New calculation engine available as a cloud-based utility service
Calypso Technology Inc., a leading provider of capital markets software, announced today it is releasing a packaged solution to address the Basel Committee on Banking Supervision’s new requirement for Counterparty Credit Risk. The solution follows the Basel directive BCBS 279, or “The Standardized Approach for Measuring Counterparty Credit Risk Exposures,” otherwise known as SA-CCR.
“The many regulatory initiatives specified by Basel have significantly altered the landscape on the Street. The changes in capital calculations that these models will trigger mean that 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, but they face an urgent need to determine how the new rules will impact their business” — Pedro Porfirio, Chief Product Officer, Calypso Technology.
The new regulation mandates that all banks globally are required to calculate the standardized approach, even if they also use the advanced approach. The implementation deadline is January 2017.
To enable their clients to meet this tight timeline, Calypso has built a comprehensive SA-CCR calculation engine. It will produce Potential Future Exposure, Exposure-at-Default and all Capital calculations with the full granularity specified by regulations. The calculations themselves include netting within asset classes as well as collateral effects at the counterparty level. The solution is available across the entirety of Capital Market products.
“The many regulatory initiatives specified by Basel have significantly altered the landscape on the Street,” said Pedro Porfirio, Chief Product Officer of Calypso Technology. “The changes in capital calculations that these models will trigger mean that 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, but they face an urgent need to determine how the new rules will impact their business.”
The new SA-CCR solution will be offered as a cloud-based utility service run by Calypso. It can also 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,” said Charles Marston, Executive Chairman of Calypso Technology. “However, we understand that each institution has a different IT vision, and we want to provide flexible solutions that work for the entire market,” concluded Marston.
SA-CCR is part of the Calypso Risk & Capital suite which is a comprehensive framework for regulatory calculations across both Market and Counterparty Credit Risk. It builds upon a proven platform for large scale risk calculations to enable financial institutions the clarity they need on capital usage.