# How Does SA-CCR Account for Different Asset Classes within a Single Netting Set? ▴ Question

**Published:** 2025-08-14
**Categories:** Question

---

![An intricate mechanical assembly reveals the market microstructure of an institutional-grade RFQ protocol engine. It visualizes high-fidelity execution for digital asset derivatives block trades, managing counterparty risk and multi-leg spread strategies within a liquidity pool, embodying a Prime RFQ](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-engine-architecture.jpg)

![Two intertwined, reflective, metallic structures with translucent teal elements at their core, converging on a central nexus against a dark background. This represents a sophisticated RFQ protocol facilitating price discovery within digital asset derivatives markets, denoting high-fidelity execution and institutional-grade systems optimizing capital efficiency via latent liquidity and smart order routing across dark pools](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-rfq-execution-system-architecture.jpg)

## Concept

The Standardised Approach for [Counterparty Credit Risk](https://prime.greeks.live/area/counterparty-credit-risk/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (SA-CCR) provides a unified, risk-sensitive framework for measuring the exposure at default (EAD) for derivatives transactions. It systematically organizes the chaotic landscape of counterparty risk into a coherent structure. At its core, the methodology dissects exposure into two primary components ▴ the Replacement Cost (RC), which captures the current, mark-to-market loss if a counterparty defaults, and the [Potential Future Exposure](https://prime.greeks.live/area/potential-future-exposure/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (PFE), which models the potential increase in that exposure over a one-year horizon. This dual-component approach ensures that the capital held against a counterparty reflects both the present reality of the market and the potential for adverse changes in the future.

A central organizing principle within the [SA-CCR framework](https://prime.greeks.live/question/what-are-the-primary-drivers-of-capital-requirements-under-the-sa-ccr-framework/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) is the [netting set](https://prime.greeks.live/area/netting-set/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite). A netting set is a collection of transactions with a single counterparty that are governed by a legally enforceable bilateral netting agreement. This legal foundation is paramount, as it permits a bank to offset the positive and negative mark-to-market values of all trades within the set, thereby arriving at a single net exposure to that counterparty.

Without such an agreement, each transaction would be treated as its own netting set, dramatically increasing the calculated exposure and the corresponding capital requirements. The framework is designed to recognize the risk-mitigating effects of these legal arrangements, a critical feature for capital efficiency.

> SA-CCR establishes a standardized system for calculating counterparty credit risk by combining current market exposure with a forward-looking measure of potential risk, all within the legally defined boundary of a netting set.

The innovation of SA-CCR lies in how it systematically disaggregates and then re-aggregates risk. While the [Replacement Cost](https://prime.greeks.live/area/replacement-cost/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) is calculated at the level of the entire netting set, the Potential Future Exposure is built from the ground up. It begins by categorizing every transaction within the netting set into one of five distinct asset classes ▴ interest rates, [foreign exchange](https://prime.greeks.live/question/how-does-t1-settlement-impact-foreign-exchange-and-cross-border-funding-operations/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite), credit, equity, and commodities.

This classification is the first step in a granular analysis that recognizes that the risks associated with an interest rate swap behave differently from those of a commodity future. This structured decomposition allows the framework to apply specific risk parameters tailored to the volatility and market dynamics inherent in each [asset class](https://prime.greeks.live/question/what-are-the-key-differences-in-operational-risk-between-a-multi-asset-and-a-single-asset-class-oems/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite), moving beyond the one-size-fits-all models it replaced.

![Two distinct components, beige and green, are securely joined by a polished blue metallic element. This embodies a high-fidelity RFQ protocol for institutional digital asset derivatives, ensuring atomic settlement and optimal liquidity](https://options.greeks.live/wp-content/uploads/2025/07/institutional-rfq-protocol-for-digital-asset-derivatives-high-fidelity-link.jpg)

![A sleek, metallic multi-lens device with glowing blue apertures symbolizes an advanced RFQ protocol engine. Its precision optics enable real-time market microstructure analysis and high-fidelity execution, facilitating automated price discovery and aggregated inquiry within a Prime RFQ](https://options.greeks.live/wp-content/uploads/2025/08/institutional-digital-asset-derivatives-rfq-engine-intelligence-layer.jpg)

## Strategy

The strategic brilliance of the SA-CCR framework is its methodical approach to recognizing diversification and hedging within a multi-asset class portfolio. The system moves beyond a simple summation of risks by introducing the concept of “[hedging sets](https://prime.greeks.live/area/hedging-sets/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite).” A [hedging set](https://prime.greeks.live/area/hedging-set/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) is a further subdivision within an asset class, grouping transactions that share similar underlying risk factors. For instance, within the interest rate asset class, all swaps in the same currency form a single hedging set.

Within the credit asset class, all derivatives referencing the same corporate or sovereign entity form a hedging set. This structure is a direct acknowledgment of a core financial principle ▴ positions within a hedging set can genuinely offset one another, reducing the overall directional risk.

![A glowing blue module with a metallic core and extending probe is set into a pristine white surface. This symbolizes an active institutional RFQ protocol, enabling precise price discovery and high-fidelity execution for digital asset derivatives](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-rfq-protocol-driving-institutional-digital-asset-derivatives-high-fidelity-execution-precise-price-discovery-for-block-trades-and-capital-efficiency.jpg)

## The Architecture of Hedging Sets

The treatment of these hedging sets is where the strategic nuances of [SA-CCR](https://prime.greeks.live/area/sa-ccr/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) become most apparent. The framework dictates how offsetting is recognized, and this varies logically across [asset classes](https://prime.greeks.live/question/what-are-the-primary-data-integrity-challenges-in-implementing-rfm-analysis-across-asset-classes/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite).

- **Interest Rate (IR)** ▴ Hedging sets are defined by currency. Within a single currency (e.g. all USD-denominated swaps), the framework allows for significant offsetting between long and short positions across the yield curve.

- **Foreign Exchange (FX)** ▴ For FX derivatives, a hedging set consists of all trades referencing the same currency pair (e.g. EUR/USD). The model assumes perfect correlation for these trades, allowing for full offsetting.

- **Credit and Equity** ▴ These asset classes group trades by the specific reference entity (e.g. a particular company’s stock or debt). Full offsetting is permitted for trades referencing the same entity. When aggregating across different entities within the asset class, the framework applies a correlation factor that recognizes some, but not perfect, diversification benefits.

- **Commodities** ▴ This is the most granular asset class, with four broad categories (energy, metals, agriculture, other). Within each category, hedging sets are based on the specific commodity type (e.g. crude oil, gold). Full offsetting is allowed for the same commodity type, with partial offsetting recognized across different types within the same category.

![A pristine teal sphere, symbolizing an optimal RFQ block trade or specific digital asset derivative, rests within a sophisticated institutional execution framework. A black algorithmic routing interface divides this principal's position from a granular grey surface, representing dynamic market microstructure and latent liquidity, ensuring high-fidelity execution](https://options.greeks.live/wp-content/uploads/2025/07/institutional-rfq-protocol-precision-for-digital-asset-derivatives-execution.jpg)

## Calculating the Potential Future Exposure Add-On

The PFE component is not a single, monolithic value. It is constructed by first calculating an “add-on” for each asset class. This process begins at the trade level, where an “[effective notional](https://prime.greeks.live/question/what-are-the-primary-regulatory-hurdles-for-implementing-a-notional-pool-in-europe/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite)” is determined.

This value is a measure of the trade’s sensitivity to underlying risk factors and is calculated by multiplying the trade’s adjusted notional amount by a supervisory-defined delta and a maturity factor. The maturity factor accounts for the time decay of risk, scaling down the exposure for shorter-dated trades.

> The framework’s strategic design allows for controlled offsetting within defined hedging sets, ensuring that risk aggregation reflects genuine economic relationships between trades.

Once the effective notional for each trade is established, these are aggregated within each hedging set. The result is then multiplied by a “[supervisory factor](https://prime.greeks.live/area/supervisory-factor/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite)” (SF), a value calibrated to the historical volatility of that specific asset class. The sum of these hedging set calculations produces the total add-on for the asset class. Finally, the add-ons for all five asset classes are aggregated to arrive at the total PFE for the netting set.

This final aggregation step itself includes correlation parameters, acknowledging that a crisis in the equity markets does not perfectly correlate with a crisis in the commodities markets. This multi-layered aggregation, from trade to hedging set to asset class to netting set, is what makes SA-CCR a more risk-sensitive and strategically sophisticated measure than its predecessors.

The table below outlines the supervisory factors (SF) applied to each asset class, illustrating the different risk weights assigned by the framework.

| Asset Class | Supervisory Factor (SF) | Primary Risk Driver |
| --- | --- | --- |
| Interest Rate | 0.5% | Parallel shifts in the yield curve |
| Foreign Exchange | 4.0% | Volatility of the currency pair |
| Credit (Investment Grade) | 0.38% | Credit spread of the reference entity |
| Credit (High Yield) | 1.38% | Higher credit spread volatility |
| Equity (Single Name) | 32% | Volatility of the underlying stock price |
| Commodity (Energy) | 40% | Price volatility of energy products |
| Commodity (Metals) | 20% | Price volatility of precious and base metals |

![A precision internal mechanism for 'Institutional Digital Asset Derivatives' 'Prime RFQ'. White casing holds dark blue 'algorithmic trading' logic and a teal 'multi-leg spread' module](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-rfq-engine-high-fidelity-execution-liquidity-aggregation.jpg)

![Modular circuit panels, two with teal traces, converge around a central metallic anchor. This symbolizes core architecture for institutional digital asset derivatives, representing a Principal's Prime RFQ framework, enabling high-fidelity execution and RFQ protocols](https://options.greeks.live/wp-content/uploads/2025/08/institutional-digital-asset-derivatives-rfq-protocol-engine-prime-os.jpg)

## Execution

Executing the SA-CCR calculation for a multi-asset class netting set is a precise, data-intensive process. It requires a systematic approach to data aggregation, classification, and computation. Financial institutions must build robust operational workflows to ensure that every derivative is correctly categorized and every calculation step is performed in the correct sequence. This operational rigor is the foundation upon which accurate capital measurement rests.

![A spherical Liquidity Pool is bisected by a metallic diagonal bar, symbolizing an RFQ Protocol and its Market Microstructure. Imperfections on the bar represent Slippage challenges in High-Fidelity Execution](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-execution-optimization-within-principals-market-microstructure-framework.jpg)

## The Operational Playbook

Implementing the SA-CCR calculation involves a clear, sequential process. The following steps provide a high-level operational guide for processing a single netting set containing a diverse portfolio of derivatives.

- **Data Ingestion and Validation** ▴ The process begins with the collection of all trade data for a given counterparty. This includes economic terms (notional, maturity, underlying), legal agreement identifiers, and current mark-to-market (MtM) values. All data must be validated for completeness and accuracy.

- **Netting Set Confirmation** ▴ All trades must be mapped to a legally enforceable netting agreement. This step is critical and requires integration with legal and collateral management systems to confirm the scope of each netting set.

- **Replacement Cost (RC) Calculation** ▴ For the entire netting set, sum the positive MtM values of all trades. Subtract the value of any net collateral posted by the counterparty. The result is the Replacement Cost, which is floored at zero.

- **Asset Class and Hedging Set Classification** ▴ Each individual trade within the netting set must be categorized into one of the five SA-CCR asset classes. Following this, each trade is assigned to a specific hedging set based on its underlying risk factors (e.g. currency for IR, reference entity for Credit).

- **Trade-Level Effective Notional Calculation** ▴ For each trade, calculate the effective notional amount. This involves adjusting the stated notional for the trade’s remaining maturity and multiplying it by a supervisory delta adjustment to reflect its directionality (long or short) and instrument type (e.g. linear vs. option).

- **Hedging Set Aggregation** ▴ Within each hedging set, aggregate the effective notional amounts. The rules for aggregation vary; for instance, in an interest rate hedging set, the absolute values are summed.

- **[Asset Class Add-on](https://prime.greeks.live/area/asset-class-add-on/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) Calculation** ▴ Multiply the aggregated effective notional for each hedging set by the corresponding Supervisory Factor (SF). Sum the results for all hedging sets within an asset class to determine the total add-on for that asset class.

- **Aggregate PFE Add-on** ▴ Sum the add-ons calculated for each of the five asset classes. This step involves a specific formula that uses correlation parameters to recognize diversification benefits between the different asset classes.

- **Final EAD Calculation** ▴ The final [Exposure at Default](https://prime.greeks.live/area/exposure-at-default/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (EAD) is calculated as ▴ EAD = 1.4 (RC + PFE). The 1.4 alpha factor is a supervisory overlay intended to capture model risks and other potential sources of error.

![Central institutional Prime RFQ, a segmented sphere, anchors digital asset derivatives liquidity. Intersecting beams signify high-fidelity RFQ protocols for multi-leg spread execution, price discovery, and counterparty risk mitigation](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-cross-asset-rfq-execution-hub.jpg)

## Quantitative Modeling and Data Analysis

To illustrate the process, consider a simplified netting set with a corporate counterparty. The netting set contains three derivatives:

- A 5-year USD Interest Rate Swap (IRS) with a notional of $100 million.

- A 1-year EUR/USD Foreign Exchange (FX) Forward with a notional of €50 million.

- A 2-year Credit Default Swap (CDS) on an investment-grade corporation with a notional of $20 million.

The table below provides a hypothetical breakdown of the PFE add-on calculation for this netting set.

| Trade Type | Asset Class | Hedging Set | Adjusted Notional ($M) | Supervisory Factor (SF) | Asset Class Add-on ($M) |
| --- | --- | --- | --- | --- | --- |
| USD IRS | Interest Rate | USD Currency | $86.6M | 0.50% | $0.433M |
| EUR/USD FX Fwd | Foreign Exchange | EUR/USD Pair | $55.0M | 4.00% | $2.200M |
| IG CDS | Credit | IG Corp XYZ | $17.3M | 0.38% | $0.066M |
| Total | N/A | N/A | N/A | N/A | $2.70M (Post-Aggregation) |

In this example, the individual asset class add-ons are calculated first. The total PFE is then derived by aggregating these values using the SA-CCR formula, which incorporates correlation parameters between the asset classes. Assuming a Replacement Cost of $1.5M, the final EAD would be 1.4 ($1.5M + $2.70M) = $5.88M.

![A sharp, teal blade precisely dissects a cylindrical conduit. This visualizes surgical high-fidelity execution of block trades for institutional digital asset derivatives](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-precision-execution-microstructure.jpg)

## Predictive Scenario Analysis

Consider a scenario where the corporate counterparty in our example decides to add a new trade to the netting set ▴ a long-dated equity option on a major stock index. This action would introduce a fourth asset class ▴ Equity ▴ into the netting set. The operational workflow would immediately classify this new trade. The system would calculate its effective notional based on the option’s delta and maturity.

A new add-on for the Equity asset class would be computed by applying the high supervisory factor (e.g. 32%) associated with equity volatility. This new add-on would then be included in the aggregate PFE calculation. The result would be a significant increase in the total PFE, reflecting the introduction of a new, uncorrelated, and highly volatile risk factor.

The EAD would rise, and the bank would need to hold more [regulatory capital](https://prime.greeks.live/area/regulatory-capital/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) against this counterparty. This demonstrates how the SA-CCR framework dynamically adjusts to changes in the portfolio’s risk profile, providing a real-time measure of potential exposure.

![The abstract composition visualizes interconnected liquidity pools and price discovery mechanisms within institutional digital asset derivatives trading. Transparent layers and sharp elements symbolize high-fidelity execution of multi-leg spreads via RFQ protocols, emphasizing capital efficiency and optimized market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocols-market-microstructure-1.jpg)

## System Integration and Technological Architecture

A robust SA-CCR implementation requires a sophisticated technology stack. The core of this architecture is a powerful risk engine capable of performing the complex calculations at scale and speed. This engine must be fed by several critical data streams:

- **Trade Capture Systems** ▴ These systems provide the raw economic details of every derivative transaction. Data quality and timeliness are essential.

- **Collateral Management Systems** ▴ These platforms track the value of collateral posted and received, which is a direct input into the Replacement Cost calculation.

- **Market Data Systems** ▴ Real-time and historical market data are needed to calculate mark-to-market values and to feed the models that determine supervisory delta adjustments.

- **Legal Data Repository** ▴ A centralized database of netting agreements is required to correctly define the boundaries of each netting set.

These systems must be tightly integrated, allowing for a seamless flow of data into the SA-CCR engine. The output of the engine ▴ the calculated EAD for every netting set ▴ is then passed to the bank’s regulatory reporting and capital management systems. The entire architecture must be designed for scalability, capable of handling tens of thousands of trades across thousands of counterparties on a daily basis, while also providing the granularity needed for risk managers to drill down into the drivers of counterparty exposure.

![A polished blue sphere representing a digital asset derivative rests on a metallic ring, symbolizing market microstructure and RFQ protocols, supported by a foundational beige sphere, an institutional liquidity pool. A smaller blue sphere floats above, denoting atomic settlement or a private quotation within a Principal's Prime RFQ for high-fidelity execution](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-market-microstructure-and-rfq-protocols.jpg)

## References

- Basel Committee on Banking Supervision. “The standardised approach for measuring counterparty credit risk exposures.” Bank for International Settlements, 2014.

- Basel Committee on Banking Supervision. “CRE52 ▴ Standardised Approach to counterparty credit risk.” Bank for International Settlements, 2020.

- Treliant. “SA-CCR Final Rule ▴ How Does It Work?” Treliant, 2020.

- Federal Deposit Insurance Corporation. “Standardized Approach for Counterparty Credit Risk (SA-CCR).” FDIC, 2020.

- Finalyse. “SA-CCR ▴ The New Standardised Approach to Counterparty Credit Risk.” Finalyse, 2022.

- O’Brien, D. and K. W. T. Tan. “A guide to the standardised approach for counterparty credit risk (SA-CCR).” Journal of Risk Management in Financial Institutions, vol. 9, no. 1, 2016, pp. 77-94.

- Pykhtin, Michael. “A Guide to the Standardised Approach for Counterparty Credit Risk.” Risk Books, 2016.

- Canabarro, E. and D. Duffie. “Measuring and Marking Counterparty Risk.” In Asset/Liability Management for Financial Institutions, edited by L. Tilman, Euromoney, 2003.

![A translucent sphere with intricate metallic rings, an 'intelligence layer' core, is bisected by a sleek, reflective blade. This visual embodies an 'institutional grade' 'Prime RFQ' enabling 'high-fidelity execution' of 'digital asset derivatives' via 'private quotation' and 'RFQ protocols', optimizing 'capital efficiency' and 'market microstructure' for 'block trade' operations](https://options.greeks.live/wp-content/uploads/2025/07/precision-rfq-engine-for-digital-asset-derivatives-best-execution.jpg)

## Reflection

Mastering the SA-CCR framework transcends mere regulatory compliance. It represents a fundamental shift in how a financial institution perceives and quantifies risk within its derivatives portfolio. The granular, multi-layered approach to exposure calculation provides a lens through which risk managers can identify concentrations, understand the true economic impact of hedging strategies, and price new transactions with greater precision. The discipline required to implement SA-CCR ▴ the integration of legal, collateral, and trade data ▴ builds a foundational capability.

This capability allows an institution to move beyond a static, end-of-day reporting exercise and toward a dynamic, intra-day understanding of its risk landscape. The ultimate advantage lies not in the calculation itself, but in the strategic insights that a well-architected SA-CCR system can provide, turning a regulatory requirement into a competitive edge in capital allocation and risk management.

![Circular forms symbolize digital asset liquidity pools, precisely intersected by an RFQ execution conduit. Angular planes define algorithmic trading parameters for block trade segmentation, facilitating price discovery](https://options.greeks.live/wp-content/uploads/2025/07/optimized-digital-asset-rfq-execution-latent-liquidity-capture-protocol.jpg)

## Glossary

<a href="https://prime.greeks.live/area/potential-future-exposure/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A precision-engineered interface for institutional digital asset derivatives. A circular system component, perhaps an Execution Management System EMS module, connects via a multi-faceted Request for Quote RFQ protocol bridge to a distinct teal capsule, symbolizing a bespoke block trade](https://options.greeks.live/wp-content/uploads/2025/07/precision-engineered-interface-for-institutional-digital-asset-derivatives-request-for-quote-protocol-high-fidelity-execution-within-principal-operating-system.jpg)

## Potential Future Exposure

Meaning ▴ Potential Future Exposure (PFE) quantifies the maximum expected credit exposure to a counterparty over a specified future time horizon, within a given statistical confidence level. </a><a href="https://prime.greeks.live/area/counterparty-credit-risk/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Segmented circular object, representing diverse digital asset derivatives liquidity pools, rests on institutional-grade mechanism. Central ring signifies robust price discovery a diagonal line depicts RFQ inquiry pathway, ensuring high-fidelity execution via Prime RFQ](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-engine-for-high-fidelity-execution.jpg)

## Counterparty Credit Risk

Meaning ▴ Counterparty Credit Risk quantifies the potential for financial loss arising from a counterparty's failure to fulfill its contractual obligations before a transaction's final settlement. </a><a href="https://prime.greeks.live/question/what-are-the-primary-drivers-of-capital-requirements-under-the-sa-ccr-framework/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A crystalline sphere, representing aggregated price discovery and implied volatility, rests precisely on a secure execution rail. This symbolizes a Principal's high-fidelity execution within a sophisticated digital asset derivatives framework, connecting a prime brokerage gateway to a robust liquidity pipeline, ensuring atomic settlement and minimal slippage for institutional block trades](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-execution-platform-optimizing-liquidity-and-risk-management-through-advanced-protocols.jpg)

## Sa-Ccr Framework

SA-CCR capital is driven by the sum of current market exposure and potential future exposure, scaled by a fixed supervisory multiplier. </a><a href="https://prime.greeks.live/area/netting-set/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sleek, segmented capsule, slightly ajar, embodies a secure RFQ protocol for institutional digital asset derivatives. It facilitates private quotation and high-fidelity execution of multi-leg spreads a blurred blue sphere signifies dynamic price discovery and atomic settlement within a Prime RFQ](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-digital-asset-derivatives-rfq-protocol-high-fidelity-execution-3.jpg)

## Netting Set

Meaning ▴ A Netting Set defines a legally enforceable aggregation of financial obligations and receivables between two counterparties, typically under a single master agreement such as an ISDA Master Agreement. </a><a href="https://prime.greeks.live/question/how-does-t1-settlement-impact-foreign-exchange-and-cross-border-funding-operations/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A polished Prime RFQ surface frames a glowing blue sphere, symbolizing a deep liquidity pool. Its precision fins suggest algorithmic price discovery and high-fidelity execution within an RFQ protocol](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-intelligence.jpg)

## Foreign Exchange

T+1 settlement compresses funding timelines, demanding pre-funded liquidity or automated, real-time FX execution to mitigate cross-border operational risk. </a><a href="https://prime.greeks.live/area/replacement-cost/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A luminous teal sphere, representing a digital asset derivative private quotation, rests on an RFQ protocol channel. A metallic element signifies the algorithmic trading engine and robust portfolio margin](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-microstructure-optimizing-prime-os.jpg)

## Replacement Cost

Meaning ▴ Replacement Cost quantifies the current economic value required to substitute an existing financial contract, typically a derivative, with an identical one at prevailing market prices. </a><a href="https://prime.greeks.live/question/what-are-the-key-differences-in-operational-risk-between-a-multi-asset-and-a-single-asset-class-oems/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A curved grey surface anchors a translucent blue disk, pierced by a sharp green financial instrument and two silver stylus elements. This visualizes a precise RFQ protocol for institutional digital asset derivatives, enabling liquidity aggregation, high-fidelity execution, price discovery, and algorithmic trading within market microstructure via a Principal's operational framework](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-high-fidelity-execution-via-rfq-protocols-optimizing-market-microstructure-and-price-discovery.jpg)

## Asset Class

A multi-asset OEMS elevates operational risk from managing linear process failures to governing systemic, cross-contagion events. </a><a href="https://prime.greeks.live/area/hedging-sets/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A light sphere, representing a Principal's digital asset, is integrated into an angular blue RFQ protocol framework. Sharp fins symbolize high-fidelity execution and price discovery](https://options.greeks.live/wp-content/uploads/2025/07/principals-core-asset-rfq-protocol-framework-for-digital-derivatives.jpg)

## Hedging Sets

Meaning ▴ A Hedging Set comprises an engineered collection of derivative or spot positions, algorithmically managed to systematically offset specific market exposures. </a><a href="https://prime.greeks.live/area/hedging-set/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Sleek, dark grey mechanism, pivoted centrally, embodies an RFQ protocol engine for institutional digital asset derivatives. Diagonally intersecting planes of dark, beige, teal symbolize diverse liquidity pools and complex market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-engine-powering-high-fidelity-execution-for-multi-leg-spreads-portfolio-margin-and-atomic-settlement-via-prime-os-for-block-trades.jpg)

## Hedging Set

Meaning ▴ A Hedging Set denotes a specifically configured collection of financial instruments assembled to neutralize or mitigate specific risk exposures arising from an existing or anticipated portfolio position. </a><a href="https://prime.greeks.live/question/what-are-the-primary-data-integrity-challenges-in-implementing-rfm-analysis-across-asset-classes/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Abstract composition features two intersecting, sharp-edged planes—one dark, one light—representing distinct liquidity pools or multi-leg spreads. Translucent spherical elements, symbolizing digital asset derivatives and price discovery, balance on this intersection, reflecting complex market microstructure and optimal RFQ protocol execution](https://options.greeks.live/wp-content/uploads/2025/07/precision-digital-asset-derivatives-rfq-execution-market-microstructure.jpg)

## Asset Classes

Implementing RFM across asset classes demands a unified data fabric to resolve systemic fragmentation and unlock true behavioral insights. </a><a href="https://prime.greeks.live/area/sa-ccr/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sleek blue and white mechanism with a focused lens symbolizes Pre-Trade Analytics for Digital Asset Derivatives. A glowing turquoise sphere represents a Block Trade within a Liquidity Pool, demonstrating High-Fidelity Execution via RFQ protocol for Price Discovery in Dark Pool Market Microstructure](https://options.greeks.live/wp-content/uploads/2025/07/advanced-institutional-digital-asset-derivatives-rfq-execution-system-for-optimal-price-discovery-and-high-fidelity-execution.jpg)

## Sa-Ccr

Meaning ▴ The Standardized Approach for Counterparty Credit Risk (SA-CCR) represents a regulatory methodology within the Basel III framework, designed to compute the capital requirements for counterparty credit risk exposures stemming from derivatives and securities financing transactions. </a><a href="https://prime.greeks.live/question/what-are-the-primary-regulatory-hurdles-for-implementing-a-notional-pool-in-europe/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A precise, metallic central mechanism with radiating blades on a dark background represents an Institutional Grade Crypto Derivatives OS. It signifies high-fidelity execution for multi-leg spreads via RFQ protocols, optimizing market microstructure for price discovery and capital efficiency](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-system-microstructure-hub.jpg)

## Effective Notional

Implementing a European notional pool requires navigating Basel III capital adequacy rules and a fragmented landscape of national tax laws. </a><a href="https://prime.greeks.live/area/supervisory-factor/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A translucent, faceted sphere, representing a digital asset derivative block trade, traverses a precision-engineered track. This signifies high-fidelity execution via an RFQ protocol, optimizing liquidity aggregation, price discovery, and capital efficiency within institutional market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-block-trade-high-fidelity-execution-protocol-prime-os-path.jpg)

## Supervisory Factor

Meaning ▴ The Supervisory Factor represents a specific scalar multiplier applied to the risk-weighted assets or capital requirements associated with particular exposures, typically within the context of institutional balance sheet management for digital asset derivatives. </a><a href="https://prime.greeks.live/area/asset-class-add-on/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Sharp, intersecting metallic silver, teal, blue, and beige planes converge, illustrating complex liquidity pools and order book dynamics in institutional trading. This form embodies high-fidelity execution and atomic settlement for digital asset derivatives via RFQ protocols, optimized by a Principal's operational framework](https://options.greeks.live/wp-content/uploads/2025/07/institutional-grade-digital-asset-derivatives-market-microstructure-high-fidelity-execution-across-multi-leg-spread-rfq-protocol-orchestration-within-principals-operational-framework.jpg)

## Asset Class Add-On

Meaning ▴ An Asset Class Add-On represents a discrete functional module or systemic capability designed to extend the operational scope of an existing institutional trading and post-trade infrastructure to accommodate a novel asset class, specifically within the domain of digital asset derivatives. </a><a href="https://prime.greeks.live/area/exposure-at-default/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Abstract geometric forms, symbolizing bilateral quotation and multi-leg spread components, precisely interact with robust institutional-grade infrastructure. This represents a Crypto Derivatives OS facilitating high-fidelity execution via an RFQ workflow, optimizing capital efficiency and price discovery](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-engine-infrastructure.jpg)

## Exposure at Default

Meaning ▴ Exposure at Default (EAD) quantifies the expected gross value of an exposure to a counterparty at the precise moment that counterparty defaults. </a><a href="https://prime.greeks.live/area/regulatory-capital/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Abstract intersecting geometric forms, deep blue and light beige, represent advanced RFQ protocols for institutional digital asset derivatives. These forms signify multi-leg execution strategies, principal liquidity aggregation, and high-fidelity algorithmic pricing against a textured global market sphere, reflecting robust market microstructure and intelligence layer](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-multi-leg-execution-algorithmic-pricing-global-liquidity-principal-trading-systemic-integration-high-fidelity-execution.jpg)

## Regulatory Capital

Meaning ▴ Regulatory Capital represents the minimum amount of financial resources a regulated entity, such as a bank or brokerage, must hold to absorb potential losses from its operations and exposures, thereby safeguarding solvency and systemic stability. </a>

**Tags:** [SA-CCR](https://options.greeks.live/area/sa-ccr/), [Commodity Derivatives](https://options.greeks.live/area/commodity-derivatives/), [Exposure at Default](https://options.greeks.live/area/exposure-at-default/), [Credit Derivatives](https://options.greeks.live/area/credit-derivatives/), [Credit Risk](https://options.greeks.live/area/credit-risk/), [Hedging Set](https://options.greeks.live/area/hedging-set/)	

## Discover More

- 
### [How Does the Calibration Frequency Impact the Performance of a Counterparty Scoring System?](https://options.greeks.live/question/how-does-the-calibration-frequency-impact-the-performance-of-a-counterparty-scoring-system/)
![A luminous teal bar traverses a dark, textured metallic surface with scattered water droplets. This represents the precise, high-fidelity execution of an institutional block trade via a Prime RFQ, illustrating real-time price discovery. The droplets symbolize dynamic market microstructure and managed latent liquidity, crucial for optimal capital efficiency in digital asset derivatives RFQ protocols.](https://options.greeks.live/wp-content/uploads/2025/07/high-fidelity-real-time-institutional-digital-asset-rfq-execution-stream-visualizing-prime-os-liquidity-flow.jpg)

Calibration frequency dictates a model's relevance, balancing real-time accuracy against operational stability.

- 
### [What Are the Core Data and System Integration Challenges When Implementing the SA-CVA Framework?](https://options.greeks.live/question/what-are-the-core-data-and-system-integration-challenges-when-implementing-the-sa-cva-framework/)
![A dark, precision-engineered module with raised circular elements integrates with a smooth beige housing. It signifies high-fidelity execution for institutional RFQ protocols, ensuring robust price discovery and capital efficiency in digital asset derivatives market microstructure.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-rfq-system-core-high-speed-price-discovery-module.jpg)

The SA-CVA framework's core challenge is integrating siloed data to build a dynamic, sensitivity-based view of counterparty risk.

- 
### [What Are the Operational Hurdles to Implementing the New SA-CCR Risk Weights?](https://options.greeks.live/question/what-are-the-operational-hurdles-to-implementing-the-new-sa-ccr-risk-weights/)
![Abstract geometric forms, symbolizing bilateral quotation and multi-leg spread components, precisely interact with robust institutional-grade infrastructure. This represents a Crypto Derivatives OS facilitating high-fidelity execution via an RFQ workflow, optimizing capital efficiency and price discovery.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-engine-infrastructure.jpg)

SA-CCR implementation requires a systemic overhaul of data infrastructure and computational frameworks to manage capital with precision.

- 
### [How Do Central Clearing Mandates Affect the Calculation of CVA for Both Accounting and Regulatory Purposes?](https://options.greeks.live/question/how-do-central-clearing-mandates-affect-the-calculation-of-cva-for-both-accounting-and-regulatory-purposes/)
![Prime RFQ visualizes institutional digital asset derivatives RFQ protocol and high-fidelity execution. Glowing liquidity streams converge at intelligent routing nodes, aggregating market microstructure for atomic settlement, mitigating counterparty risk within dark liquidity.](https://options.greeks.live/wp-content/uploads/2025/08/prime-os-high-fidelity-digital-asset-derivatives-rfq-protocol.jpg)

Central clearing mandates transform CVA from a measure of bilateral default risk to a complex valuation of contingent exposure to a CCP's default waterfall.

- 
### [How Do Regulatory Changes Influence the Design and Application of Counterparty Scoring Systems?](https://options.greeks.live/question/how-do-regulatory-changes-influence-the-design-and-application-of-counterparty-scoring-systems/)
![A high-precision, dark metallic circular mechanism, representing an institutional-grade RFQ engine. Illuminated segments denote dynamic price discovery and multi-leg spread execution. This core system optimizes capital efficiency and mitigates counterparty risk for digital asset derivatives, ensuring atomic settlement.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-execution-engine-7.jpg)

Regulatory changes mandate a shift from static credit assessment to dynamic, data-driven counterparty scoring systems.

- 
### [Can Pre-Trade Analytics Help in Reducing Future SA-CCR and Initial Margin Costs?](https://options.greeks.live/question/can-pre-trade-analytics-help-in-reducing-future-sa-ccr-and-initial-margin-costs/)
![A luminous conical element projects from a multi-faceted transparent teal crystal, signifying RFQ protocol precision and price discovery. This embodies institutional grade digital asset derivatives high-fidelity execution, leveraging Prime RFQ for liquidity aggregation and atomic settlement.](https://options.greeks.live/wp-content/uploads/2025/07/precision-engineered-rfq-protocol-orchestration-for-institutional-digital-asset-derivatives-high-fidelity-execution.jpg)

Pre-trade analytics provide the essential simulation capability to manage SA-CCR and IM as proactive variables, optimizing capital efficiency.

- 
### [How Does a QMNA Reduce Regulatory Capital Requirements under Basel III?](https://options.greeks.live/question/how-does-a-qmna-reduce-regulatory-capital-requirements-under-basel-iii/)
![Abstract forms depict institutional digital asset derivatives RFQ. Spheres symbolize block trades, centrally engaged by a metallic disc representing the Prime RFQ. This facilitates high-fidelity execution and atomic settlement, optimizing market microstructure for aggregated inquiry and capital efficiency.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-system-prime-os.jpg)

A QMNA reduces regulatory capital by providing the legal certainty to net multiple exposures into a single obligation, lowering risk.

- 
### [How Does the SA-CCR Cap on Margined EAD Function?](https://options.greeks.live/question/how-does-the-sa-ccr-cap-on-margined-ead-function/)
![A sleek, metallic platform features a sharp blade resting across its central dome. This visually represents the precision of institutional-grade digital asset derivatives RFQ execution. It symbolizes high-fidelity execution and atomic settlement within market microstructure, ensuring capital efficiency and mitigating counterparty risk.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-execution-precision-1.jpg)

The SA-CCR cap ensures margined derivative exposure is never calculated as higher than its unmargined equivalent, providing a prudential floor.

- 
### [How Does the SA-CCR Methodology Differentiate between Margined and Unmargined Netting Sets?](https://options.greeks.live/question/how-does-the-sa-ccr-methodology-differentiate-between-margined-and-unmargined-netting-sets/)
![A sophisticated system's core component, representing an Execution Management System, drives a precise, luminous RFQ protocol beam. This beam navigates between balanced spheres symbolizing counterparties and intricate market microstructure, facilitating institutional digital asset derivatives trading, optimizing price discovery, and ensuring high-fidelity execution within a prime brokerage framework.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-execution-engine-10.jpg)

SA-CCR differentiates exposures by applying a simpler, higher risk calculation to unmargined sets and a complex, collateral-aware formula to margined sets.

---

## Raw Schema Data

```json
{
    "@context": "https://schema.org",
    "@type": "BreadcrumbList",
    "itemListElement": [
        {
            "@type": "ListItem",
            "position": 1,
            "name": "Home",
            "item": "https://options.greeks.live"
        },
        {
            "@type": "ListItem",
            "position": 2,
            "name": "Question",
            "item": "https://options.greeks.live/question/"
        },
        {
            "@type": "ListItem",
            "position": 3,
            "name": "How Does SA-CCR Account for Different Asset Classes within a Single Netting Set?",
            "item": "https://options.greeks.live/question/how-does-sa-ccr-account-for-different-asset-classes-within-a-single-netting-set/"
        }
    ]
}
```

```json
{
    "@context": "https://schema.org",
    "@type": "Organization",
    "@id": "https://greeks.live/#organization",
    "name": "Greeks.Live",
    "url": "https://greeks.live/",
    "description": "Greeks.live is the definitive toolkit for the professional options trader, dedicated to empowering our users with institutional-grade data, advanced analytics, and a comprehensive suite of trading tools designed to provide a decisive edge in the market. Every article and guide published under the Greeks.live name is a product of our deep commitment to data-driven analysis and our mission to support the global trading community.",
    "email": "support@greeks.live",
    "logo": {
        "@type": "ImageObject",
        "url": "https://options.greeks.live/wp-content/uploads/2025/07/Greeks.Live-Logo-Icon.svg"
    },
    "hasPart": [
        {
            "@type": "WebSite",
            "name": "About Us",
            "url": "https://about.greeks.live"
        },
        {
            "@type": "WebSite",
            "name": "App Download Page",
            "url": "https://about.greeks.live/#/download/basic_trade"
        },
        {
            "@type": "WebSite",
            "name": "Newcomers' Guide",
            "url": "https://twisty-sign-c8b.notion.site/Guide-for-Greeks-live-X-Deribit-Newbies-5a08a3052822427d800af6eaf3704c8d"
        },
        {
            "@type": "WebSite",
            "name": "Knowledge Base",
            "url": "https://linktr.ee/greeks.live"
        },
        {
            "@type": "WebSite",
            "name": "Option Terminology",
            "url": "https://greekslive.notion.site/88dfc00e7c584d4d8969b6302a79a12f?pvs=4"
        },
        {
            "@type": "WebSite",
            "name": "Terms of Service",
            "url": "https://greeks.live/#/tos"
        },
        {
            "@type": "WebSite",
            "name": "Disclaimer",
            "url": "https://greeks.live/#/disclaimer"
        }
    ],
    "sameAs": [
        "https://x.com/greekslive",
        "https://youtube.com/@greeks_live?si=-KjT0Lkw4WUCI0tD",
        "https://t.me/greekslive_notifications",
        "https://t.me/greekslive",
        "https://pinterest.com/greekslive/"
    ],
    "makesOffer": [
        {
            "@type": "Offer",
            "itemOffered": {
                "@type": "Service",
                "name": "RFQ Platform",
                "url": "https://rfq.greeks.live",
                "description": "Execute institutional-grade block trades for crypto options and futures. This platform provides deep, over-the-counter (OTC) liquidity via a professional Request for Quote system.",
                "provider": {
                    "@id": "https://greeks.live/#organization"
                }
            }
        },
        {
            "@type": "Offer",
            "itemOffered": {
                "@type": "Service",
                "name": "Lending Tools",
                "url": "https://lend.greeks.live",
                "description": "Manage crypto lending and borrowing activities to earn yield or secure loans. This suite of tools helps users analyze interest rates and manage collateralized debt positions.",
                "provider": {
                    "@id": "https://greeks.live/#organization"
                }
            }
        },
        {
            "@type": "Offer",
            "itemOffered": {
                "@type": "Service",
                "name": "Data Lab",
                "url": "https://greeks.live/#/deribit/tools/datalab/BTC",
                "description": "Analyze historical and real-time options data with advanced metrics. This tool is designed for backtesting strategies and identifying market trends through comprehensive data visualization.",
                "provider": {
                    "@id": "https://greeks.live/#organization"
                }
            }
        },
        {
            "@type": "Offer",
            "itemOffered": {
                "@type": "Service",
                "name": "Profit & Loss Analysis (PnL)",
                "url": "https://greeks.live/#/deribit/tools/pnl_analysis",
                "description": "Track and analyze the Profit and Loss (PnL) of your options portfolio. This tool provides detailed performance metrics to help traders evaluate and refine their strategies.",
                "provider": {
                    "@id": "https://greeks.live/#organization"
                }
            }
        },
        {
            "@type": "Offer",
            "itemOffered": {
                "@type": "Service",
                "name": "Position Visualization",
                "url": "https://greeks.live/#/deribit/tools/pv/BTC",
                "description": "Visualize complex options positions and their corresponding risk profiles. This tool generates payoff diagrams to help traders intuitively understand potential profit, loss, and exposure.",
                "provider": {
                    "@id": "https://greeks.live/#organization"
                }
            }
        },
        {
            "@type": "Offer",
            "itemOffered": {
                "@type": "Service",
                "name": "Options Calculator",
                "url": "https://greeks.live/#/deribit/tools/calculator",
                "description": "Calculate the theoretical price and risk parameters ('the Greeks') of crypto options. An essential tool for pricing new trades and analyzing the sensitivity of existing positions.",
                "provider": {
                    "@id": "https://greeks.live/#organization"
                }
            }
        },
        {
            "@type": "Offer",
            "itemOffered": {
                "@type": "Service",
                "name": "Greeks.live Main Platform",
                "url": "https://greeks.live/",
                "description": "The central hub for the Greeks.live suite of professional cryptocurrency options and derivatives trading tools. Access analytics, manage positions, and explore the ecosystem.",
                "provider": {
                    "@id": "https://greeks.live/#organization"
                }
            }
        },
        {
            "@type": "Offer",
            "itemOffered": {
                "@type": "Service",
                "name": "Community Forum",
                "url": "https://t.greeks.live",
                "description": "Join the official Greeks.live community. Connect with other traders, share insights, and receive the latest updates directly from the team.",
                "provider": {
                    "@id": "https://greeks.live/#organization"
                }
            }
        },
        {
            "@type": "Offer",
            "itemOffered": {
                "@type": "Service",
                "name": "Greeks.live for Deribit",
                "url": "http://deribit.greeks.live",
                "description": "A dedicated interface for trading on the Deribit exchange. This platform leverages Greeks.live's advanced analytics and tools specifically for users of Deribit's options and futures markets.",
                "provider": {
                    "@id": "https://greeks.live/#organization"
                }
            }
        },
        {
            "@type": "Offer",
            "itemOffered": {
                "@type": "Service",
                "name": "Greeks.live for OKX",
                "url": "http://okx.greeks.live",
                "description": "A dedicated interface for trading on the OKX exchange. This platform integrates Greeks.live's powerful analytics with the OKX marketplace, focusing on its options and derivatives products.",
                "provider": {
                    "@id": "https://greeks.live/#organization"
                }
            }
        },
        {
            "@type": "Offer",
            "itemOffered": {
                "@type": "Service",
                "name": "GLVS.AI Trading Platform",
                "url": "https://www.glvs.ai/",
                "description": "An AI-powered platform for automated crypto options trading. Leverage advanced algorithms and data-driven signals to develop and deploy sophisticated, hands-free trading strategies.",
                "provider": {
                    "@id": "https://greeks.live/#organization"
                }
            }
        },
        {
            "@type": "Offer",
            "itemOffered": {
                "@type": "Service",
                "name": "API Testnet & Sandbox",
                "url": "https://test.greeks.live",
                "description": "A dedicated testnet environment for developers to test their API integrations and automated trading strategies. This sandbox allows for full functionality testing without risking real funds.",
                "provider": {
                    "@id": "https://greeks.live/#organization"
                }
            }
        }
    ],
    "subOrganization": [
        {
            "@type": "Organization",
            "name": "GreeksLive HK Co., Limited",
            "email": "support@greeks.live",
            "telephone": "+852-56418949",
            "address": {
                "@type": "PostalAddress",
                "streetAddress": "Unit 11, 27/F, K. Wah Centre, 191 Java Road",
                "addressLocality": "Hong Kong",
                "addressRegion": "North Point",
                "addressCountry": "CN",
                "postalCode": "0000"
            },
            "geo": {
                "@type": "GeoCoordinates",
                "latitude": "22.2932357",
                "longitude": "114.2022026"
            },
            "image": "https://options.greeks.live/wp-content/uploads/2025/08/Wah-Centre-Hong-Kong.jpg"
        }
    ]
}
```

```json
{
    "@context": "https://schema.org",
    "@type": "Article",
    "mainEntityOfPage": {
        "@type": "WebPage",
        "@id": "https://options.greeks.live/question/how-does-sa-ccr-account-for-different-asset-classes-within-a-single-netting-set/"
    },
    "headline": "How Does SA-CCR Account for Different Asset Classes within a Single Netting Set? \u25b4 Question",
    "description": "SA-CCR systematically disaggregates trades by asset class to calculate risk add-ons, then re-aggregates them within a legal netting set. \u25b4 Question",
    "url": "https://options.greeks.live/question/how-does-sa-ccr-account-for-different-asset-classes-within-a-single-netting-set/",
    "datePublished": "2025-08-14T08:43:57+00:00",
    "dateModified": "2025-08-14T08:43:58+00:00",
    "articleSection": [
        "Question"
    ],
    "author": {
        "@id": "https://greeks.live/#organization"
    },
    "publisher": {
        "@id": "https://greeks.live/#organization"
    },
    "image": {
        "@type": "ImageObject",
        "url": "https://options.greeks.live/wp-content/uploads/2025/07/precision-digital-asset-derivatives-rfq-execution-market-microstructure.jpg",
        "caption": "The abstract image visualizes the intricate balance of institutional digital asset derivatives trading. Sharp, intersecting planes denote converging strategies and multi-asset class execution within distinct liquidity pools, enabling precise price discovery via RFQ protocols. Translucent spheres symbolize dynamic digital assets like Bitcoin Options, reflecting market microstructure complexities, implied volatility, and the critical need for high-fidelity execution and robust portfolio margin management. This represents an advanced Prime RFQ."
    },
    "keywords": [
        "Asset Class Add-On",
        "Bank for International Settlements",
        "Commodity Derivatives",
        "Counterparty Credit Risk",
        "Credit Derivatives",
        "Credit Risk",
        "Equity Derivatives",
        "Exposure at Default",
        "Foreign Exchange Derivatives",
        "Hedging Set",
        "Hedging Sets",
        "Interest Rate Derivatives",
        "Netting Set",
        "Potential Future Exposure",
        "Regulatory Capital",
        "Replacement Cost",
        "SA-CCR",
        "Supervisory Factor"
    ]
}
```

```json
{
    "@context": "https://schema.org",
    "@type": "WebSite",
    "url": "https://options.greeks.live/",
    "potentialAction": {
        "@type": "SearchAction",
        "target": "https://options.greeks.live/?s=search_term_string",
        "query-input": "required name=search_term_string"
    }
}
```


---

**Original URL:** https://options.greeks.live/question/how-does-sa-ccr-account-for-different-asset-classes-within-a-single-netting-set/
