# How Does SA-CCR Affect the Capital Requirements for Margined versus Unmargined Trades? ▴ Question

**Published:** 2025-08-03
**Categories:** Question

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## Concept

The [Standardised Approach](https://prime.greeks.live/area/standardised-approach/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) 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) represents a fundamental recalibration of the regulatory capital framework, directly altering the economic calculations for derivatives trading. Its core function is to provide a standardized, non-internal model method for calculating the Exposure at Default (EAD) for counterparty credit risk. The mechanism operates by bifurcating the treatment of derivatives portfolios into two distinct streams ▴ margined and unmargined netting sets.

This structural division is the primary driver of its impact on capital requirements. For an institution, the decision to margin a trade or not is now a direct input into a capital calculation that is far more sensitive to risk-mitigating practices than its predecessor, the Current Exposure Method (CEM).

SA-CCR’s design philosophy is rooted in enhanced risk sensitivity. It achieves this by dissecting exposure into two primary components ▴ the Replacement Cost (RC) 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). The way each component is calculated changes materially depending on the presence of a legally enforceable margining agreement. [Unmargined trades](https://prime.greeks.live/area/unmargined-trades/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) are viewed through a lens of long-term potential exposure, assuming a one-year horizon over which risks can accumulate.

[Margined trades](https://prime.greeks.live/area/margined-trades/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite), conversely, are assessed over a much shorter timeframe known as the [Margin Period of Risk](https://prime.greeks.live/area/margin-period-of-risk/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (MPOR), which reflects the time it would take to close out positions and replace hedges in the event of a counterparty default. This mechanical distinction directly translates into divergent capital outcomes.

> The framework’s primary effect is to create a significant capital incentive to exchange variation margin, thereby making unmargined trades substantially more capital-intensive.

The introduction of the ‘alpha’ factor, a supervisory multiplier of 1.4 applied to the sum of RC and PFE, further amplifies the calculated exposure. While this factor is applied universally, its effect is most pronounced on unmargined portfolios, which inherently generate a higher base PFE due to the longer [risk horizon](https://prime.greeks.live/area/risk-horizon/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite). The framework systematically penalizes the absence of collateral. For entities such as corporates or pension funds that may be exempt from margin requirements, this translates into a higher cost of hedging passed on by their bank counterparties.

The banks, in turn, must hold more [regulatory capital](https://prime.greeks.live/area/regulatory-capital/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) against these uncollateralized exposures, making them less economically attractive to maintain. [SA-CCR](https://prime.greeks.live/area/sa-ccr/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) functions as a regulatory utility that quantifies and prices the risk mitigation provided by collateral, embedding that price directly into a bank’s balance sheet.

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## The Architectural Shift from CEM to SA-CCR

The transition from the Current Exposure Method (CEM) to SA-CCR marks a significant evolution in regulatory architecture. CEM was a simpler, more static system. It applied broad add-on factors based on the notional value of trades and failed to differentiate between margined and unmargined transactions in a meaningful way. This lack of granularity meant that the capital required for a fully collateralized trade could be disproportionately high, while the risk of an uncollateralized trade might be understated.

SA-CCR rectifies this with a more dynamic and granular system. Its architecture is designed to recognize the specific attributes of a [netting set](https://prime.greeks.live/area/netting-set/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite). Key architectural improvements include:

- **Recognition of Netting Agreements** ▴ SA-CCR provides more sophisticated recognition of netting benefits within asset classes, more accurately reflecting how positions can offset one another. This is a substantial improvement over the more simplistic netting calculations within CEM.

- **Explicit Margin Treatment** ▴ The framework contains separate, distinct formulas for margined and [unmargined netting](https://prime.greeks.live/question/how-does-the-sa-ccr-methodology-differentiate-between-margined-and-unmargined-netting-sets/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) sets. This is the most critical architectural change, allowing the model to quantify the risk reduction provided by [variation margin](https://prime.greeks.live/area/variation-margin/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite).

- **Risk-Sensitive Add-Ons** ▴ The PFE component is calculated using supervisory-defined factors that vary by [asset class](https://prime.greeks.live/area/asset-class/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (e.g. interest rates, foreign exchange, credit, equity, commodities), reflecting different levels of underlying market volatility.

This new architecture compels financial institutions to view their derivatives portfolios not as a monolithic block of risk, but as a collection of distinct [netting sets](https://prime.greeks.live/area/netting-sets/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) whose capital consumption is directly tied to their specific risk-management characteristics, chief among them being the presence of a margin agreement.

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## How Does the Framework Differentiate Risk Profiles?

SA-CCR differentiates risk profiles by altering the calculation of [Potential Future](https://prime.greeks.live/question/how-does-the-net-to-gross-ratio-impact-the-potential-future-exposure-calculation-under-the-basel-framework/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) Exposure based on whether a trade is margined. For unmargined trades, the PFE calculation assumes a one-year risk horizon. This long horizon is intended to capture the potential for significant market moves over an extended period where no collateral is exchanged to mitigate the growing exposure. The resulting PFE is consequently large, reflecting a higher perceived risk.

For margined trades, the PFE calculation is based on the Margin Period of Risk (MPOR), typically a period of 10 business days for most cleared and bilateral derivatives. This much shorter horizon reflects the reality that, in a default scenario, the non-defaulting party is only exposed to market movements during the brief period it takes to close out the positions and re-hedge. The PFE for a margined trade is therefore substantially lower, acknowledging the risk-mitigating function of daily (or even intra-day) margin calls. The framework treats margining as a powerful circuit breaker on the accumulation of counterparty risk, and this treatment is hard-coded into its mathematical DNA.

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## Strategy

The strategic implications of SA-CCR are profound, extending beyond mere regulatory compliance into the core of business and risk management strategy for financial institutions. The framework acts as a powerful steering mechanism, creating clear economic incentives that shape trading behavior, client relationships, and portfolio composition. The central strategic imperative arising from SA-CCR is the systematic management of [counterparty credit](https://prime.greeks.live/question/how-does-a-central-counterparty-alter-the-nature-of-counterparty-credit-risk/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) risk through collateralization. Institutions that adapt their strategy to align with this imperative can achieve significant capital efficiencies, while those that do not will face a competitive disadvantage due to higher capital burdens.

For a bank’s trading desk, the primary strategic response involves a two-pronged approach ▴ optimizing existing portfolios and influencing future trading activity. Optimization requires a granular analysis of all existing netting sets to identify sources of high capital consumption. Unmargined trades with long tenors and high notional amounts become immediate targets for remediation.

Strategic options include renegotiating agreements to include two-way margining, novating trades to a central counterparty (CCP) for clearing, or executing offsetting trades to reduce the net exposure within a given asset class. The goal is to transform the portfolio from a capital-intensive structure to one that is capital-efficient under the SA-CCR lens.

> A core strategic response to SA-CCR is the aggressive pursuit of collateralization to minimize the punitive capital treatment of unmargined exposures.

Influencing future trading activity involves both internal policy changes and external client engagement. Internally, pricing models for new trades must be updated to accurately reflect the SA-CCR capital cost. This ensures that the bank is adequately compensated for the risk it takes on, particularly for unmargined transactions. Externally, this leads to a strategic re-segmentation of the client base.

Clients who are unwilling or unable to post margin, such as certain corporates and smaller institutions, will find the cost of hedging products increasing. Banks must develop a strategy to manage these relationships, which may involve offering alternative products, providing education on the benefits of margining, or, in some cases, accepting the higher capital cost for strategically important clients.

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## Portfolio Optimization and Capital Allocation

[Under SA-CCR](https://prime.greeks.live/question/what-are-the-main-drivers-of-capital-increases-under-sa-ccr-for-fx-derivatives/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite), portfolio optimization becomes a critical function for managing regulatory capital. The framework’s sensitivity to netting and margining provides clear levers for reducing the overall [Exposure at Default](https://prime.greeks.live/area/exposure-at-default/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (EAD). A primary strategy is to maximize the benefits of netting within each asset class.

This involves consolidating trades with a single counterparty under a single master netting agreement wherever possible. For example, executing a new [interest rate swap](https://prime.greeks.live/area/interest-rate-swap/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) with a counterparty with whom the bank already has an offsetting position is far more capital-efficient than entering into the same trade with a new counterparty.

The second major optimization strategy is the proactive management of collateral. The table below illustrates the stark difference in capital impact between margined and unmargined trades, providing a quantitative basis for strategic decision-making.

| Trade Scenario | Key SA-CCR Treatment | Resulting EAD Impact | Strategic Action |
| --- | --- | --- | --- |
| Unmargined 10Y Interest Rate Swap | PFE calculated over a 1-year horizon. No recognition of variation margin. | High. The long risk horizon leads to a substantial PFE Add-on. | Renegotiate for a CSA; novate to a CCP; or accept the high capital cost. |
| Margined 10Y Interest Rate Swap | PFE calculated over a 10-day MPOR. RC calculation includes collateral held/posted. | Low. The short risk horizon dramatically reduces the PFE Add-on. | Standard operating procedure for inter-bank trades. Encourage for all clients. |
| Unmargined FX Forward | PFE calculation over a 1-year horizon. | Moderate to High. PFE is lower than for interest rates but still significant. | Prioritize margining for longer-dated forwards. |
| Portfolio of offsetting trades (unmargined) | Netting is recognized, reducing Replacement Cost. PFE is calculated on the net exposure profile. | Lower than gross, but PFE is still based on a 1-year horizon. | Consolidate trades under a single netting set to maximize netting benefits. |

This data-driven approach allows a bank to allocate its finite capital resources more effectively. By quantifying the capital cost of each trade and each counterparty relationship, the bank can make informed decisions about which lines of business to grow and which to shrink. The strategic goal is to build a derivatives portfolio that delivers the desired risk-return profile while consuming the minimum amount of regulatory capital.

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## What Is the Strategic Impact on Client Relationships?

SA-CCR fundamentally alters the economics of servicing different types of clients. The framework creates a clear preference for counterparties that are able to exchange variation margin. This has the most significant impact on relationships with non-financial corporates, sovereigns, and pension funds, which are often exempt from mandatory margining rules under regulations like EMIR in Europe or Dodd-Frank in the US.

Previously, a bank might have treated margined and unmargined trades with these clients similarly from a capital perspective under the CEM regime. Under SA-CCR, this is no longer possible. An unmargined trade with a corporate client now carries a direct and significant capital cost. This forces banks to adopt one of several strategies:

- **Pricing Differentiation** ▴ The most direct strategy is to price the capital cost into the transaction. An unmargined trade will be offered at a wider bid-ask spread or with an explicit fee to compensate the bank for the capital it must hold.

- **Client Education and Negotiation** ▴ Banks may proactively engage with their unmargined clients to explain the new regulatory landscape and negotiate the implementation of a [Credit Support Annex](https://prime.greeks.live/area/credit-support-annex/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (CSA), the legal document that governs margining. They can demonstrate how posting margin can lead to better pricing for the client.

- **Product Innovation** ▴ For clients who cannot or will not post margin, banks may develop alternative hedging solutions that are more capital-efficient under SA-CCR. This could include offering more trades that are eligible for central clearing or structuring products with shorter tenors.

- **Strategic De-selection** ▴ In some cases, the capital cost of maintaining an unmargined relationship may become prohibitive. Banks may be forced to strategically reduce their business with certain clients or in certain product areas where margining is not feasible.

The overarching strategic effect is a move away from a one-size-fits-all approach to client relationships. SA-CCR requires a more nuanced, risk-based segmentation of the client base, where the terms of the relationship are directly linked to the capital consumption it generates.

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## Execution

The execution of SA-CCR involves a precise, multi-step calculation process to determine the Exposure at Default (EAD). This process is mechanically distinct for margined and unmargined netting sets, requiring financial institutions to build robust data and calculation engines capable of handling both pathways. The foundational formula for SA-CCR is the same for both, but the inputs and sub-calculations diverge significantly, leading to different capital outcomes. Understanding these mechanics is not just a compliance exercise; it is essential for risk management, trade pricing, and capital optimization.

The EAD under SA-CCR is calculated as follows:

**EAD = α (RC + PFE)**

Where:

- **α (Alpha)** ▴ A supervisory factor set at 1.4. This multiplier is intended to capture model risk and other potential weaknesses, acting as a conservative floor on the final exposure amount. Its application to both [Replacement Cost](https://prime.greeks.live/area/replacement-cost/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) and Potential [Future Exposure](https://prime.greeks.live/question/how-does-the-net-to-gross-ratio-impact-the-potential-future-exposure-calculation-under-the-basel-framework/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) is a key source of the framework’s conservative calibration.

- **RC (Replacement Cost)** ▴ Represents the current, mark-to-market exposure to the counterparty. Its calculation differs for margined and unmargined netting sets.

- **PFE (Potential Future Exposure)** ▴ Represents the potential increase in exposure over a specific time horizon. This component also has distinct calculations for margined and unmargined sets, which is the primary driver of the difference in capital requirements.

The operational challenge lies in correctly calculating the RC and PFE for every netting set across the institution. This requires sourcing clean, accurate data on trade valuations, collateral positions, and the legal terms of margin agreements (such as thresholds and minimum transfer amounts).

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## The Operational Playbook for Calculating Exposure

Executing the SA-CCR calculation requires a systematic, step-by-step process. The first and most critical step is the classification of each netting set as either margined or unmargined. A netting set is considered margined only if it is covered by a margin agreement where the counterparty is obligated to post variation margin. One-way CSAs where only the bank posts margin do not qualify; these are treated as unmargined.

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## Step 1 ▴ Calculate Replacement Cost (RC)

The RC calculation establishes the current exposure. The methodology depends on the classification of the netting set.

**For Unmargined Netting Sets** ▴ 

The formula is relatively straightforward:

RC = max(V - C, 0)

Here, ‘V’ is the current market value of the derivative contracts in the netting set, and ‘C’ is the haircut-adjusted value of collateral held by the bank. The floor at zero ensures the replacement cost cannot be negative.

**For Margined Netting Sets** ▴ 

The formula is more complex, incorporating the terms of the margin agreement:

RC = max(V - C, TH + MTA - NICA, 0)

Here:

- **V and C** ▴ Same as the unmargined calculation, but ‘C’ now includes variation margin received or posted.

- **TH (Threshold)** ▴ The amount of exposure that must be reached before a margin call is made.

- **MTA (Minimum Transfer Amount)** ▴ The smallest amount of collateral that can be transferred.

- **NICA (Net Independent Collateral Amount)** ▴ The net amount of collateral held independent of the current exposure level.

This formula captures the practical reality of margining ▴ the bank is exposed not just to the current net market value, but to the amount of exposure that could build up before a collateral call is triggered and settled.

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## Step 2 ▴ Calculate Potential Future Exposure (PFE)

The PFE component is an add-on designed to capture potential market movements. It is calculated at the asset class level and then aggregated.

PFE = Multiplier AddOn_Aggregate

The ‘Multiplier’ is a factor that recognizes the benefit of over-collateralization or negative mark-to-market value. For most standard cases, it is 1. The core of the calculation is the aggregate add-on.

AddOn_Aggregate = (1 - ρ_sq) AddOn_IR^2 + (1 - ρ_sq) AddOn_FX^2 +. + ρ_sq (AddOn_IR + AddOn_FX +. )^2

This formula combines the add-ons for each asset class (Interest Rate, FX, Credit, Equity, Commodity) using supervisory correlation parameters (ρ). The individual add-ons are calculated by multiplying an adjusted notional amount of the trades by a supervisory factor (SF).

The critical difference between margined and unmargined execution lies here:

- **For Unmargined Sets** ▴ The PFE add-ons are calculated assuming a **one-year risk horizon**.

- **For Margined Sets** ▴ The PFE add-ons are scaled down by a factor based on the **Margin Period of Risk (MPOR)**. For a standard 10-day MPOR, this scaling factor is sqrt(10/250), which significantly reduces the resulting PFE.

> The core execution difference lies in the risk horizon applied to the Potential Future Exposure calculation one year for unmargined trades versus the much shorter Margin Period of Risk for margined ones.

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## Quantitative Modeling and Data Analysis

To illustrate the practical impact, consider a hypothetical 10-year USD interest rate swap with a notional of $100 million. We will compare the EAD under SA-CCR for both a margined and an unmargined scenario. For simplicity, we assume the current mark-to-market (V) is zero and no initial collateral is posted.

The [PFE add-on](https://prime.greeks.live/area/pfe-add-on/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) for an interest rate derivative is calculated as ▴ AddOn_IR = SF_IR EffectiveNotional_IR.

The supervisory factor (SF) for interest rates is 0.50%.

| Parameter | Unmargined Scenario | Margined Scenario | Rationale |
| --- | --- | --- | --- |
| Replacement Cost (RC) | $0 | $0 | The trade is at-the-money at inception (V=0, C=0). |
| PFE Risk Horizon | 1 Year | 10 Business Days (MPOR) | This is the fundamental difference in treatment. |
| PFE Add-On (Unscaled) | 0.005 $100,000,000 = $500,000 | 0.005 $100,000,000 = $500,000 | The base add-on calculation is the same before scaling. |
| PFE Scaling Factor | 1 (Implicitly sqrt(250/250)) | sqrt(10 / 250) ≈ 0.2 | The margined PFE is scaled down to reflect the shorter risk period. |
| Final PFE | $500,000 1 = $500,000 | $500,000 0.2 = $100,000 | The PFE is five times lower for the margined trade. |
| Alpha Factor (α) | 1.4 | 1.4 | The supervisory multiplier is applied in both cases. |
| Final EAD | 1.4 ($0 + $500,000) = $700,000 | 1.4 ($0 + $100,000) = $140,000 | The capital requirement is 5x higher for the unmargined trade. |

This quantitative example demonstrates the powerful incentive structure embedded within SA-CCR. The decision to margin the trade directly reduces the regulatory capital charge by 80% in this simplified case. The execution of the SA-CCR calculation makes the economic benefit of collateralization explicit and significant.

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## Why Does the Alpha Factor Attract Scrutiny?

The [alpha factor](https://prime.greeks.live/area/alpha-factor/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) of 1.4 is a significant component of the SA-CCR framework and a point of considerable industry discussion. It was carried over from the internal models methodology (IMM) framework, where it was intended to address issues like wrong-way risk and model estimation errors within a bank’s internal models. Its application within a standardized, regulator-calibrated framework like SA-CCR is viewed by some as overly conservative.

The primary critique is that SA-CCR’s components, particularly the PFE add-ons, are already calibrated to be conservative. The supervisory factors are based on periods of market stress. Applying an additional 40% multiplier on top of these conservative inputs can lead to capital requirements that may not reflect the true economic risk of a portfolio, especially a well-margined one.

For unmargined trades, this effect is magnified, contributing to the punitive capital treatment that can impact the availability and cost of hedging for end-users. The logic of applying this blanket multiplier is questioned because SA-CCR’s transparent, component-based structure is fundamentally different from the complex, internal models that the alpha factor was originally designed to supervise.

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## References

- International Swaps and Derivatives Association. “SA-CCR ▴ Why a Change is Necessary.” ISDA, 2019.

- Board of Governors of the Federal Reserve System. “Standardized Approach for Counterparty Credit Risk.” Federal Reserve, 2019.

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

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

- PricewaterhouseCoopers. “Basel IV ▴ Calculating EAD according to the new standardised approach for counterparty credit risk (SA-CCR).” PwC, 2014.

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## Reflection

The implementation of SA-CCR is more than a regulatory update; it is a structural force reshaping the derivatives landscape. The framework embeds a clear economic language into the management of counterparty risk, where the value of collateralization is expressed directly in the currency of regulatory capital. As institutions refine their execution of these calculations, the strategic imperative shifts from mere compliance to active optimization. The data derived from SA-CCR calculations provides a high-resolution map of an institution’s counterparty risk profile, highlighting inefficiencies and opportunities.

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## Considering the Systemic Consequences

The true test of this framework will be its long-term impact on market structure. By design, it incentivizes central clearing and bilateral margining, potentially making the financial system more resilient. Yet, it also raises the cost of bespoke, unmargined hedges relied upon by the real economy.

An institution’s ability to navigate this new terrain ▴ to price risk accurately, to manage client relationships strategically, and to optimize its portfolio with precision ▴ will be a defining characteristic of its success. The knowledge gained from mastering SA-CCR is a component in a larger system of institutional intelligence, where a superior operational framework becomes the foundation for a durable competitive edge.

![Precision cross-section of an institutional digital asset derivatives system, revealing intricate market microstructure. Toroidal halves represent interconnected liquidity pools, centrally driven by an RFQ protocol](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-prime-os-architecture-revealing-precision-rfq-protocol-engine-for-optimal-high-fidelity-execution-and-latent-liquidity-aggregation.jpg)

## Glossary

<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">
![An abstract composition featuring two overlapping digital asset liquidity pools, intersected by angular structures representing multi-leg RFQ protocols. This visualizes dynamic price discovery, high-fidelity execution, and aggregated liquidity within institutional-grade crypto derivatives OS, optimizing capital efficiency and mitigating counterparty risk](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocols-optimizing-aggregated-liquidity-and-multi-leg-execution-via-advanced-market-microstructure.jpg)

## Counterparty Credit Risk

Meaning ▴ Counterparty Credit Risk, in the context of crypto investing and derivatives trading, denotes the potential for financial loss arising from a counterparty's failure to fulfill its contractual obligations in a transaction. </a><a href="https://prime.greeks.live/area/standardised-approach/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sphere split into light and dark segments, revealing a luminous core. This encapsulates the precise Request for Quote RFQ protocol for institutional digital asset derivatives, highlighting high-fidelity execution, optimal price discovery, and advanced market microstructure within aggregated liquidity pools](https://options.greeks.live/wp-content/uploads/2025/07/high-fidelity-execution-framework-for-institutional-digital-asset-derivatives-request-for-quote-protocol-optimization.jpg)

## Standardised Approach

Meaning ▴ A standardized approach refers to the adoption of uniform procedures, protocols, or methodologies across a system or industry, designed to ensure consistency, comparability, and interoperability. </a><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 sleek, dark teal surface contrasts with reflective black and an angular silver mechanism featuring a blue glow and button. This represents an institutional-grade RFQ platform for digital asset derivatives, embodying high-fidelity execution in market microstructure for block trades, optimizing capital efficiency via Prime RFQ](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-trading-platform-interface-optimizing-rfq-protocols-for-high-fidelity-execution-and-liquidity-aggregation.jpg)

## Potential Future Exposure

Meaning ▴ Potential Future Exposure (PFE), in the context of crypto derivatives and institutional options trading, represents an estimate of the maximum possible credit exposure a counterparty might face at any given future point in time, with a specified statistical confidence level. </a><a href="https://prime.greeks.live/area/unmargined-trades/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Central metallic hub connects beige conduits, representing an institutional RFQ engine for digital asset derivatives. It facilitates multi-leg spread execution, ensuring atomic settlement, optimal price discovery, and high-fidelity execution within a Prime RFQ for capital efficiency](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-digital-asset-derivatives-rfq-protocol-execution-hub.jpg)

## Unmargined Trades

Meaning ▴ Unmargined trades, in the context of crypto investing, refer to transactions where participants exchange assets directly without employing leverage or collateralizing the position with a margin deposit. </a><a href="https://prime.greeks.live/area/margin-period-of-risk/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Angular metallic structures precisely intersect translucent teal planes against a dark backdrop. This embodies an institutional-grade Digital Asset Derivatives platform's market microstructure, signifying high-fidelity execution via RFQ protocols](https://options.greeks.live/wp-content/uploads/2025/07/digital-asset-derivatives-rfq-high-fidelity-execution-system-architecture.jpg)

## Margin Period of Risk

Meaning ▴ The Margin Period of Risk (MPOR), within the systems architecture of institutional crypto derivatives trading and clearing, defines the time interval between the last exchange of margin payments and the effective liquidation or hedging of a defaulting counterparty's positions. </a><a href="https://prime.greeks.live/area/margined-trades/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A dark, metallic, circular mechanism with central spindle and concentric rings embodies a Prime RFQ for Atomic Settlement. A precise black bar, symbolizing High-Fidelity Execution via FIX Protocol, traverses the surface, highlighting Market Microstructure for Digital Asset Derivatives and RFQ inquiries, enabling Capital Efficiency](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-engine-microstructure-1.jpg)

## Margined Trades

Meaning ▴ Margined Trades are financial transactions where participants leverage borrowed capital, known as margin, to establish trading positions exceeding their owned capital. </a><a href="https://prime.greeks.live/area/risk-horizon/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Sleek metallic structures with glowing apertures symbolize institutional RFQ protocols. These represent high-fidelity execution and price discovery across aggregated liquidity pools](https://options.greeks.live/wp-content/uploads/2025/07/precision-digital-asset-derivatives-trading-systems-optimizing-rfq-protocols-for-institutional-block-trade-execution.jpg)

## Risk Horizon

Meaning ▴ Risk Horizon refers to the specific timeframe or temporal scope over which an organization or investor assesses, quantifies, and projects potential risks. </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">
![A symmetrical, high-tech digital infrastructure depicts an institutional-grade RFQ execution hub. Luminous conduits represent aggregated liquidity for digital asset derivatives, enabling high-fidelity execution and atomic settlement](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-institutional-digital-asset-derivatives-rfq-system.jpg)

## Regulatory Capital

Meaning ▴ Regulatory Capital, within the expanding landscape of crypto investing, refers to the minimum amount of financial resources that regulated entities, including those actively engaged in digital asset activities, are legally compelled to maintain. </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">
![Reflective dark, beige, and teal geometric planes converge at a precise central nexus. This embodies RFQ aggregation for institutional digital asset derivatives, driving price discovery, high-fidelity execution, capital efficiency, algorithmic liquidity, and market microstructure via Prime RFQ](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-hub-for-precise-liquidity.jpg)

## Sa-Ccr

Meaning ▴ SA-CCR, or the Standardized Approach for Counterparty Credit Risk, is a sophisticated regulatory framework predominantly utilized in traditional finance for calculating capital requirements against counterparty credit risk stemming from over-the-counter (OTC) derivatives and securities financing transactions. </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, within the complex domain of financial derivatives and institutional trading, precisely refers to a legally defined aggregation of multiple transactions between two distinct counterparties that are expressly subject to a legally enforceable netting agreement, thereby permitting the consolidation of all mutual obligations into a single net payment or receipt. </a><a href="https://prime.greeks.live/question/how-does-the-sa-ccr-methodology-differentiate-between-margined-and-unmargined-netting-sets/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sleek, disc-shaped system, with concentric rings and a central dome, visually represents an advanced Principal's operational framework. It integrates RFQ protocols for institutional digital asset derivatives, facilitating liquidity aggregation, high-fidelity execution, and real-time risk management](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-rfq-protocol-engine-digital-asset-derivatives-execution.jpg)

## Unmargined Netting

SA-CCR differentiates exposures by applying a simpler, higher risk calculation to unmargined sets and a complex, collateral-aware formula to margined sets. </a><a href="https://prime.greeks.live/area/variation-margin/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Two distinct ovular components, beige and teal, slightly separated, reveal intricate internal gears. This visualizes an Institutional Digital Asset Derivatives engine, emphasizing automated RFQ execution, complex market microstructure, and high-fidelity execution within a Principal's Prime RFQ for optimal price discovery and block trade capital efficiency](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-automated-rfq-execution-microstructure-revealing-principal-prime-os-intelligence-layer-for-high-fidelity-execution-and-capital-efficiency.jpg)

## Variation Margin

Meaning ▴ Variation Margin in crypto derivatives trading refers to the daily or intra-day collateral adjustments exchanged between counterparties to cover the fluctuations in the mark-to-market value of open futures, options, or other derivative positions. </a><a href="https://prime.greeks.live/area/asset-class/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A central teal and dark blue conduit intersects dynamic, speckled gray surfaces. This embodies institutional RFQ protocols for digital asset derivatives, ensuring high-fidelity execution across fragmented liquidity pools](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-execution-engine-3.jpg)

## Asset Class

Meaning ▴ An Asset Class, within the crypto investing lens, represents a grouping of digital assets exhibiting similar financial characteristics, risk profiles, and market behaviors, distinct from traditional asset categories. </a><a href="https://prime.greeks.live/area/netting-sets/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![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)

## Netting Sets

Meaning ▴ Netting Sets, within the financial architecture of institutional crypto trading, refer to a collection of obligations between two or more parties that are subject to a legally enforceable netting agreement. </a><a href="https://prime.greeks.live/question/how-does-the-net-to-gross-ratio-impact-the-potential-future-exposure-calculation-under-the-basel-framework/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![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)

## Potential Future

The Net-to-Gross Ratio calibrates Potential Future Exposure by scaling it to the measured effectiveness of portfolio netting agreements. </a><a href="https://prime.greeks.live/question/how-does-a-central-counterparty-alter-the-nature-of-counterparty-credit-risk/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sophisticated proprietary system module featuring precision-engineered components, symbolizing an institutional-grade Prime RFQ for digital asset derivatives. Its intricate design represents market microstructure analysis, RFQ protocol integration, and high-fidelity execution capabilities, optimizing liquidity aggregation and price discovery for block trades within a multi-leg spread environment](https://options.greeks.live/wp-content/uploads/2025/07/institutional-grade-proprietary-architecture-driving-high-fidelity-digital-asset-derivatives-execution-via-rfq-protocols-and-optimized-market-microstructure-dynamics.jpg)

## Counterparty Credit

A central counterparty alters counterparty risk by replacing a web of bilateral exposures with a centralized hub-and-spoke model via novation. </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 visualization of an institutional-grade digital asset derivatives execution engine. Its segmented core and reflective arcs depict advanced RFQ protocols, real-time price discovery, and dynamic market microstructure, optimizing high-fidelity execution and capital efficiency for block trades within a Principal's framework](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-engine-interface.jpg)

## Exposure at Default

Meaning ▴ Exposure at Default (EAD), within the framework of crypto institutional finance and risk management, quantifies the total economic value of an institution's outstanding financial commitments to a counterparty at the precise moment that counterparty fails to meet its obligations. </a><a href="https://prime.greeks.live/question/what-are-the-main-drivers-of-capital-increases-under-sa-ccr-for-fx-derivatives/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A robust, dark metallic platform, indicative of an institutional-grade execution management system. Its precise, machined components suggest high-fidelity execution for digital asset derivatives via RFQ protocols](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-platform-high-fidelity-price-discovery-and-atomic-settlement-infrastructure.jpg)

## Under Sa-Ccr

SA-CCR capital for FX derivatives is driven by its risk-sensitive formula, penalizing unmargined trades and limiting netting benefits. </a><a href="https://prime.greeks.live/area/interest-rate-swap/?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)

## Interest Rate Swap

Meaning ▴ An Interest Rate Swap (IRS) is a derivative contract where two counterparties agree to exchange interest rate payments over a predetermined period. </a><a href="https://prime.greeks.live/area/credit-support-annex/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Transparent conduits and metallic components abstractly depict institutional digital asset derivatives trading. Symbolizing cross-protocol RFQ execution, multi-leg spreads, and high-fidelity atomic settlement across aggregated liquidity pools, it reflects prime brokerage infrastructure](https://options.greeks.live/wp-content/uploads/2025/07/cross-protocol-rfq-execution-digital-asset-derivatives-microstructure-system.jpg)

## Credit Support Annex

Meaning ▴ A Credit Support Annex (CSA) is a critical legal document, typically an addendum to an ISDA Master Agreement, that governs the bilateral exchange of collateral between counterparties in over-the-counter (OTC) derivative transactions. </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 transparent sphere, bisected by dark rods, symbolizes an RFQ protocol's core. This represents multi-leg spread execution within a high-fidelity market microstructure for institutional grade digital asset derivatives, ensuring optimal price discovery and capital efficiency via Prime RFQ](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-digital-asset-derivatives-rfq-protocols-high-fidelity-execution.jpg)

## Replacement Cost

Meaning ▴ Replacement Cost, within the specialized financial architecture of crypto, denotes the total expenditure required to substitute an existing asset with a new asset of comparable utility, functionality, or equivalent current market value. </a><a href="https://prime.greeks.live/question/how-does-the-net-to-gross-ratio-impact-the-potential-future-exposure-calculation-under-the-basel-framework/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Symmetrical beige and translucent teal electronic components, resembling data units, converge centrally. This Institutional Grade RFQ execution engine enables Price Discovery and High-Fidelity Execution for Digital Asset Derivatives, optimizing Market Microstructure and Latency via Prime RFQ for Block Trades](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-microstructure-engine.jpg)

## Future Exposure

The Net-to-Gross Ratio calibrates Potential Future Exposure by scaling it to the measured effectiveness of portfolio netting agreements. </a><a href="https://prime.greeks.live/area/pfe-add-on/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A gleaming, translucent sphere with intricate internal mechanisms, flanked by precision metallic probes, symbolizes a sophisticated Principal's RFQ engine. This represents the atomic settlement of multi-leg spread strategies, enabling high-fidelity execution and robust price discovery within institutional digital asset derivatives markets, minimizing latency and slippage for optimal alpha generation and capital efficiency](https://options.greeks.live/wp-content/uploads/2025/07/inst-digital-asset-deriv-rfq-os-for-optimal-high-fidelity-trade-exec.jpg)

## Pfe Add-On

Meaning ▴ In crypto financial risk management, a PFE (Potential Future Exposure) Add-On represents an additional capital charge or collateral requirement calculated to cover potential increases in counterparty credit exposure beyond current mark-to-market values. </a><a href="https://prime.greeks.live/area/alpha-factor/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Precision metallic mechanism with a central translucent sphere, embodying institutional RFQ protocols for digital asset derivatives. This core represents high-fidelity execution within a Prime RFQ, optimizing price discovery and liquidity aggregation for block trades, ensuring capital efficiency and atomic settlement](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-prime-os-execution-hub.jpg)

## Alpha Factor

Meaning ▴ In crypto investing, an Alpha Factor represents the excess return of an investment or trading strategy relative to the return of a relevant market benchmark, after adjusting for systematic market risk (Beta). </a>

**Tags:** [Margined Trades](https://options.greeks.live/area/margined-trades/), [Netting Set](https://options.greeks.live/area/netting-set/), [Interest Rate Swap](https://options.greeks.live/area/interest-rate-swap/), [Basel IV](https://options.greeks.live/area/basel-iv/), [Risk Horizon](https://options.greeks.live/area/risk-horizon/), [SA-CCR](https://options.greeks.live/area/sa-ccr/)	

## Discover More

- 
### [What Are the Specific Components of the CVA Risk Charge for Bilateral Derivatives?](https://options.greeks.live/question/what-are-the-specific-components-of-the-cva-risk-charge-for-bilateral-derivatives/)
![Symmetrical teal and beige structural elements intersect centrally, depicting an institutional RFQ hub for digital asset derivatives. This abstract composition represents algorithmic execution of multi-leg options, optimizing liquidity aggregation, price discovery, and capital efficiency for best execution.](https://options.greeks.live/wp-content/uploads/2025/07/digital-asset-derivatives-rfq-protocol-for-multi-leg-options-execution.jpg)

The CVA risk charge is a capital buffer against mark-to-market losses from a counterparty's credit quality decline on bilateral derivatives.

- 
### [What Are the Specific Data Attributes Required for Equity Derivatives under the SA-CCR Framework?](https://options.greeks.live/question/what-are-the-specific-data-attributes-required-for-equity-derivatives-under-the-sa-ccr-framework/)
![Symmetrical, engineered system displays translucent blue internal mechanisms linking two large circular components. This represents an institutional-grade Prime RFQ for digital asset derivatives, enabling RFQ protocol execution, high-fidelity execution, price discovery, dark liquidity management, and atomic settlement.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-engine-prime-os-core.jpg)

The SA-CCR framework requires a granular data architecture for equity derivatives, linking trade, counterparty, and collateral data to accurately model risk.

- 
### [How Do Regulatory Frameworks like Basel Iii Influence the Design of Counterparty Risk Models?](https://options.greeks.live/question/how-do-regulatory-frameworks-like-basel-iii-influence-the-design-of-counterparty-risk-models/)
![Metallic rods and translucent, layered panels against a dark backdrop. This abstract visualizes advanced RFQ protocols, enabling high-fidelity execution and price discovery across diverse liquidity pools for institutional digital asset derivatives. It embodies optimal market microstructure and algorithmic trading within a Prime RFQ.](https://options.greeks.live/wp-content/uploads/2025/07/precision-market-microstructure-for-institutional-digital-asset-derivatives-rfq.jpg)

Basel III forces counterparty risk models to evolve from static default predictors to dynamic systems that price and capitalize market-driven credit value adjustments.

- 
### [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.

- 
### [In What Ways Does the SA-CCR Methodology Change the Strategic Pricing of Derivatives for Corporate End-Users?](https://options.greeks.live/question/in-what-ways-does-the-sa-ccr-methodology-change-the-strategic-pricing-of-derivatives-for-corporate-end-users/)
![The image depicts two distinct liquidity pools or market segments, intersected by algorithmic trading pathways. A central dark sphere represents price discovery and implied volatility within the market microstructure. This illustrates a Principal's operational framework for high-fidelity execution of multi-leg spread strategies in digital asset derivatives via RFQ protocols.](https://options.greeks.live/wp-content/uploads/2025/07/digital-asset-derivatives-rfq-multi-leg-spread-execution-microstructure.jpg)

SA-CCR changes derivative pricing by shifting from notional-based charges to a risk-sensitive calculation that prices portfolio composition.

- 
### [How Does a Netting Agreement Impact the Data Requirements for a Risk Model?](https://options.greeks.live/question/how-does-a-netting-agreement-impact-the-data-requirements-for-a-risk-model/)
![Intersecting transparent and opaque geometric planes, symbolizing the intricate market microstructure of institutional digital asset derivatives. Visualizes high-fidelity execution and price discovery via RFQ protocols, demonstrating multi-leg spread strategies and dark liquidity for capital efficiency.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-market-microstructure-architecture.jpg)

A netting agreement transforms risk modeling by requiring a data architecture that integrates legal and financial data to calculate a single, net portfolio exposure.

- 
### [What Specific Questions Should a Treasurer Ask Their Bank about SA-CCR Pricing?](https://options.greeks.live/question/what-specific-questions-should-a-treasurer-ask-their-bank-about-sa-ccr-pricing/)
![A metallic rod, symbolizing a high-fidelity execution pipeline, traverses transparent elements representing atomic settlement nodes and real-time price discovery. It rests upon distinct institutional liquidity pools, reflecting optimized RFQ protocols for crypto derivatives trading across a complex volatility surface within Prime RFQ market microstructure.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-trade-execution-pipeline-optimizing-rfq-protocols-for-best-execution-and-capital-efficiency.jpg)

A treasurer's inquiry into SA-CCR must deconstruct the bank's calculation system to architect optimal capital efficiency.

- 
### [What Are the Strategic Trade-Offs between IMM and SA-CCR under the Output Floor?](https://options.greeks.live/question/what-are-the-strategic-trade-offs-between-imm-and-sa-ccr-under-the-output-floor/)
![Two off-white elliptical components separated by a dark, central mechanism. This embodies an RFQ protocol for institutional digital asset derivatives, enabling price discovery for block trades, ensuring high-fidelity execution and capital efficiency within a Prime RFQ for dark liquidity.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-engine-4.jpg)

The core trade-off is between IMM's capital efficiency and SA-CCR's simplicity, a choice now governed by the Output Floor's binding constraint.

- 
### [To What Extent Are Cross-Asset Class Diversification Benefits Recognized within the SA-CCR Framework?](https://options.greeks.live/question/to-what-extent-are-cross-asset-class-diversification-benefits-recognized-within-the-sa-ccr-framework/)
![A central RFQ aggregation engine radiates segments, symbolizing distinct liquidity pools and market makers. This depicts multi-dealer RFQ protocol orchestration for high-fidelity price discovery in digital asset derivatives, highlighting diverse counterparty risk profiles and algorithmic pricing grids.](https://options.greeks.live/wp-content/uploads/2025/07/centralized-digital-asset-rfq-orchestration-for-multi-venue-liquidity-aggregation-and-high-fidelity-execution-across-diverse-counterparties.jpg)

SA-CCR recognizes diversification within narrow hedging sets but largely ignores it across asset classes, prioritizing standardization over risk sensitivity.

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---

**Original URL:** https://options.greeks.live/question/how-does-sa-ccr-affect-the-capital-requirements-for-margined-versus-unmargined-trades/
