SA CCR for Excel

Access the power of cloud-hosted SA-CCR analytics directly from spreadsheets

For financial firms using SA CCR, we offer a free trial

Start your FREE Trial »

CLARUS Excel Workbook or Add-in

Standardized Approach to Counterparty Credit risk

What-if analysis

Easy to Trial, Purchase and Start Using

Learn about SA CCR


Latest Posts

  • Nov, 29

    OCC Quarterly Report on Bank Derivatives Activities

    Our regular readers will know that the Clarus Blog focuses on Derivatives and the new regulations introduced after the Financial Crisis of 2007-08. The massive increase in availability of data on OTC Derivatives markets is of great interest to us. However at times we are guilty of not paying enough attention to older data sources. […]

    Read more
    Nov, 8

    Bank Ring Fencing – What You Need to Know

    Ring-fencing splits banks into deposit-taking institutions and investment banks. There is more than one way that this can be achieved. The European Commission has decided against ring-fencing. Large UK banks are required to ring-fence their deposit-taking operations from January 2019. The US may include some ring-fencing proposals as they look at financial reforms. Why Do […]

    Read more
  • Oct, 18

    SA-CCR Calculator

    SA-CCR for Excel calculates the Standardised Approach for Credit Risk Use it to reconcile your calculations Or assess the impact of moving to SA-CCR And perform pre-trade what-if analysis Free 14-day trials are available for all financial firms. Background In March 2014, the Basel Committee on Banking Supervision published bcbs279, the Standardised Approach for measuring Counterparty […]

    Read more
    Aug, 16

    Capital and RWA for European Banks

    Following on from my recent Capital Ratios and Risk Weighted Assets for Tier 1 US Banks article I wanted to look at the equivalent metrics from European Banks. Background One of the lessons learned from the Great Financial Crisis was that Banks were generally under capitalised commensurate to their risk exposure, leading to new Basel III regulations […]

    Read more
  • Jun, 21

    Capital Ratios and Risk Weighted Assets for Tier 1 US Banks

    Following on from my recent Supplementary Leverage Ratio: Comparing US Banks article I wanted to look at Capital Ratios and Risk Weighted Assets (RWAs) published by the six largest US banks. Background One of the lessons learned from the Great Financial Crisis (GFC) was that Banks were generally under-capitalised for the risks they were exposed, leading to new […]

    Read more
    Jun, 7

    Supplementary Leverage Ratio: Comparing US Banks

    In my recent Basel III Leverage Ratio article I provided an introduction to this important new metric and today I will look at the Supplementary Leverage Ratio (SLR) disclosures published by the six largest US banks. Background An underlying cause of the global financial crisis was the build-up of excessive on- and off-balance sheet leverage in banks which apparently still […]

    Read more
  • Mar, 13

    SA-CCR – Explaining the Calculations

    Background In March 2014, the Basel Committee on Banking Supervision published bcbs279, the Standardised Approach for measuring Counterparty Credit Risk exposures. SA-CCR replaces the current non-internal model approaches, the Current Exposure Method (CEM) of 1995 and the Standardised Method (SM) of 2005. The majority of banks currently use CEM as relatively few firms have Internal Model Method (IMM) approval […]

    Read more
    Mar, 8

    Basel III Leverage Ratio

    The Basel III Leverage Ratio, often referred to as the Supplementary Leverage Ratio (SLR), is one of the important new metrics introduced as a response to the Financial Crisis of 2007-08 and one which continues to receive a lot of press coverage and discussion. In this article I will provide an overview and some of the […]

    Read more
  • Mar, 3

    Impact Of March 1st VM Regime

    The big VM deadline has come and passed.  Did trading grind to a halt? Prior to the date, based primarily upon what I had read in news articles, I would summarize my sentiment around the VM implementation as: The industry had not gotten through even half of the required new paperwork Large asset managers being […]

    Read more
    Feb, 22

    Capital requirements for exposures to CCPs

    Following on from my article SA-CCR: Standardised Approach Counterparty Credit Risk, I wanted to look at the related topic of Capital requirements for Cleared Swaps and get a sense of the size of these requirements. Background In March 2014, the Basel Committee on Banking Supervision (BCBS) published it’s Standardised Approach (SA-CCR) for measuring exposure at default […]

    Read more