The Supervisory Delta (δ) is the first component of the Risk Position. Calculated at the trade level, it captures the direction of a trade's exposure to its primary risk driver and adjusts for optionality. The formula depends on instrument type.

Before any trade can contribute to the Add-On, it must be expressed as a single signed number — the Risk Position. Calculated at the trade level, one per transaction, it compresses three dimensions of a trade into one quantity: direction, size, and time. Trades with opposite Risk Positions offset each other within a hedging set, which is how genuine hedges reduce capital.

The Add-On is the engine of SA-CCR. It estimates how much a derivatives portfolio's exposure could grow over the remaining life of its trades, and it drives the Potential Future Exposure (PFE) — one of the two inputs to the Exposure at Default.