When a counterparty fails to settle a trade, this needs to generate exposure beyond the maturity of the deal. Here are some ideas on how this could be handled in ACR: A new 'Failed Settlement' product could be configured, generating notional expos...
Ability to reserve limit availability for a specific potential deal. This would probably be designed as the ability to save a potential deal with a status of 'Limit Hold', which would generate a special 'projected/pending' limit usage type. There ...
We may need to enhance ACR to have the ability to group netting agreements under 'Cross Product Master Agreements' (CPMA). Apparently such agreements exist to allow netting across different legal agreements with the same Legal Entity, e.g. across ...
Conditional Transition Rights for Limit Applications
We need to add some 'conditions' to the Limit Application Transition Rights (Security Functions), similar to what we already have for Violations and Excesses. For Limit Applications the base criteria should be "Max Severity" and "Max Amount". "Max...
Introduce a Microservice that allocates deals to SA-CCR Netting Sub-Sets and Hedging Sets. Sounds like a logical follow-on from the Microservices work already done on Netting Set allocation. This could be extended to provide any deal-level data ne...
Large Exposure regulations require banks to consolidate all their credit exposures to groups of related entities, and report/control these against limits expressed as a percentage of their Tier 1 Capital. ACR would be an ideal solution to calculat...
Offer an increase in the level of system monitoring, either moving to cover more timezones, i.e. 24X7 instead of 8X5, or increased level of responsibility, i.e. checking known problem areas.
0