BASEL REFORMS

Final step is to aggregate Net Exposure, Security Addon and FX Addon to arrive at EAD.

When security or cash currency is different from the agreement settlement currency, FX addon is required. This chapter shows step by step calculation for FX addon.

Security Addon calculation is the single biggest modification for SFT trades. This article walks the reader through E Net, E Gross and N (Significant Groups) step b ystep calculations.

This introductory chapter establishes the foundational concepts required to understand SFT capital calculations. In this chapter we show how net exposure calculation differs for standard, MPC (correlated) and concentrated collateral.

Master the new Basel 3.1 capital requirements for Securities Financing Transactions (SFTs) by understanding the critical interplay between Exposure at Default (EAD), supervisory volatility adjustments, and margin periods of risk. This guide breaks down the regulatory formulas and eligibility criteria, including the impact of material positive correlation on collateral recognition, to help you navigate the upcoming changes.