SA-CCR — FX treatment¶

This page covers FX derivatives end-to-end through the SA-CCR pipeline: input schema, hedging-set partition, asset-class add-on aggregation, and the worked CCR-A2 acceptance scenario.

Part of the SA-CCR specification set; see also adjusted-notional.md, supervisory-delta.md, maturity-factor.md, hedging-sets.md, ead-composition.md, rc-calculation.md, pfe-multiplier.md, legal-enforceability.md, wrong-way-risk.md, and ccp-exposures.md.

Input — two-leg trade schema¶

FX forwards / FX swaps / cross-currency basis swaps carry two currency legs. TRADE_SCHEMA (src/rwa_calc/data/schemas.py) captures the two legs as:

For non-FX trades (asset_class != "fx"), the two *_leg2 columns are null. Sign convention: notional and notional_leg2 are absolute amounts; direction lives on is_long and flows through supervisory_delta.

The leg ordering is conventional — the engine treats both legs symmetrically. A typical convention is leg 1 = bought currency, leg 2 = sold currency.

Hedging set — Art. 277(3)(a)¶

Each FX trade belongs to one hedging set, keyed on the currency pair:

hedging_set_id = "FX-{netting_set_id}-{min(currency, currency_leg2)}/{max(...)}"

The min/max ordering makes the key order-independent so EUR/USD and USD/EUR trades collapse into a single hedging set within the same netting set. FX has no maturity sub-buckets (unlike IR) — every FX trade in a given pair shares one hedging set regardless of tenor.

Engine: src/rwa_calc/engine/ccr/hedging_sets.py::assign_hedging_set.

Adjusted notional — Art. 279b(1)(b)¶

See adjusted-notional.md for the formula. In short:

• If one leg is the reporting currency, take the other leg converted to the reporting currency at spot.
• If both legs are non-reporting currencies, take the larger of the two converted notionals.

Asset-class add-on — Art. 277a(2) + BCBS CRE52.55¶

For each FX hedging set:

D_HS     = Σ_i ( supervisory_delta_i × adjusted_notional_i × maturity_factor_i )   (signed)
AddOn_HS = SF_FX × |D_HS|                              (SF_FX = 0.04, Art. 280 Table 1)

For each netting set:

AddOn_FX = Σ_HS AddOn_HS                       (simple sum — no cross-HS correlation)

Unlike equity / commodity asset classes (Art. 277a(3) carries a ρ = 0.5 cross-hedging-set correlation), FX is a plain sum across hedging sets per BCBS CRE52.55. Within a hedging set, opposite-direction trades net perfectly via the signed sum of effective notionals.

Engine: src/rwa_calc/engine/ccr/pfe.py::_compute_addon_fx, dispatched from compute_addon_per_asset_class.

CCR-A2 worked example¶

Input fixture (tests/fixtures/ccr/golden_ccr_a2.py):

• Trade T_FX_001: 1-year GBP/USD outright forward, buy USD 100m / sell GBP 80m (implies forward rate 1.25 USD/GBP). At-par (MtM = 0), delta = 1.0.
• Netting set NS_FX_001: counterparty CP_001 (institution, CQS 2, GB), legally enforceable, unmargined.
• FX rates: USD → GBP = 0.80 (spot).
• Reporting date: 2026-01-15. Reporting currency: GBP.

Hand-calc:

adjusted_notional  = |100m USD| × 0.80                         = 80,000,000 GBP   (Art. 279b(1)(b)(i))
business_days_to_maturity (2026-01-15 → 2027-01-15)            ≈ 261 BD           (Mon-Fri)
MF                 = sqrt(min(261, 250) / 250)                  = 1.0             (Art. 279c(1), ≥ 250 BD)
effective_notional = 1.0 × 80,000,000 × 1.0                    = 80,000,000
AddOn_HS           = 0.04 × 80,000,000                         = 3,200,000       (Art. 277a(2))
AddOn_FX           = 3,200,000                                                    (single HS)
RC                 = max(0 − 0, 0)                              = 0               (Art. 275(1))
PFE_multiplier     = min(1, 0.05 + 0.95 × exp(0))               = 1.0             (Art. 278(3))
PFE_addon          = 1.0 × 3,200,000                          = 3,200,000       (Art. 278(1))
EAD                = 1.4 × (0 + 3,200,000)                     = 4,480,000       (Art. 274(2))
RW                 = 0.50                                                         (Art. 120(1) Table 3, CQS 2)
RWA                = 4,480,000 × 0.50                          = 2,240,000 GBP

Pinned by tests/expected_outputs/ccr/CCR-A2.json and the six assertions in tests/acceptance/ccr/test_ccr_a2_unmargined_fx_forward.py.

Out-of-scope / future work¶

• FX options: the existing option_strike / option_type / option_underlying_price columns plus σ_FX = 15% (Art. 279a(2)) already support FX options once leg2 columns are populated. No dedicated FX-option acceptance scenario yet — flagged for a future batch.
• Cross-rate triangulation: the engine requires direct quotes (foreign → base); non-major-pair FX trades (e.g. NOK/SEK with base GBP) will fail the join. Firms supply every required pair, matching the precedent from the EUR/GBP auto-sync at engine/fx_rate_sync.py.
• Specific WWR + FX: the WWR break-out (engine/ccr/wwr.py) treats FX trades identically to IR — a is_specific_wwr=True FX trade lands in its own single-trade synthetic netting set with wwr_lgd_override = 1.0.

References¶

• CRR Art. 274(2) — EAD = α × (RC + PFE).
• CRR Art. 275(1) — unmargined RC = max(V − C, 0).
• CRR Art. 277(3)(a) — FX hedging set = currency pair.
• CRR Art. 277a(2) — hedging-set add-on = SF × |D_HS|.
• CRR Art. 278(1)–(3) — PFE multiplier and PFE composition.
• CRR Art. 279b(1)(b) — FX adjusted notional.
• CRR Art. 279c(1) — unmargined maturity factor.
• CRR Art. 280 Table 1 — SF_FX = 0.04.
• BCBS CRE52.34, CRE52.55 — FX hedging-set partition and add-on aggregation.
• PRA Rulebook — Counterparty Credit Risk (CRR) Part Chapter 3 §§3–5.