Standardized Approach for Counterparty Credit Risk (SA-CCR)
See how the transition to SA-CCR opens new possibilities for optimizing risk exposures and decreasing capital costs with TriOptima’s services
For many years, under the Current Exposure Model (CEM), capital costs have largely been driven by total gross notional. However, the SA-CCR regulation shifts the emphasis to risk ‒ especially counterparty exposure. This fundamental change of methodology is likely to change banks’ behavior, and their approach to post-trade portfolio optimization.
The Great Balancing Act: A Discussion about the Interplay Between UMR and SA-CCR
SA-CCR transition overview
Many jurisdictions have adopted SA-CCR over the past few years with the transition from CEM taking place in the EU, UK, and US over the course of 2021. EU banks are required to transition from CEM to SA-CCR by 28 June 2021, while US banks have the option to adopt SA-CCR now with a 1 January 2022 deadline. The transition deadline for UK banks is also 1 January 2022. The change from CEM to SA-CCR moves the emphasis from gross exposures to net exposures.
The SA-CCR measure will from 2023 also define the minimum for IMM-RWA, increasing from 50% in 2023 to 72.5% of SA-CCR in 2028. SA-CCR will play a key role in relation to both RWA and LR and will ultimately impact the amount of capital banks are required to hold.
TriOptima SA-CCR solutions
TriOptima’s multilateral SA-CCR optimization solutions reduce counterparty risk exposures in combination with other key priorities ‒ simplifying OTC derivative portfolios and reducing the costs associated with maintaining them.
Achieve optimal impact on your SA-CCR capital exposure, whilst incorporating the full breadth of TriOptima’s capital optimization through triReduce FX and triBalance.
|Optimization through insertion of offsetting trades||Optimization through compression of risk driving trades|
|Intraday process ‒ no trade level data input required||Utilizing trade data input, with feed from CLS, together with portfolio exposures|
|Highly flexible to address any risk based-based measure||Reduces both SA-CCR exposure and gross notional|
|Hedges rolled and updated from cycle to cycle to:
||Once an exposure has been compressed it will remain compressed|
|STP offered for automatic trade booking||STP trade booking offered for replacement trades|
TriOptima offers a growing network ‒ with 30 current participants ‒ for rebalancing counterparty credit risk, compressing FX forwards, and mitigating SA-CCR exposures via triReduce and triBalance.
- Reduced counterparty credit risk
- Reduced leverage ratio exposure (under SA-CCR)
- Reduced output floor for RWA (under SA-CCR)
- Reduce gross notional and trade count
- Reduce initial margin
- Reduce daily net exposure
- Reduce Risk Weighted Assets (RWA)
- Reduce market contagion
- Reduce systemic risk
Features and benefits
Easy to use
Be live within a day. The web-based service requires no installation and you receive support from our expert team at no additional cost.
Global presence with local expertise (New York, London, Stockholm, Singapore, Tokyo) and 24/5 support.
20 years of experience in post-trade optimization.
A reliable process underpinned by a robust legal framework and ISO 27001 certification since TBC.
A multilateral solution for maximum optimization efficiency.
Scalable, low touch, and consistent while maintaining market risk neutrality.
MORE ABOUT THE SA-CCR TRANSITION
Integrate and extend with innovative services
Explore our comprehensive range of related, intuitive, web-based services.
Counterparty risk and margin optimization – lower IM funding costs and SA-CCR requirements, free up collateral and reduce systemic risk.
Reduce operational risk and cost by lowering gross notional and eliminating line items.