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

Main content of this article is the second picture in this article. Yes, you can just read that picture and ignore the text. SA–CCR: Standardised Approach for Counterparty Credit Risk Exposures.

Background

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

Basel 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