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 option
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 o
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 o
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