SA-CCR Exposure-at-Default Calculator

Computes Standardised Approach for Counterparty Credit Risk (SA-CCR) Exposure at Default for derivatives under Basel IV. Calculates Replacement Cost (RC), Potential Future Exposure (PFE) using supervisory delta, maturity factor, and supervisory factors per asset class. EAD = 1.4 × (RC + PFE). Full formula workings displayed. All client-side — zero data transmitted.

🔒 All inputs are processed locally in your browser. No data is transmitted. Do not enter real personal data — use synthetic or anonymised inputs only.

Regulatory basis — BCBS SA-CCR (March 2014), CRR2 Art. 274–280, Basel IV CRR3 amendments. Alpha = 1.4 (regulatory fixed). Supervisory factors and maturity factors per BCBS SA-CCR Annex 1. Single-trade netting set. For multi-netting-set portfolios, aggregate RC and PFE per counterparty. Deterministic arithmetic · zero PII · CC BY 4.0.

Transaction Inputs

Asset Class

Transaction Type

Notional (£m, adjusted notional for IR = notional × SD)

Remaining Maturity (years)

Mark-to-Market (V) (£m, positive if ITM, negative if OTM)

Collateral Held (C) (£m, VM + IM received, net)

Supervisory Factor (auto)

Netting Set

Yes No

EAD Result — EAD = α × (RC + PFE)

Exposure at Default (EAD)

—

EAD = 1.4 × (RC + PFE)

RC = max(V − C, 0)

PFE = SF × MF × Notional

Parameter Detail

SA-CCR Workings Memo