BCBS 279, the Basel Committee’s final text on the Standardised Approach for measuring Counterparty Credit Risk exposures (SA-CCR) raises real challenges for the industry. Tight implementation deadlines are coupled with heavier data management requirements and the necessity to interpret the regulatory rules to adequately map complex or exotic transactions to the appropriate regulatory delta and PFE criteria.
Murex's enterprise-wide SA-CCR solution addresses these challenges by leveraging a highly configurable and version-independent packaging. The solution integrates natively within the MX.3 framework to deliver real-time risk and capital management.
Securing regulatory compliance with optimal time to market
MX.3 provides an out-of-the-box, configuration based solution for easy and timely deployment and supports trades held in MX.3 and in other trading systems. The pre-packaged EAD calculations include mapping facilities for complex and cross-asset products and the centralized configuration offers transparent access to supervisory factors and calculation rules.
Real-time exposures and capital analysis
MX.3 produces SA-CCR & RWA results in real-time and for pre-trade capital consumption analysis. Comparison of SA-CCR, CEM and IMM approaches is available online enabling identification of the optimal counterparty for the trade based on ‘Total cost of Trading’.
MX.3 for Risk Control supports pre-deal limits on SA-CCR, or SA-CCR-derived metrics, along with other internal risk measures, thus enabling real-time regulatory restrictions and alerts.
Transparency through all SA-CCR interim results (directional delta, adjusted notional, supervisory duration, maturity factor, PFE, Replacement Cost, NICA…) and through all netting and hedging sets aggregation levels is available.
If you wish to learn more about our SA-CCR solution, please download the flyer here.
Pre-deal capital impact assessment, online EADs & RWA, Limit impact check, connect multiple Trading and Collateral systems, low latency.
Glass Box Configuration
Out-of-the-box, Configurable, Auditable, Documented, Optimize time-to-market for new products, Packaged feed to downstream systems.
BCBS279 compliant, Vanilla & complex product mapping, Collateral & margining, EAD attribution to trade-level, RWA & other downstream calculations.
Cross asset, Multi-source, Enterprise data repository, Data normalization, Ease of deployment, Ease of integration, Low TCO.
Getting Ready for Basel III SA-CCR
In this video, Murex presents its SA-CCR solution which forms a key component of Basel III.
The enterprise-wide, prepackaged solution enables risk managers to focus on key implementation challenges such as risk factor mapping, choice of delta adjustments and collateral allocation. Impacts on EAD can be assessed on a pre-trade basis.
The SA-CCR solution will help clients to achieve regulatory compliance and provide them with the flexibility to adapt to and exploit evolving regulatory requirements.
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