Regulatory Alerts2022-07-11
Added · Updated
Annex IIIa and IIIb-A: Examples of Calculation of Default Risk Exposure under the SA-CCR Approach
This document provides illustrative examples of calculating default risk exposure under the Standardized Approach for Counterparty Credit Risk (SA-CCR). It details the step-by-step computation of replacement cost, add-on, potential future exposure, and final default risk exposure for four scenarios involving unmargined and margined derivative contracts with and without recognized netting. The examples cover interest rate swaps, credit default swaps, equity options, and FX forwards, specifying the formulas and supervisory factors applied to determine the amounts reported in the Return of Capital Adequacy Ratio.
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