Lombard Risk Launches Counterparty Credit Risk Solution
Update to AgileReporter solution covers Basel Committee on Banking Supervision’s regulatory requirements.
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The enhancement to the AgileReporter solution, launched earlier this month, will allow users to comply with Basel III requirements to calculate standardized approach for measuring counterparty credit risk exposures (SA-CCR), providing functionality to automate reporting for clients, capture all relevant asset classes, apply new and more complex calculations, provide internal reports to assist in validation and sign-off before submission to regulators, and deliver transparent lineage between final reported numbers and original raw input data.
SA-CCR requirements are due to come into force on January 1, 2017, and will cover over-the-counter (OTC) derivatives, exchange-traded derivatives (ETDs) and long settlement transactions, replacing the incumbent current exposure method (CEM) and standardized method (SM).
"SA-CCR is one of a sequence of regulatory changes the industry must address as the remainder of Basel III (some may say Basel IV) rolls out from SA-CCR now, to the Fundamental Review of the Trading Book later on, for example," says James Phillips, regulatory strategy director at Lombard Risk. "Firms need to take a long-term view: patching up existing processes with workarounds and temporary solutions is an expensive way of solving one demand at a time and only adds to the pressure already on legacy infrastructure to meet rising demands for data manipulation."
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