SA-CCR (Standardized Approach for Counterparty Credit Risk)
SA-CCR is a Basel Committee on Banking Supervision regulatory framework. It standardizes the calculation of capital requirements for derivative transactions' credit risk exposure. As part of the Basel III framework, it is globally implemented to ensure uniformity in calculating credit risk capital requirements across financial institutions.
Counterparty credit risk refers to the chance of a party in a derivative transaction defaulting before settlement. This risk, often arising from off-balance sheet derivatives trading, must be quantified as exposure at default (EAD) for capital adequacy. Derivatives can be traded through private (OTC) agreements or central counterparties (CCP).
The SA-CCR calculates capital requirements considering factors like derivative type, netting agreements, collateral, potential future exposure, and specific and general risk components of credit risk exposure.
For the SA-CCR regulatory framework, use saccr to create a
saccr object and then use the rc,
addOn,
pfe,
ead,
addOnChart,
eadChart,
pfeChart, and
rcChart
functions.
The SA-CCR Analyzer app uses many of these function to enable you to characterize your exposure at default (EAD) interactively. However, for full flexibility in your workflow, call the functions at the command line.
Apps
| SA-CCR Analyzer | Use SA-CCR framework to compute and analyze exposure at default (Since R2026a) |
Objects
saccr | Create saccr object to support ISDA SA-CCR workflows for credit risk (Since R2024a) |
Functions
Topics
- Explore Exposure at Default and Associated Components Using the SA-CCR Analyzer App
The SA-CCR Analyzer app allows you to visualize Exposure at Default and other associated quantities using an SA-CCR CRIF file or an
saccrobject. - SA-CCR Transactional Elements
SA-CCR concepts for reporting exposure-at-default (EAD).
- Framework for Standardized Approach to Calculating Counterparty Credit Risk: Introduction
The Standardized Approach for Counterparty Credit Risk (SA-CCR) is a framework determining the exposure at default (EAD) of derivative contracts for regulatory capital purposes.
- ISDA SA-CCR CRIF File Specifications
Use the SA-CCR CRIF file specifications for building a CRIF file.
- Create saccr Object and Compute Regulatory Values for Interest-Rate Swap
This example shows how to create a
saccrobject involving a trade for a 10-year interest-rate swap in Euros that is valued in US dollars. - Create saccr Object and Compute Regulatory Values for Forward FX Swap
This example shows how to create a
saccrobject for a trade involving a EUR/GBP forward FX swap with trade decomposition 1b (multiple components). - Create saccr Object and Compute Regulatory Values for Two CDS Trades
This example shows how to create a
saccrobject for trades involving a single name CDS on Spain (Short Protection) and a CDS iTraxx Europe Crossover Index Receiver Option. - Create saccr Object and Compute Regulatory Values for Multiple Asset Classes
This example shows how to create a
saccrobject for trades representing multiple asset classes. - Create saccr Object and Compute Regulatory Values for Multiple Asset Classes with Netting Set
This example shows how to create a
saccrobject for trades from multiple asset classes with a netting set. - Create saccr Object and Compute Regulatory Values for Multiple Asset Classes with Netting Set and Collateral Set
This example shows how to create a
saccrobject for trades from multiple asset classes with a netting set and collateral set. - Create saccr Object and Compute Regulatory Values for Multiple Asset Classes with Netting Set, Collateral Set, and Collateral Positions
This example shows how to create a
saccrobject for trades from multiple asset classes with a netting set, collateral set, and collateral positions. - Create saccr Object and Compute Regulatory Values for Multiple Portfolios Containing Multiple Asset Classes
This example shows how to create a
saccrobject for trades from three portfolios (Portfolios 7, 8, 9), each containing multiple asset classes with a netting set, collateral set, and collateral positions.
