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Misys launches new SA-CCR module on Misys FusionRisk to assist banks achieve Basel-compliant derivatives counterparty standards

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  • Misys packaged solution will help banks comply with Basel Committee’s SA-CCR, the Standard Approach for Counterparty Credit Risk (BCBS 279)

LONDON – Misys, the leading financial software company, announced today that it has launched a new packaged solution to help banks comply with the Basel Committee’s Standardised Approach for Counterparty Credit Risk (SA-CCR).

Misys FusionRisk SA-CCR is a real-time solution that will help banks achieve a consistent and compliant risk policy for derivative counterparty exposures. This is accomplished by allowing a bank to apply the same risk methodology across capital reporting and internal risk limits management. It will hold all the supervisory data required by the regulation, mapping trade information and capturing all asset classes, right netting sets, collateral and margin agreements.

Driven out of the Basel Committee, SA-CCR is a regulation focused on counterparty credit risk exposure associated with OTC derivatives, exchange-traded derivatives and long or dated settlement transactions. The regulator has asked the framework to be changed by 1st January 2017, when SA-CCR will replace the Current Exposure Method (CEM) and the standardised method (SM) in the Basel capital adequacy framework. The regulation will require more data inputs, calculation challenges and granular drill-downs across business lines than before.

The Misys solution has been built with these changes in mind, and with an easy and quick implementation process. The solution is built on the SA-CCR (BCBS 279) specifications and can run exposures in parallel with old and new calculation methods for a smooth transition to the new regulations. Risk managers can analyse and drill down to different levels of exposure and limits in an easy to use and flexible dashboard. The SA-CCR Exposure at Default (EaD) computations are available for all further accounting and regulatory computations such as Risk Weighted Assets, IFRS 13, Credit Value Adjustments (CVA) and others. With full transparency of the calculation methodologies and flexibility to adapt to local regulations, banks are in control at all times and can centrally modify regulatory parameters should the need arise.

Thierry Truche, Global Head of Product Management, Misys FusionRisk, adds: “Regulators are pressing banks to cope urgently with the new Counterparty Credit Risk methodologies. Speed of implementation is critical, consistency with limit management vital and flexibility will be key as further modifications of the methodologies at country level have to be expected. Our solution provides a holistic risk management packaged framework to optimise the allocation of the capital and can be easily deployed to meet the deadline.”

Misys FusionRisk offers a rapid route to compliance, with a unique solution that combines credit, market and liquidity risk and supports assessment of regulatory capital, calculation of liquidity coverage ratios and stress testing.

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