The "Not So Simple" intricacies of measuring exposure

Best practices, interpretations and concepts surfaced by implementing IFPR and comparisons to SA-CCR. Written by Guy Gschwendtner, Suade's Derivative solutions architect, RegTech engineer, and the one in charge of Counterparty credit risk (CCR).

As the Financial Conduct Authority (FCA) published the final set of rules to implement in Q4-2021, Investment Firms are now expected to meet these reporting obligations in 2022. At Suade Labs we have been working with our clients to apply the rules and deliver exposure calculations as required. This was done by ingesting client data sets onto the Suade Platform at the required level of granularity and then using standardised logic and calculation engines to deliver an auditable perspective on Exposures.

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