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FIS Enterprise Risk Ideas Portal
Created by Jean-Marc Schwob
Created on Aug 14, 2020

SA-CCR Hedging Set Microservice

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 needed for the SA-CCR calculation, i.e. Base or Adjusted Notional, Supervisory Duration, Maturity Factor, Delta, etc.

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