SA-CCR Counterparty Credit Risk Exposure Calculation Training Course

Course overview

SA-CCR calculations sit at the point where trading activity, legal documentation, collateral operations and regulatory capital reporting meet. Errors in netting-set identification, collateral recognition, supervisory delta assignment or maturity-factor treatment can materially distort exposure at default (EAD), risk-weighted assets and counterparty limits. This course addresses the practical challenge of translating derivatives portfolios and margin agreements into auditable SA-CCR exposure calculations that risk, finance, treasury and regulatory reporting teams can explain to senior reviewers and supervisors.

Participants work through the SA-CCR framework from transaction data to EAD: replacement cost (RC), potential future exposure (PFE), the PFE multiplier, aggregate add-on, alpha, and the conversion of exposure measures into EAD and capital-relevant outputs. They calculate adjusted notionals, supervisory deltas, maturity factors and asset-class add-ons for interest rate, foreign exchange, credit, equity and commodity derivatives. The programme also examines netting sets, collateral agreements, margined and unmargined transactions, cleared derivatives, and data controls needed to reconcile calculation engines with source systems.

Teaching combines instructor-led technical walkthroughs with spreadsheet-based calculation labs, worked portfolio cases and challenge sessions modelled on validation and regulatory-review questions. Participants build a documented SA-CCR calculation workbook for a multi-asset derivatives portfolio, including assumptions, netting-set mapping, collateral treatment, calculation outputs and control checks. They leave with a repeatable calculation template, a diagnostic checklist for reviewing existing results, and an action plan for applying the method within their own reporting or risk process.

The course is designed for practitioners who already work with derivatives, exposure measurement, counterparty credit risk, prudential capital or collateral data and now need reliable working command of SA-CCR rather than a high-level regulatory introduction.

Course objectives

By the end of this course, participants will be able to:

• Calculate replacement cost and potential future exposure for margined and unmargined netting sets under SA-CCR
• Construct aggregate add-ons using adjusted notionals, supervisory deltas, maturity factors and supervisory factors
• Assign transactions to SA-CCR asset classes, hedging sets and regulatory-defined netting sets
• Apply collateral thresholds, minimum transfer amounts, independent amounts and margin-period-of-risk assumptions
• Derive EAD using the SA-CCR alpha factor and trace its implications for counterparty credit risk capital
• Reconcile SA-CCR inputs and outputs to trade repositories, collateral systems and regulatory reporting data
• Test calculation results through reasonableness checks, sensitivities and exception analysis
• Produce an auditable SA-CCR calculation workbook with documented assumptions and control evidence

Benefits of attending

Target competencies

Who should attend

• Counterparty Credit Risk Managers — who oversee exposure measurement, limit monitoring and CCR methodology
• Market Risk and XVA Analysts — who need to understand regulatory exposure inputs alongside pricing and valuation adjustments
• Regulatory Capital Analysts — who calculate or review EAD and risk-weighted asset reporting for derivatives portfolios
• Credit Risk Analysts — who assess counterparty exposures across netting agreements and collateral arrangements
• Treasury and Collateral Management Professionals — who provide margin, collateral and legal-agreement data used in SA-CCR
• Internal Audit and Model Validation Specialists — who must challenge the design, inputs and controls of SA-CCR processes

Requirements and prerequisites

Participants should have practical familiarity with OTC derivatives terminology, including swaps, forwards, options, notional amounts, mark-to-market values and collateral or margin. They should understand the purpose of counterparty credit risk capital and be comfortable working with formulas, tables and spreadsheet calculations. Prior exposure to ISDA or GMRA documentation, Basel capital rules, regulatory reporting, or a CCR calculation engine is useful but not mandatory. Participants should bring a laptop with Microsoft Excel available. No programming, quantitative finance degree, internal-model-method experience, or prior SA-CCR implementation experience is required.

Training methodology

The instructor develops each formula from the SA-CCR rule text and then applies it to realistic trade and collateral data in Microsoft Excel. Participants complete guided calculation labs for interest rate, FX, credit, equity and commodity portfolios, followed by small-group reviews of netting-set and margin-agreement scenarios. Case discussions focus on common implementation failures, including missing collateral terms, incorrect hedging-set allocation and unexplained EAD movements. On the final day, each participant completes an application plan that identifies the calculations, data owners and controls relevant to their own SA-CCR process.

Course outline

Day 1: SA-CCR framework, scope and exposure architecture

• Purpose of SA-CCR within Basel counterparty credit risk capital rules
• Scope of covered transactions, banking-book treatment and excluded exposures
• SA-CCR formula architecture: alpha, replacement cost, PFE and EAD
• Legal netting sets versus regulatory netting sets
• Margined and unmargined transaction classifications
• Relationship between SA-CCR, current exposure method and internal model method
• Trade, valuation, collateral and legal-documentation data requirements

Workshop: Participants map a sample derivatives inventory into regulatory netting sets and produce a data-gap register for the calculation.

Day 2: Replacement cost and collateral treatment

• Replacement cost calculation for unmargined netting sets
• Replacement cost calculation for margined netting sets
• Recognition of variation margin, independent amount and initial margin
• Thresholds, minimum transfer amounts and net independent collateral amount
• Margin period of risk and its role in exposure measurement
• Cash and non-cash collateral treatment in SA-CCR inputs
• Reconciliation of mark-to-market and collateral balances to source systems

Workshop: Participants calculate replacement cost for three collateralised netting sets and document the effect of disputed collateral and threshold terms.

Day 3: Potential future exposure and asset-class add-ons

• PFE multiplier and the interaction between collateral and aggregate add-on
• Adjusted notional calculation and trade maturity treatment
• Supervisory delta for linear, bought-option and sold-option positions
• Maturity factors for margined and unmargined transactions
• Interest rate derivatives hedging sets and supervisory factors
• Foreign exchange derivatives and currency-pair aggregation
• Credit, equity and commodity derivative add-on calculations

Workshop: Participants build an asset-class add-on schedule for a multi-asset portfolio and reconcile its aggregate add-on to the PFE result.

Day 4: Aggregation, EAD and calculation controls

• Aggregation of add-ons across hedging sets and asset classes
• Treatment of basis, volatility and cross-currency swap features
• Recognition of cleared derivatives and client-clearing structures
• EAD derivation using the SA-CCR alpha factor
• Linking SA-CCR exposure measures to risk-weighted assets and counterparty limits
• Sensitivity analysis for collateral, maturity, netting and portfolio composition changes
• Control framework for source data, calculation engines, overrides and exception management

Workshop: Participants perform an EAD movement analysis, isolate the drivers of change and prepare a concise management explanation.

Day 5: Implementation review and audit-ready application

• SA-CCR implementation workflow from trade capture to regulatory reporting
• Data lineage for trade attributes, valuations, collateral and agreement terms
• Spreadsheet and calculation-engine validation test cases
• Common interpretation errors in supervisory delta and maturity-factor application
• Reviewing netting enforceability and collateral-agreement assumptions
• Model risk, governance and independent review expectations
• Building an audit-ready evidence pack and remediation plan

Workshop: Participants complete and present an auditable SA-CCR calculation workbook and a prioritised implementation-control action plan.

Tools & standards covered

Microsoft Excel, Python, Basel Framework CRE52, CRR Article 274

A typical training day

Live online deliveries follow the same structure in the East Africa Time zone, with shorter screen blocks and longer breaks.

What the fee includes

How you can take this course

Certification

Participants who complete the full five days receive the Skillset Development Certificate of Completion, stating the course title, course code, dates and delivery format — suitable for professional-development records and employer reimbursement.

Frequently asked questions