Lombard Risk Launches Counterparty Credit Risk Solution

The enhancement to the AgileReporter solution, launched earlier this month, will allow users to comply with Basel III requirements to calculate standardized approach for measuring counterparty credit risk exposures (SA-CCR), providing functionality to automate reporting for clients, capture all relevant asset classes, apply new and more complex calculations, provide internal reports to assist in validation and sign-off before submission to regulators, and deliver transparent lineage between final reported numbers and original raw input data.

SA-CCR requirements are due to come into force on January 1, 2017, and will cover over-the-counter (OTC) derivatives, exchange-traded derivatives (ETDs) and long settlement transactions, replacing the incumbent current exposure method (CEM) and standardized method (SM).

"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," says James Phillips, regulatory strategy director at Lombard Risk. "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."