Murex has released a new packaged solution for the standard approach for counterparty credit risk (SA-CCR) under Basel III.
The solution will help clients meet the 1 January 2017 deadline for the new rule and provide them with the flexibility to adapt to evolving regulatory requirements.
The MX.3 SA-CCR solution will deliver exposure at default (EAD) as outlined in BCBS 279.
It can be used in various regulatory reporting calculations, such as risk-weighted assets for counterparty credit risk, credit value adjustment capital, central counterparty risk charge or large exposures.
In addition, it will also cover 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.
The SA-CCR solution will deliver EAD calculations in real time, both pre-tade and post-trade. It also enables comparison with other calculation methods such as current exposure method and internal model method.
Marwan Tabet, head of the product division at Murex Risk, commented: “Given the continuing stream and the breadth of change, a fragmented approach to regulations is neither cost-efficient nor sustainable. Our solutions are designed with a holistic approach enabling businesses to optimise risk and balance sheet resources while adapting to global and local regulations as they evolve.”
