Getting Ready for Basel III SA-CCR

Murex, a provider of trading, risk management and processing solutions, says it has created a packaged solution for the standard approach for counterparty credit risk (SA-CCR) under Basel III regulations.

It says the solution is version-independent, and its rapid configuration-based implementation will help clients secure the January 1 2017 deadline for the new rule and provide them with the flexibility to adapt to evolving regulatory requirements.

It adds that MX.3 SA-CCR solution delivers exposure at default (EAD), as outlined in BCBS 279. It can be used in a number of regulatory reporting calculations, such as risk-weighted assets (RWAs) for counterparty credit risk, credit value adjustment (CVA) capital, CCP risk charge or large exposures. The solution covers trading book positions across all derivatives, whether held in MX.3 or in external systems. The packaged implementation includes standard mapping facilities for complex products. In addition, clients benefit from Murex’s strong expertise to customise their exotic products.

Murex says the solution delivers the EAD calculations in real time, both in pre-trade and post-trade, including limits check. Real- time calculation allows risk officers to monitor the contribution of new trades to the overall SA-CCR number and enables traders to adjust their trading decisions. The solution provides drill down into to all parameters of the EAD calculation, giving full transparency. It also enables comparison with other calculation methods such as current exposure method (CEM) and internal model method (IMM).