SA-CCR · BIS CRE52 · EBA CRR2
SA-CCR from trade
to capital charge.
The most advanced SA-CCR calculator addressing the hardest challenges of the regulation — complex pay-off replication, dynamic asset class attribution, and pre-trade capital impact directly from your front-office system.
Core Coverage
Full coverage of the regulation — no shortcuts
Tested line-by-line against BIS CRE52 (former BCBS279) and EBA RTS-2019-02 as part of CRR2. All intermediate metrics are accessible for full auditability.
Pay-off Decomposition & Auditability
Complex and exotic payoffs — barrier options, spread products, multi-legged structures — are decomposed on the fly into European options using supervisory volatilities. Every intermediate metric is visible down to the optlet level, enabling full audit trails.
Replacement Cost
- Input or computed by Everix
- Netting & collateral set dependencies
- Comprehensive CSA representation
Dynamic Asset Class Allocation
Hybrid products are classified dynamically using FRTB-like sensitivities and risk weights, following EBA recommendations. Example: a Libor FX Spread Barrier is classified as FX, IR, or both depending on moneyness.
- FRTB-like sensitivities for hybrid products
- EBA asset class allocation rules
- Automatic re-classification on market moves
Tailored Integration
Three ways to connect. One outcome.
Use Everix as a complete SA-CCR platform or as a modular engine extending your existing risk ecosystem. Choose the integration depth that fits your architecture.
Full Compute
Everix handles everything
Provide raw deals and market data. Everix runs the full pipeline: ETL, asset class classification, delta computation, PFE simulation, and RC calculation.
- Raw trades + market data as input
- Everix classifies and prices
- Full audit trail to optlet level
- Output: RWA, RC, PFE, EAD, AddOn
Your Sensitivities
Bring your deltas
Your system provides pre-computed sensitivities. Everix applies FRTB-like classification rules to assign asset classes and computes the regulatory capital.
- Provide FRTB-like sensitivities
- Everix classifies asset classes
- Handles hybrid/cross-asset products
- Reuse existing front-office analytics
Full Data
Maximum control
Provide both classification and sensitivities from your own systems. Everix applies the regulatory formula, aggregates, and outputs capital metrics.
- Bring your own classification
- Provide sensitivities directly
- Everix aggregates and computes
- Minimal footprint, maximum flexibility
Advanced Features
What-If Analysis
- Pre-trade incremental impact
- Market data bumps (curve shifts, surface)
- Trade-level add/remove/modify
- Run via UI or REST API
Marginal SA-CCR
Each trade's marginal contribution to portfolio PFE and Replacement Cost — computed and visible at deal and leg level. Use for charge attribution, limit management, and netting set optimisation.
- PFE reallocation per trade
- RC reallocation per trade
- Drill down to deal & leg level
- Netting set contribution view
SA-CCR Forward
Project your SA-CCR capital cost over the lifetime of the portfolio. Forward RC and PFE are calculated using market data diffusion — giving you a full cost-of-capital curve over time.
- Forward RC based on diffusion
- Forward PFE over trade lifecycle
- Lifetime capital cost forecast
- Integrate into funding cost analysis
Regulatory Compliance
Tested line-by-line.
No interpretation gaps.
Our SA-CCR implementation is validated against the official regulatory frameworks — every formula, every edge case, every exception. Model updates are propagated instantly via the Rix aggregation engine: no redeployment required.
Consolidated View
SA-CCR alongside XVA, IM, and liquidity.
See your SA-CCR capital charge in a unified view with XVA, Initial Margin, and liquidity costs. All charges consolidated at any hierarchy level — portfolio, entity, counterparty, netting set.
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ExploreGet Started
See SA-CCR on your portfolio.
We'll run a demo on a real use case, show you the auditability and pre-trade features, and tell you honestly which integration option fits your stack.