Lombard Risk, a provider of regulatory reporting solutions to the financial services industry, launches an important update to its AgileReporter solution covering SA-CCR, the standardised approach for measuring counterparty credit risk exposures.
SA-CCR, the most pressing of the ongoing Basel reforms, replaces the Current Exposure Method (CEM) and Standardised Method (SM).
Ahead of regulatory deadlines, Lombard Risk’s AgileREPORTER SA-CCR meets the Basel Committee on Banking Supervision’s regulatory requirements. It automates reporting for clients, capturing all relevant asset classes, applies the new and more complex calculations, provides internal reports to assist in validation and sign-off before submission to regulators and delivers transparent lineage between final reported numbers and original raw input data.
In place from 1 January 2017, SA-CCR requires more granular input data and imposes a more complex and fine-tuned computation. It applies to over-the-counter (OTC) derivatives, exchange-traded derivatives and long settlement transactions and will impact all firms that do not have approval for the Internal Model Method (IMM) for OTC transactions.
James Phillips, Regulatory Strategy Director at Lombard Risk said: “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. 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. By re-engineering their approach to regulatory reporting with AgileREPORTER, firms can move towards flexible, agile solutions which support maximum automation.”
The Lombard Risk solution supports parallel running of the current calculation method alongside the new, providing clients with a smooth transition and, through the comprehensive dashboard, risk managers can easily analyse and drill down to different levels of exposure. Lombard Risk can advise clients on the data needed for SA-CCR and recommends that firms plan their automation now.
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