Software products
SA-CCR, Basic Approach CVA and CCP exposures
An integrated Excel-based calculator for derivative exposures, risk-weighted assets and capital requirements. Built for banks seeking clear calculations and practical support for regulatory reporting.
One Excel-based calculator. Three connected calculations.
Standardised Approach for measuring Counterparty Credit Risk
Measure derivative exposure for counterparty default risk using replacement cost and potential future exposure, with recognised netting, margin and collateral. Derive risk-weighted assets (RWA) and capital requirements.
Basic Approach for Credit Valuation Adjustment
CVA adjusts derivative values for counterparty credit risk. Calculate capital for changes in this adjustment using the reduced Basic Approach, or compare with the 100% CCR capital alternative where eligible.
Central Counterparty
A clearing house between buyers and sellers. Calculate capital for own-account trades and default-fund contributions, distinguishing qualifying and non-qualifying CCPs and applying relevant capital caps.
Reuse portfolio data across CCR and CVA. Follow the calculation from source inputs to reported results, with counterparty detail and reconciliations that help explain the capital drivers.
Apply a consistent framework across bilateral and centrally cleared derivative portfolios. Configure the calculation around the bank's products, legal agreements and reporting requirements.
| Foreign exchange | FX forwards and FX swaps |
|---|---|
| Interest rates | Interest rate swaps, including overnight indexed swaps |
| Cross-currency and basis | Cross-currency swaps and basis swaps |
| Notional profiles | Constant, amortising and other varying-notional structures |
| Central clearing | Own-account CCP-cleared derivatives and default-fund exposures |
For Risk, Finance, Treasury and Internal Audit teams.
Practical implementation
Prepare relevant OJK derivative CCR and CVA reporting sections, supported by counterparty and risk-weight breakdowns. Keep CCP components visible within the reconciliation.
Compare with reference results and investigate the effects of classification, maturity, exposure measurement and portfolio changes using the available supporting detail.
Recalculate exposures and capital to validate existing systems and support internal audit reviews. Use the same framework for recurring calculations and portfolio analysis.
Capacity building is integral to implementation. Data mapping, reconciliation and practical training help bank teams operate the calculator and interpret results.
BetterBankings is a specialist boutique firm in financial risk management and regulatory technology, with a focus on prudential requirements for banks. Our products have been implemented in banks, combining transparent analytical tools with practical support and knowledge transfer.
Explore the calculator with a portfolio relevant to your bank.
info@betterbankings.comFramework references: SEOJK 48/2017 (SA-CCR); SEOJK 24/2021 (credit RWA); SEOJK 23/2022 (CVA); SEOJK 16/2023 (CCP).