin, Head of Regulatory Analysis Team EMEA, AxiomSL. “We are pleased to offer banks a comprehensive solution that includes the calculations and computation functionality they need to comply with SA-CCR. By building our SA-CCR and other capital calculation solutions on the same platform, we are giving banks an opportunity to tackle the requirements strategically rather than relying on a patchwork of point solutions. This will significantly reduce the cost and complexity of compliance for them.”

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