How will the Basel Committee’s SA-CCR regulation affect Misys customers?

The new regulation around counterparty credit risk exposures will have an impact on Misys customers. Richard Platt, Product Manager for FusionRisk at Misys explains how customers can prepare.

The Basel Committee’s main objectives of introducing the “Standard Approach for Counterparty Credit Risk” (SA-CCR) were “to devise an approach that is suitable to be applied to a wide variety of derivatives transactions (margined and unmargined, as well as bilateral and cleared); is capable of being implemented simply and easily; addresses known deficiencies of the CEM and the SM; draws on prudential approaches already available in the Basel framework; minimises discretion used by national authorities and banks; and improves the risk sensitivity
of the capital framework without creating undue complexity”.

The Basel Committee is replacing the formulation for the measuring of Exposure At Default (EAD) for Counterparty Credit Risk (CCR).

This method is referred to as the new Standard Approach for Counterparty Credit Risk (SA-CCR). The method will replace the Current Exposure Method (CEM) and the Standard Method (SM). The method was finalised in the document.

To read the full article, download the PDF here >

To find out more about SA-CCR, click here >