SA-CCR Counterparty Credit Risk Calculator
Model Replacement Cost (RC), Potential Future Exposure (PFE), regulatory multipliers, and Basel III derivative Exposure at Default (EAD = 1.4 × [RC + PFE]).
Netting Set & Asset Parameters
SA-CCR Exposure & Capital Analytics
Margined Netting SetCounterparty Risk Profile
The portfolio reflects a margined netting set with active CSA variation margin coverage reducing uncollateralized replacement cost.
| SA-CCR Component | Value ($M) | Calculation Basis |
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Sensitivity Matrix: Net MTM Value vs. Collateral Coverage (EAD in $M)
Evaluates Exposure at Default (EAD) across variations in net mark-to-market derivative value (V) and collateral posted (C).
Counterparty Credit Risk & SA-CCR Knowledge Check
Frequently Asked Questions
What is the SA-CCR Exposure at Default (EAD) formula?
Under Basel Committee standards (BCBS 279) and US regulatory rules, Exposure at Default for derivative netting sets is computed as: EAD = alpha * (RC + PFE), where alpha is a supervisory scaling factor fixed at 1.4, RC is the Replacement Cost representing current mark-to-market exposure net of collateral, and PFE is the Potential Future Exposure.
How is the SA-CCR Replacement Cost (RC) calculated?
For unmargined netting sets, RC = max(V - C, 0), where V is the net current market value of all derivatives in the netting set and C is net collateral held. For margined netting sets with a Credit Support Annex (CSA), RC = max(V - C, TH + MTA - NICA, 0), where TH is the collateral threshold, MTA is the minimum transfer amount, and NICA is non-independent collateral.
How does the SA-CCR PFE Multiplier function?
The PFE Multiplier accounts for excess collateral held by the bank. It is calculated as Multiplier = min(1.0, 0.05 + 0.95 * exp((V - C) / (2 * 0.95 * AddOn))). When collateral held substantially exceeds derivative value (V - C < 0), the multiplier decreases toward a floor of 0.05 (a 95% reduction in PFE add-on), acknowledging strong collateral protection.
Why did SA-CCR replace the legacy Current Exposure Method (CEM)?
The legacy Current Exposure Method (CEM) relied on static gross notionals and failed to differentiate between margined and unmargined contracts, ignored negative mark-to-market over-collateralization, and lacked recognition of economic hedging sets. SA-CCR introduces supervisory delta adjustments, maturity scaling, asset-class hedging sets, and a dynamic PFE multiplier.