Financial software specialist Misys has launched a new packaged solution which it says will help banks comply with the Basel Committee’s Standardised Approach for Counterparty Credit Risk (SA-CCR), a regulation focused on counterparty credit risk exposure associated with OTC derivatives, exchange-traded derivatives and long or dated settlement transactions.
Misys describes FusionRisk SA-CCR as a real-time solution that will help banks achieve a consistent and compliant risk policy for derivative counterparty exposures. This is accomplished by allowing a bank to apply the same risk methodology across capital reporting and internal risk limits management, it says. It will hold all the supervisory data required by the regulation, mapping trade information and capturing all asset classes, right netting sets, collateral and margin agreements.
Misys says the solution has been built with these changes in mind, and with an easy and quick implementation process. It says it is built on the SA-CCR (BCBS 279) specifications and can run exposures in parallel with old and new calculation methods for a smooth transition to the new regulations. Risk managers can analyse and drill down to different levels of exposure and limits in an easy to use and flexible dashboard. The SA-CCR Exposure at Default (EaD) computations are available for all further accounting and regulatory computations such as Risk Weighted Assets, IFRS 13, Credit Value Adjustments (CVA) and others. With full transparency of the calculation methodologies and flexibility to adapt to local regulations, banks are in control at all times and can centrally modify regulatory parameters should the need arise.
Thierry Truche, global head of product management, Misys FusionRisk, adds: “Regulators are pressing banks to cope urgently with the new Counterparty Credit Risk methodologies. Speed of implementation is critical, consistency with limit management vital and flexibility will be key as further modifications of the methodologies at country level have to be expected. Our solution provides a holistic risk management packaged framework to optimise the allocation of the capital and can be easily deployed to meet the deadline.”