On Premises or in the Cloud?

Calculate SA-CCR with marginal and forward metrics

The most advanced SA-CCR calculator implementation addressing main challenges of the regulation: complex pay-offs replication and asset class attribution.

Standardized Approach for Counterparty Credit Risk

Compute your RWA SA-CCR, forecast your capital costs on CSA and reallocated to individual operations. Have a consolidated view with other valuation adjustments and do pre-trade analysis right from your front-office system.

We extensively test our model against BIS framework CRE52 (former BCBS279) following line-by-line the EBA RTS-2019-02 recommendations as part of CRR2.

Regulatory Compliance

Robust Implementation

  • Full asset classes coverage
  • Drill down up to deal and leg level
  • Access to all intermediate metrics
  • Fast model updates using Rix Aggregation Engine

Replacement Cost

  • Comprehensive CSA representation
  • Handling of dependencies between Netting and Collateral sets
  • V (Value), C (Collateral Amount) and NICA as input or computed by Everix

Potential Future Exposure (PFE)

  • Delta computation: on-the-fly decomposition of pay-offs into European Options with supervisory volatility
  • Auditability: granular information on each element of the pay-off decomposition

Dynamic Asset Class Allocation

  • Asset Class Allocation based on EBA recommandations
  • Using FRTB-like sensitivities and risk weights for hybrid products

Tailored Integration

  • Flexible ETL to connect to your upstream and downstream systems
  • Integration options: compute all in Everix or provide data
  • Use Everix as a platform or as a module extending your existing risk eco-system

Tailored Integration

  • Flexible ETL to connect to your upstream and downstream systems
  • Integration options: compute all in Everix or provide data
  • Use Everix as a platform or as a module extending your existing risk eco-system

Tailored Integration

  • Flexible ETL to connect to your upstream and downstream systems
  • Integration options: compute all in Everix or provide data
  • Use Everix as a platform or as a module extending your existing risk eco-system
Advanced Features

What-If Analysis

  • Trade and Market what-if
  • Pre-trade incremental impact estimation
  • Run from Front-Office or Everix
  • Use Everix Risk API to connect to other systems

Marginal SA-CCR

PFE and RC reallocation per trade

Life-time cost : SA-CCR Forward

Forward calculation based on market data diffusion:

  • PFE
  • RC

Consolidated view of all charges

  • XVA
  • IM
  • SA-CCR
  • Liquidity

Where Does it Run?

You can host it at your bank, in your Cloud, in our Cloud or even on a single server.

Learn more

XVA Engine

Flexible XVA Engine

ISDA SIMM™ Initial Margin

Learn about our out-of-the-box implementation of ISDA SIMM™

Rix Aggregation Engine

Learn how we achive high flexibility of our XVA solution with Rix aggregation engine

Get ready to see it in action!

Describe what you need and we will arrange a demo

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