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"
}
]
}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]
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
API key for authentication. Get your key at https://api.fincept.in/auth/register
Body
Current mark-to-market value of the derivative contract (can be negative)
2500000
Add-on for potential future exposure calculated from SA-CCR formulas based on notional, maturity, and asset class
1200000
Value of eligible collateral held (reduces exposure)
500000
Supervisory alpha factor (typically 1.4, can be reduced to 1.2 for certain clearing arrangements)
1.4