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Basel III Requirements in 2021: SA–CCR Calculation Structure and its SAP Bank Solution

Background

SA–CCR stands for: Standardised Approach for Counterparty Credit Risk Exposures.

As a part of Basel III, SA–CCR will be fully effective in June 2021, and it has been implemented or is being implemented in some medium-sized and large banks, which are among target clients of SAP Bank Solutions.

SA–CCR calculation is relative complicated: from SDL till report it takes about ten layers.  This article tries to provide an overview of the SA–CCR structure in a single picture.

Regarding an overview of Basel III, may read my article:

Basel III Framework High-level Overview, updated in Nov 2020

SA-CCR%20in%20Basel%20IIIBasel III SA–CCR Calculation Structure

The SA-CCR structure, based on BIS regulation:

SA-CCR Solution in SAP Bank

Customizing of SA-CCR in Bank Analyzer (FS-BA) in SAP ECC.

Bank Analyzer (FS-BA)  —-  Processes and Methods  —- Credit Risk  —- Credit Exposure:

  • Settings for Basel II —- Edit Supervisory Factors for Standardized Approach for CCR
  • Settings for Basel II —- Edit Bank-Internal Process Parameters (Germany and EU)
  • Settings for Basel II —- Edit Localization Parameters
  • Settings for Basel II —- Edit Risk Weight
  • Calculation —- Define Calculation Methods
  • Calculation —- Assign Modules to Calculation Methods

Bank Analyzer should be installed before HANA upgrade. The above customization IMG is not available in S/4 default IMG. In case you know how to show Bank Analyzer IMG in S/4, plz kindly let me know. Thank you so much.

SAP provides Key Figures, Characteristics, and SDL for SA-CCR and Credit Exposure. As a reference here we have some of them (by Nov. 2020):

Key Figures and description

  • &62ADAGG SA-CCR Aggregated Add-On Amount
  • &62ADDCOM Add-On Amount for SA-CCR Asset Class “Commodity”
  • &62ADDCRE Add-On Amount for SA-CCR Asset Class “Credit”
  • &62ADDEQU Add-On Amount for SA-CCR Asset Class “Equity”
  • &62ADDFX Add-On Amount for SA-CCR Asset Class “Currency”
  • &62ADINT Add-On Amount for SA-CCR Asset Class “Interest Rate”
  • &62ANCRE Adjusted Notional for Credit Derivatives for SA-CCR

Characteristics and description

  • /BA1/C62ACLCRE SA-CCR Asset Class: Credit
  • /BA1/C62ACLEQU SA-CCR Asset Class: Equity
  • /BA1/C62CCRSUB SA-CCR Subclass
  • /BA1/C62DELCAT SA-CCR Supervisory Delta Category

SDL Fields, Description

  • /BA1/C62ACLCRE SA-CCR Asset Class: Credit
  • /BA1/C62ACLINT SA-CCR Asset Class: Interest Rate

The picture above also represents the IMG configuration route map for SA-CCR in ECC Bank Analyzer.

BIS Regulation: https://www.bis.org/publ/bcbs279.htm

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