Large Exposures

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 calculate and monitor Large Exposures:

• It already caters for counterparty risk, lending risk, and issuer measures

• It features configurable customer hierarchies

• It features an auto-limit framework that would cater for limits expressed as a percentage of the bank's capital

A base Large Exposures solution would require the following enhancements:

• A new 'Overall' measure that consolidates all components of a Large Exposure

• A parallel set of LE compliant measures that mirror internal measures for:

  • OTC Derivatives (SA-CCR)

  • Securities Finance (SFT EAD)

  • Lending /Banking Book

  • Lending Contingent

  • Issuer Risk

  • Issuer Contingent (exposure to issuers of collateral)

• Dedicated Large Exposure customer hierarchy

• Auto-limits expressed as a bank of the bank's capital