SA-CCR — Adjusted notional (Art. 279b)¶

The adjusted notional is the trade-level scaling factor that converts the raw contract notional into a regulatory-meaningful exposure size. The formula varies by asset class:

Asset class	Formula	CRR reference
`interest_rate`	`d = notional × SD(S, E)`	Art. 279b(1)(a)
`fx`	`d = max(\\|notional_leg_x\\|)` (converted to base)	Art. 279b(1)(b)
`credit`	same as IR with credit-spread duration	Art. 279b(1)(a)
`equity`	`d = market_price × number_of_units`	Art. 279b(1)(c)
`commodity`	`d = market_price × number_of_units`	Art. 279b(1)(c)

The IR and FX branches are implemented; credit / equity / commodity are deferred and currently emit a null adjusted_notional.

Interest rate — Art. 279b(1)(a)¶

SD(S, E) = (exp(-0.05 × S) − exp(-0.05 × E)) / 0.05
d        = notional × SD(S, E)

where:

S = period in years between the trade's reference period start and the reporting date, floored at 10 business days = 10/250 = 0.04y. When the reference period has already started, S is set to 0 before the floor.
E = period in years between the trade's reference period end and the reporting date.

Calendar-day year fractions use 365.25 per the SA-CCR convention; the 10 business day floor uses the 250 business-day-per-year basis (the only business-day calculation in the formula).

Engine: src/rwa_calc/engine/ccr/adjusted_notional.py::compute_adjusted_notional_ir.

FX — Art. 279b(1)(b)¶

FX derivatives have two legs in different currencies. The adjusted notional is taken in the reporting currency (CalculationConfig.base_currency, default "GBP") according to two sub-cases:

(i) One leg is the reporting currency — Art. 279b(1)(b)(i)¶

d = |notional_other_leg| × spot_rate(other_leg_currency → base_currency)

The leg already in the reporting currency is the reference; the other leg's notional is converted to the reporting currency at spot.

(ii) Both legs are non-reporting currencies — Art. 279b(1)(b)(ii)¶

d = max( |notional_leg1| × spot_rate(leg1_currency → base),
         |notional_leg2| × spot_rate(leg2_currency → base) )

Each leg is converted to the reporting currency at spot; the larger of the two converted notionals is taken.

Sign convention¶

The adjusted notional uses absolute values of the leg notionals — the trade's direction lives in is_long / delta and flows through the supervisory delta (Art. 279a) further down the pipeline.

Spot rate sourcing¶

The engine reads spot rates from the fx_rates table (FX_RATES_SCHEMA, columns currency_from, currency_to, rate). Only direct quotes to the reporting currency are used — there is no triangulation through a third currency. Firms must supply every required <foreign_ccy> → <base_ccy> pair; if a rate is missing the row's adjusted_notional is null and the row contributes nothing to the PFE add-on. (The orchestrator will surface a CalculationError for missing rates in a follow-up batch.)

An identity row {currency_from: base_currency, rate_to_base: 1.0} is attached internally so legs already in the reporting currency convert at 1.0 without requiring an explicit row in the input table.

Engine: src/rwa_calc/engine/ccr/adjusted_notional.py::compute_adjusted_notional_fx.

Pipeline ordering¶

trades → years_to_maturity
       → compute_adjusted_notional_ir(reporting_date)
       → compute_adjusted_notional_fx(base_currency, fx_rates)    [if fx_rates is supplied]
       → compute_supervisory_delta_linear
       → compute_maturity_factor_unmargined
       → assign_hedging_set
       → compute_addon_per_asset_class
       → compute_pfe

compute_adjusted_notional_fx is coalesce-safe — it preserves any already-populated adjusted_notional (e.g. from the IR branch) and only fills in FX rows. The orchestrator at engine/ccr/pipeline_adapter.py::ccr_rows_to_exposures skips the FX call entirely when data.fx_rates is None, matching the pre-FX behaviour for firms with no derivatives FX book.

References¶

CRR Art. 279b(1)(a)–(c) — adjusted notional formulas per asset class.
BCBS CRE52.40–42 — adjusted notional and the 250-business-day floor.
BCBS CRE52.34 — FX hedging set is the currency pair (no maturity sub-bucket).
tests/acceptance/ccr/test_ccr_a1_unmargined_ir_swap.py — IR golden values.
tests/acceptance/ccr/test_ccr_a2_unmargined_fx_forward.py — FX golden values.