Calculating SA-CCR

Standardized Approach for measuring Counterparty Credit Risk. This course takes a deep dive into the SA-CCR calculation for practitioners who need to implement the regulations.

Course Launch: September 26, 2023
Course Access: 60 days from September 26 or purchase date, whichever is later
Instructor Access: Sep 26 - Oct 16, 2023


60-day Course Access

Presented by:
Elmarie van Breda
Director, FinRisk

 Session Length:
4 Lessons containing over 80 minutes of lecture
Excel Exercises, Knowledge Checks


About This Course

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

Watch recordings, read related materials, work through exercises, and check your knowledge - all at your convenience and at your own pace. You 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.  Access to the instructor for questions and discussion ends October 16, 2023. 

Participants have access to the course materials for 60 days from launch date or date of purchase, whichever is later.


Who Should Attend

This is an intermediate level course intended for:

  • Counterparty Credit practitioners at financial institutions
  • Head of Credit
  • Credit Risk Consultants
  • Credit Risk Academics
  • Credit Risk Advisors
 Lessons   Topic

Lesson 1
Lesson 2

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

Lesson 3
Lesson 4
  EU Regulation vs. BIS Basel Framework
Practical Application: System Requirements (Pre-requisites to Implementation)

About Our Expert

  Elmarie Van Breda works globally in the banking industry and is currently director of FinRisk. She has held strategic leadership roles with Finastra, Standard Bank, GlaxoSmithKline, Predalgo, Aeriaq, Alloymin, and others. She has led diverse teams and clients with large geographic mandates in systems, improvements, risk management, data and mathematics. Elmarie is a Risk management expert in Credit risk, Market risk, IFRS9, ALM, and Liquidity. She is an experienced architect in the implementation of risk systems and how to use the results to manage sell-side financial risk. With her entrepreneurial spirit she has had involvement in 6 start-ups.

Elmarie holds a Computer Science degree from the University of Stellenbosch with post-graduate studies in Mathematical Statistics, Operations Research, and Financial Trading.

Continued Risk Learning Credits: 1.5

PRMIA Continued Risk Learning (CRL) programs provide you with the opportunity to formally recognize your professional development, documenting your evolution as a risk professional. Employers can see that you are not static, making you a highly valued, dynamic, and desirable employee. The CRL program is open to all Contributing, Sustaining, and Risk Leader members, providing a convenient and easily accessible way to submit, manage, track and document your activities online through the PRMIA CRL Center. To request CRL credits, please email [email protected].

 Membership Type Price
 Member $ 269.00
 Non Member $ 299.00

If this is your first time accessing the PRMIA website you will need to create a short user profile to register. Save on registration by becoming a member.


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9/26/2023 - 10/9/2023
Virtual Course
Online registration not available.

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