SA-CCR – Adjusted Notional – All Asset Classes
Introduction Every ADCA in SA-CCR begins with one number: the Adjusted Notional. Before Supervisory Delta, Maturity Factor, or Supervisory Factor
SA-CCR
SACCR – Maturity Factor – Margined, Unmargined, STM and Product Exceptions
Introduction In our SA-CCR series, every Adjusted Derivative Contract Amount (ADCA) is the product of four components: Adjusted Notional, Supervisory
SACCR – Supervisory Delta – Linear, Options, and CDO Tranches
Introduction In our SA-CCR series, every Adjusted Derivative Contract Amount (ADCA) is built from four components multiplied together: Adjusted Notional,
SACCR – Margin Period of Risk (MPOR) – Part 2
In the last article, we read about what is MPOR and how is it used under SA-CCR. Now we will
SACCR – Margin Period of Risk (MPOR) – Part 1
Introduction Every article in this SA-CCR series has used the Maturity Factor to scale each trade’s Adjusted Derivative Contract Amount
General Risk Weights Under the Standardized Approach
Introduction Section 217.32 of Regulation Q — titled simply “General risk weights” — is the backbone of the Standardized Approach
SA-CCR: PFE Multiplier and Final Exposure at Default – Bringing It All Together
Introduction Over the last seven articles in this series, we have built up the exposure calculation from the ground up:
Commodity Asset Class — ADCA and Hedging Set Amount in Full Detail
Introduction The commodity asset class covers derivative contracts referencing energy products, metals, agricultural products, and other physical commodities. This is
Credit Derivative Asset Class — ADCA and Hedging Set Amount in Full Detail
Introduction The credit derivative asset class covers single-name credit default swaps, index CDS, and total return swaps referencing debt instruments.
Equity Asset Class — ADCA and Hedging Set Amount in Full Detail
Introduction The equity asset class covers single stock derivatives, equity index derivatives, equity options, and equity total return swaps. Structurally,