Standardised Approach for Counterparty Credit Risk

SA-CCR is the Basel standardised framework for measuring counterparty credit risk exposure arising from transactions subject to counterparty credit risk.

NextPricer applies the SA-CCR methodology at netting-set level, including replacement cost, adjusted notionals, supervisory deltas, maturity factors, hedging-set aggregation and asset-class add-ons.

This release currently supports Interest Rate and Foreign Exchange transactions.