The other add-on is the simplest of the six SA-CCR risk categories. It applies to instruments that do not fit any of the five standard categories — weather derivatives, freight rates, inflation swa
The equity add-on is built in three layers. Risk positions are first aggregated at the reference entity level to produce an Effective Notional. Each reference entity then produces an Entity Addon e
The credit add-on is built in three layers. First, risk positions are aggregated at the reference entity level to produce an Effective Notional. Second, each reference entity produces an Entity Addon
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