The course positions SA-CCR in the Basel framework and looks at the potential uses of SA-CCR’s calculated exposure at default (EAD) for counterparties. The course takes a deep dive into the calculation of SA-CCR in terms of exposure at default (EAD), Replacement cost (RC), potential future exposure (PFE), and AddOns explaining the detail per asset class down to hedging set and trade level. We also summarize the differences between BIS CRE52 framework and the EU SA-CCR regulation. The course concludes with a practical overview, input, and definition requirements which are pre-requisites to implementation.

Learning Objectives

• Describe what SA-CCR is and where the resultants are used
• Understand netting sets and Replacement cost (RC)
• Apply levels of AddOn calculation when calculating PFE - netting sets, asset classes, hedging sets and trade level
• Examine AddOn calculation per Asset Class
• Differentiate between BIS CRE52 framework and EU SA-CCR regulation
• Describe the inputs, definitions, interim results, and outputs of SA-CCR

How It Works

Lessons will be launched on Tuesdays. You have the opportunity to watch recordings, read related materials, work through exercises, and check your knowledge - all at your convenience and at your own pace. You also have the opportunity to ask the instructor questions and collaborate with peers in our online learning platform. Once all required elements of the course are completed, you can download or print a certificate of completion. Participants have access to the course materials for one year. Access to the instructor for questions and discussion ends November 8, 2021. 

• Calculations: Netting Sets and Replacement Costs
• Calculations: PFE Overview
• Asset Class AddOns
• Illustrative Example of SA-CCR Calculation