curl --request POST \
  --url https://api.fincept.in/quantlib/regulatory/saccr/ead \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "mtm_value": 2500000,
  "addon": 1200000,
  "collateral": 500000,
  "alpha": 1.4
}
'

{
  "success": true,
  "data": {
    "replacement_cost": 2000000,
    "potential_future_exposure": 1200000,
    "exposure_at_default": 4480000,
    "alpha": 1.4
  }
}

{
  "detail": "Invalid API key"
}

{
  "detail": "Insufficient credits. This endpoint requires 5 credits."
}

{
  "detail": [
    {
      "loc": [
        "body",
        "cet1_capital"
      ],
      "msg": "field required",
      "type": "value_error.missing"
    }
  ]
}

quantlib-regulatory

Calculate SA-CCR Exposure at Default

Calculates Exposure at Default (EAD) for derivative contracts using the Standardized Approach for Counterparty Credit Risk (SA-CCR). Returns the Replacement Cost (RC), Potential Future Exposure (PFE), and final EAD. RC represents the current market value net of collateral. PFE captures potential future increases in exposure. EAD = alpha * (RC + PFE), where alpha is typically 1.4. Use this for calculating credit RWA on derivatives, CVA capital charges, and large exposure reporting. Required for all banks under Basel III for derivatives exposure measurement. [Tier: ENTERPRISE, Credits: 10]

POST

quantlib

regulatory

saccr

ead

curl --request POST \
  --url https://api.fincept.in/quantlib/regulatory/saccr/ead \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "mtm_value": 2500000,
  "addon": 1200000,
  "collateral": 500000,
  "alpha": 1.4
}
'

{
  "success": true,
  "data": {
    "replacement_cost": 2000000,
    "potential_future_exposure": 1200000,
    "exposure_at_default": 4480000,
    "alpha": 1.4
  }
}

{
  "detail": "Invalid API key"
}

{
  "detail": "Insufficient credits. This endpoint requires 5 credits."
}

{
  "detail": [
    {
      "loc": [
        "body",
        "cet1_capital"
      ],
      "msg": "field required",
      "type": "value_error.missing"
    }
  ]
}

Authorizations

X-API-Key

string

header

required

API key for authentication. Get your key at https://api.fincept.in/auth/register

Body

application/json

mtm_value

number

required

Current mark-to-market value of the derivative contract (can be negative)

Example:

2500000

addon

number

required

Add-on for potential future exposure calculated from SA-CCR formulas based on notional, maturity, and asset class

Example:

1200000

collateral

number

default:0

Value of eligible collateral held (reduces exposure)

Example:

500000

alpha

number

default:1.4

Supervisory alpha factor (typically 1.4, can be reduced to 1.2 for certain clearing arrangements)

Example:

1.4

Response

SA-CCR EAD calculated successfully

success

boolean

Example:

true

data

object

Show child attributes

Free Tier (0 credits)

Basic Tier (1 credit)

Standard Tier (2 credits)

Pro Tier (5 credits)

Enterprise Tier (10 credits)

Calculate SA-CCR Exposure at Default

Authorizations

Body

Response