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Basel III SA-CCR

The Basel Committee on Banking Supervision's Standardised Approach for Counterparty Credit Risk (SA-CCR) is the current global standard for computing counterparty credit risk (CCR) exposure for derivatives and securities financing transactions (SFTs). SA-CCR was finalised in 2014, refined in 2017, and applied in the EU under CRR2, in the UK under UK CRR, in the US under US Basel III (the "Standardised Approach for Counterparty Credit Risk" rule), and across APAC markets under their respective Basel III implementations. Falcon Veritas Intelligence (FVI) provides a SA-CCR engine that computes exposure-at-default (EAD), risk-weighted assets (RWA), and the credit valuation adjustment (CVA) capital charge from the reconciled derivatives ledger.

Scope and applicability​

SA-CCR applies to:

  • Over-the-counter (OTC) derivatives not centrally cleared
  • Exchange-traded derivatives (ETD) where the clearing member faces the CCP
  • Securities financing transactions (SFTs) including repo, reverse repo, securities lending, securities borrowing, margin lending

FVI's SA-CCR module supports all major asset classes (interest rate, credit, equity, FX, commodity) and both bilateral and centrally cleared transactions. The module is calibrated to the SA-CCR formula in Annex IV of CRR2, with jurisdiction-specific overrides (UK PRA, US Federal Reserve, MAS, ASIC, JFSA, etc.).

The SA-CCR formula​

The exposure-at-default (EAD) under SA-CCR is:

EAD = α × (RC + PFE)

Where:

  • α (alpha) = 1.4 (regulatory multiplier)
  • RC (replacement cost) = max(MTM - collateral, 0)
  • PFE (potential future exposure) = sum of add-ons per asset class

The PFE add-on formula varies by asset class:

  1. Interest rate derivatives — supervisory duration × notional × SD factor. FVI's duration calculator pulls real-time yield curves from FVI's pricing service and computes the supervisory duration per the Basel-specified formula.

  2. Credit derivatives — notional × SD factor, with adjustment for the reference entity's credit quality. FVI maintains the credit quality mapping and the SD factor table.

  3. Equity derivatives — market value × SD factor. FVI applies the equity SD factor based on the underlying equity's listing and volatility regime.

  4. FX derivatives — notional × SD factor. FVI applies the FX SD factor based on the volatility regime of the currency pair.

  5. Commodity derivatives — notional × SD factor. FVI applies the commodity SD factor based on the underlying commodity's volatility regime.

Netting set aggregation​

For each counterparty, FVI computes the SA-CCR exposure at the netting set level, applying the Basel-defined rules for netting across asset classes. The hedging recognition rules allow FVI to recognise the offset between an interest rate swap and an interest rate option in the same currency and maturity bucket.

  1. Same currency — FVI applies the cross-currency adjustment for netting across currencies.
  2. Same maturity bucket — FVI applies the maturity bucket adjustment for netting across maturities.
  3. Maturity mismatch — FVI applies the maturity mismatch adjustment per the Basel formula.

How FVI supports SA-CCR​

FVI's SA-CCR module ingests:

  • Reconciled derivatives positions from the FVI ledger of truth
  • Real-time pricing from FVI's pricing service
  • Collateral balances from the FVI collateral module
  • Netting set assignments from the FVI counterparty graph

On every position update, FVI recomputes the SA-CCR exposure at the netting set level, aggregates to the counterparty level, and produces the capital charge. The result is pushed to the FVI compliance console and to the firm's regulatory reporting pipeline.

Step-by-step: enabling SA-CCR monitoring​

  1. Register the tenant. In FVI, navigate to Settings → Compliance → Basel III and enter the jurisdiction (EU CRR2, UK CRR, US Basel III, MAS, ASIC, JFSA, etc.), the firm's prudential classification, and the SA-CCR profile.

  2. Configure netting sets. Wire your netting set assignments from the FVI counterparty graph. Each counterparty has at least one netting set per asset class.

  3. Connect pricing service. Connect FVI's pricing service (or your chosen provider) for real-time rates, FX, equity, and credit pricing.

  4. Configure collateral. Wire your collateral manager to FVI's collateral module. FVI supports all major collateral types: cash, government securities, corporate bonds, equities, gold.

  5. Run a 30-day validation. FVI runs a 30-day dry-run that compares FVI's SA-CCR computation against your existing CCR software. Iterate on the field mapping.

  6. Enable production. Flip the tenant to live. FVI begins real-time SA-CCR monitoring with alerts.

  7. Regulatory reporting. FVI produces the quarterly regulatory report (e.g., COREP, FFIEC 031, APRA ARF 110, etc.) from the SA-CCR engine output.

Code samples​

curl​

curl -X POST https://api.falconveritas.com/v1/compliance/basel-saccr/monitor \
  -H "Authorization: Bearer $FVI_JWT" \
  -H "Content-Type: application/json" \
  -d '{
    "tenantId": "'$FVI_TENANT_ID'",
    "jurisdiction": "EU-CRR2",
    "fromDate": "2026-08-01",
    "toDate": "2026-08-22",
    "idempotencyKey": "saccr-fvi-$RANDOM"
  }'

TypeScript​

import { FVI } from '@falconveritas/sdk';

const fvi = new FVI({
  baseUrl: 'https://api.falconveritas.com',
  bearer: process.env.FVI_JWT!,
  tenantId: process.env.FVI_TENANT_ID!,
});

const monitor = await fvi.compliance.baselSaccr.startMonitoring({
  jurisdiction: 'EU-CRR2',
  fromDate: '2026-08-01',
  toDate: '2026-08-22',
});

console.log('Monitor started:', monitor.id);

Python​

from falconveritas import FVI

client = FVI(
  bearer=os.environ["FVI_JWT"],
  tenant_id=os.environ["FVI_TENANT_ID"],
)

monitor = client.compliance.basel_saccr.start_monitoring(
  jurisdiction="EU-CRR2",
  from_date="2026-08-01",
  to_date="2026-08-22",
)
print("Monitor started:", monitor.id)

Troubleshooting​

Last updated: 2026-08-22 · Page owner: Documentation · Source: src/lib/compliance/basel-saccr/.