SA-CCR Module Now Included in Calypso's Risk and Capital Solutions

By CIOReview | Friday, April 1, 2016
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SAN FRANCISCO, CA: With the aim of addressing the Basel Committee on Banking Supervision's new requirement for Counterparty Credit Risk, Calypso Technology has unveiled an advanced packaged solution. The solution follows The Standardized Approach for Measuring Counterparty Credit Risk Exposures (SA-CCR). The new rule makes it compulsory for all banks across the globe to implement the standardized approach to calculate Counterparty Credit Risk Exposures, even if they also use the advanced approach.

Calypso has designed a comprehensive SA-CCR calculation engine to enable the clients to meet the deadline successfully. Potential Future Exposure, Exposure-at-Default and all Capital calculations are produced by SA-CCR with complete details as specified by regulations. It includes netting within asset classes as well as collateral effects at the counterparty level. Calypso ensures that the solution to be available through the entire Capital Market products. 

"The many regulatory initiatives specified by Basel have significantly altered the landscape on the Street; the banks need a reliable partner to help manage the transition. Not only do they need a robust calculation engine to help them meet the regulatory deadline" says Pedro Porfirio, Chief Product Officer, Calypso Technology.

The Packaged solution will be offered as a cloud-based utility service that can be installed as an enterprise application on the Calypso platform. "This offering extends our existing suite of utility-based solutions. We feel that the utility business model is the future of finance as the industry continues to standardize," states Charles Marston, Executive Chairman, Calypso Technology.

The new solution is a part of the Calypso Risk & Capital suite that is a comprehensive framework for regulatory calculations across both Market and Counterparty Credit Risk. In order to enlighten the financial institutions with the capital usage clarity , the solution is constructed on a proven platform for large scale risk calculations.