Create saccr Object and Compute Regulatory Values for Multiple Asset Classes with Netting Set and Collateral Set
This example shows how to create a saccr object for trades from multiple asset classes with a netting set and collateral set. The trades are:
Tr001— Asset class (IR), 10 Year Interest Rate Swap in EURTr002— Asset class (FX), EUR/GBP Forward FX Swap (Trade Decomposition "1b")Tr003— Asset class (CR_SN), Single name CDS on Spain (Short Protection)Tr004— Asset class (CR_IX), CDS iTraxx Europe Crossover Index Receiver OptionTr005— Asset class (EQ_SN), Long Call Option on AAPLTr006— Asset class (EQ_IX), Long Put Option on S&P500 IndexTr007_SOpt— Asset class (CO), Long Put Option on CORN (sold option with premium paid)
These trades are in Portfolio 6. The portfolio uses the Standardized Approach for Counterparty Credit Risk (SA-CCR) framework and has one netting set (N001), one collateral set (CSA01), and no collateral positions.
Define Data
Define the foreign exchange (FX) spot currency exchange rate table.
format("default"); Base = ["EUR";"GBP";"GBP"]; Quote = ["USD";"USD";"EUR"]; SpotRate = [1.0543;1.2195;1.1567]; FXSpotTable = table(Base,Quote,SpotRate)
FXSpotTable=3×3 table
Base Quote SpotRate
_____ _____ ________
"EUR" "USD" 1.0543
"GBP" "USD" 1.2195
"GBP" "EUR" 1.1567
Define the SA-CCR CRIF file.
SACCRCRIF = "SACCR_CRIF_Port_6.csv";Create saccr Object
Construct the saccr object from SACCRCRIF.
mySACCR = saccr(SACCRCRIF, DomesticCurrency="USD", FXSpot=FXSpotTable)mySACCR =
saccr with properties:
CRIF: [19×19 table]
NumPortfolios: 1
PortfolioIDs: "Port_006"
CounterpartyIDs: ""
Portfolios: [1×1 saccr.Portfolio]
Regulation: "Basel_CRE52"
DomesticCurrency: "USD"
Alpha: 1.4000
FXSpotRates: [3×3 table]
TradeDecompositions: [5×2 table]
CollateralHaircuts: [200×6 table]
SupervisoryParameters: [19×7 table]
MaturityBusinessDaysFloor: 10
NumBusinessDaysYear: 250
Display the contents of the SA-CCR CRIF file.
mySACCR.CRIF
ans=19×19 table
PortfolioID TradeID CounterpartyName CounterpartyID NettingSetNumber RiskType Category Qualifier Bucket Label1 Label2 Amount AmountCurrency AmountUSD Regulation Model ValuationDate EndDate Label3
___________ __________ ________________ ______________ ________________ ________ ___________ _____________________________ _________ _________ _________ __________ ______________ __________ ________________ ________ _____________ _______ ______
"Port_006" "CSA01" <missing> <missing> "N001_CSA01" "COLL" "DIRECTION" <missing> <missing> "MUTUAL" <missing> NaN <missing> NaN "Basel (CRE 52)" "SA-CCR" 16-Oct-2023 NaN NaN
"Port_006" "CSA01" <missing> <missing> "N001_CSA01" "COLL" "MPOR" <missing> <missing> "10" <missing> NaN <missing> NaN "Basel (CRE 52)" "SA-CCR" 16-Oct-2023 NaN NaN
"Port_006" "CSA01" <missing> <missing> "N001_CSA01" "COLL" "MTA" <missing> <missing> <missing> <missing> 0 "USD" 0 "Basel (CRE 52)" "SA-CCR" 16-Oct-2023 NaN NaN
"Port_006" "CSA01" <missing> <missing> "N001_CSA01" "COLL" "TA" <missing> <missing> <missing> <missing> 0 "USD" 0 "Basel (CRE 52)" "SA-CCR" 16-Oct-2023 NaN NaN
"Port_006" "Tr001" <missing> <missing> "N001_CSA01" "IR" "EUR" "EUR" <missing> "0" "10" 3.1478e+07 "EUR" 3.3187e+07 "Basel (CRE 52)" "SA-CCR" 16-Oct-2023 10 1
"Port_006" "Tr001" <missing> <missing> "N001_CSA01" "PV" <missing> <missing> <missing> <missing> <missing> -5650.7 "EUR" -5957.5 "Basel (CRE 52)" "SA-CCR" 16-Oct-2023 NaN NaN
"Port_006" "Tr002_01" <missing> <missing> "N001_CSA01" "FX" "EURGBP" "EURGBP" <missing> "0.5" "0.5" 1e+06 "EUR" 1.0543e+06 "Basel (CRE 52)" "SA-CCR" 16-Oct-2023 0.5 -1
"Port_006" "Tr002_02" <missing> <missing> "N001_CSA01" "FX" "EURGBP" "EURGBP" <missing> "0.5" "1" 1e+06 "EUR" 1.0543e+06 "Basel (CRE 52)" "SA-CCR" 16-Oct-2023 1 1
"Port_006" "Tr002" <missing> <missing> "N001_CSA01" "PV" <missing> <missing> <missing> <missing> <missing> 1702.2 "GBP" 2075.9 "Basel (CRE 52)" "SA-CCR" 16-Oct-2023 NaN NaN
"Port_006" "Tr003" <missing> <missing> "N001_CSA01" "CR_SN" "CREDIT" "SPAIN" "A" "0" "5" 2.212e+07 "EUR" 2.3321e+07 "Basel (CRE 52)" "SA-CCR" 16-Oct-2023 5 -1
"Port_006" "Tr003" <missing> <missing> "N001_CSA01" "PV" <missing> <missing> <missing> <missing> <missing> -62783 "EUR" -66192 "Basel (CRE 52)" "SA-CCR" 16-Oct-2023 NaN NaN
"Port_006" "Tr004" <missing> <missing> "N001_CSA01" "CR_IX" "CREDIT" "CDS iTraxx Europe Crossover" "SG" "0.5" "4.5" 3.5359e+07 "EUR" 3.7279e+07 "Basel (CRE 52)" "SA-CCR" 16-Oct-2023 4.5 -0.4
"Port_006" "Tr004" <missing> <missing> "N001_CSA01" "PV" <missing> <missing> <missing> <missing> <missing> 5.2464e+05 "EUR" 5.5313e+05 "Basel (CRE 52)" "SA-CCR" 16-Oct-2023 NaN NaN
"Port_006" "Tr005" <missing> <missing> "N001_CSA01" "EQ_SN" "EQUITY" "AAPL" <missing> "0" "2.5" 1e+07 "USD" 1e+07 "Basel (CRE 52)" "SA-CCR" 16-Oct-2023 2.5 0.23
"Port_006" "Tr005" <missing> <missing> "N001_CSA01" "PV" <missing> <missing> <missing> <missing> <missing> 34350 "USD" 34350 "Basel (CRE 52)" "SA-CCR" 16-Oct-2023 NaN NaN
"Port_006" "Tr006" <missing> <missing> "N001_CSA01" "EQ_IX" "EQUITY" "S&P500" <missing> "0" "3" 1e+07 "USD" 1e+07 "Basel (CRE 52)" "SA-CCR" 16-Oct-2023 3 -0.27
⋮
Display Portfolio
Display the Portfolio object for Port_006.
mySACCR.Portfolios
ans =
Portfolio with properties:
ID: "Port_006"
CounterpartyID: ""
Trades: [7×1 saccr.Trade]
NettingSets: [1×1 saccr.NettingSet]
AssetClasses: [7×1 string]
Display Netting Set
The NettingSet object or all trades is N001. Display the details for this netting set.
mySACCR.Portfolios(1).NettingSets
ans =
NettingSet with properties:
ID: "N001"
CollateralSets: [1×1 saccr.CollateralSet]
Display Collateral Set
The CollateralSet object for all trades is CSA01. Display the details for this collateral set.
mySACCR.Portfolios(1).NettingSets.CollateralSets
ans =
CollateralSet with properties:
ID: "CSA01"
NettingSetID: "N001"
Direction: "MUTUAL"
Threshold: 0
ThresholdCurrency: "USD"
MTA: 0
MTACurrency: "USD"
MPOR: 10
STM: 0
CollateralPositions: [0×1 saccr.CollateralPosition]
Display Trades
Display the Trade objects for Tr001, Tr004, and Tr007_SOpt.
mySACCR.Portfolios.Trades(1)
ans =
Trade with properties:
ID: "Tr001"
NettingSetID: "N001"
CollateralSetID: "CSA01"
AssetClass: "IR"
SubClass: <missing>
HedgingSet: "EUR"
Qualifier: "EUR"
AdjustedNotional: 3.1478e+07
AdjustedNotionalCurrency: "EUR"
AdjustedNotionalUSD: 3.3187e+07
PV: -5.6507e+03
PVCurrency: "EUR"
PVUSD: -5.9575e+03
StartTime: 0
EndTime: 10
MaturityTime: 10
SupervisoryDelta: 1
InputVariant: "1a"
SoldOption: 0
MaturityFactorUncollateralized: 1
MaturityFactorCollateralized: 0.3000
MaturityBucket: "B3: > 5Y"
mySACCR.Portfolios.Trades(4)
ans =
Trade with properties:
ID: "Tr004"
NettingSetID: "N001"
CollateralSetID: "CSA01"
AssetClass: "CR_IX"
SubClass: "SG"
HedgingSet: "CREDIT"
Qualifier: "CDS iTraxx Europe Crossover"
AdjustedNotional: 3.5359e+07
AdjustedNotionalCurrency: "EUR"
AdjustedNotionalUSD: 3.7279e+07
PV: 5.2464e+05
PVCurrency: "EUR"
PVUSD: 5.5313e+05
StartTime: 0.5000
EndTime: 4.5000
MaturityTime: 4.5000
SupervisoryDelta: -0.4000
InputVariant: "1a"
SoldOption: 0
MaturityFactorUncollateralized: 1
MaturityFactorCollateralized: 0.3000
MaturityBucket: [0×1 string]
mySACCR.Portfolios.Trades(7)
ans =
Trade with properties:
ID: "Tr007_SOpt"
NettingSetID: "N001"
CollateralSetID: "CSA01"
AssetClass: "CO"
SubClass: "AGRICULTURAL"
HedgingSet: "AGRI"
Qualifier: "CORN"
AdjustedNotional: 1.0435e+05
AdjustedNotionalCurrency: "USD"
AdjustedNotionalUSD: 1.0435e+05
PV: -9.7215e+03
PVCurrency: "USD"
PVUSD: -9.7215e+03
StartTime: 0
EndTime: 0.5000
MaturityTime: 0.5000
SupervisoryDelta: -0.3600
InputVariant: "1a"
SoldOption: 1
MaturityFactorUncollateralized: 0.7071
MaturityFactorCollateralized: 0.3000
MaturityBucket: [0×1 string]
Compute Replacement Cost
Compute replacement cost (RC) component results using rc.
RCResults = rc(mySACCR)
RCResults =
RCResults with properties:
NumPortfolios: 1
PortfolioIDs: "Port_006"
CounterpartyIDs: ""
Regulation: "Basel_CRE52"
DomesticCurrency: "USD"
RCUncollateralized: 6.8972e+05
RCCollateralized: 6.8972e+05
Compute Add-On Component
Compute add-on component results using addOn.
AddOnResults = addOn(mySACCR)
AddOnResults =
AddOnResults with properties:
NumPortfolios: 1
PortfolioIDs: "Port_006"
CounterpartyIDs: ""
Regulation: "Basel_CRE52"
DomesticCurrency: "USD"
AddOnAggregateUncollateralized: 1.1177e+06
AddOnAggregateCollateralized: 3.3218e+05
AddOnAssetClassesUncollateralized: [1×1 saccr.AddOnAssetClassResults]
AddOnAssetClassesCollateralized: [1×1 saccr.AddOnAssetClassResults]
Compute PFE
Compute potential future exposure (PFE) component results using pfe.
PFEResults = pfe(mySACCR)
PFEResults =
PFEResults with properties:
NumPortfolios: 1
PortfolioIDs: "Port_006"
CounterpartyIDs: ""
Regulation: "Basel_CRE52"
DomesticCurrency: "USD"
PFEUncollateralized: 1.1177e+06
PFECollateralized: 3.3218e+05
MultiplierUncollateralized: 1
MultiplierCollateralized: 1
AddOnResults: [1×1 saccr.AddOnResults]
Compute EAD and Display Results
Compute exposure at default (EAD) results using ead and show the results table.
EADResults = ead(mySACCR)
EADResults =
EADResults with properties:
NumPortfolios: 1
PortfolioIDs: "Port_006"
CounterpartyIDs: ""
Regulation: "Basel_CRE52"
DomesticCurrency: "USD"
EAD: 1.4307e+06
Alpha: 1.4000
RC: 6.8972e+05
PFE: 3.3218e+05
Multiplier: 1
AddOnAggregate: 3.3218e+05
RCResults: [1×1 saccr.RCResults]
PFEResults: [1×1 saccr.PFEResults]
ResultsTable: [1×17 table]
EADResults.ResultsTable
ans=1×17 table
PortfolioIDs CounterpartyIDs Regulation DomesticCurrency EAD Alpha RC PFE Multiplier AddOnAggregate AddOnIR AddOnFX AddOnCR AddOnEQ AddOnCO Collateralized UsedCollateral
____________ _______________ _____________ ________________ __________ _____ __________ __________ __________ ______________ _______ _______ _______ __________ _______ ______________ ______________
"Port_006" "" "Basel_CRE52" "USD" 1.4307e+06 1.4 6.8972e+05 3.3218e+05 1 3.3218e+05 49780 0 65013 2.1536e+05 2028.6 true true
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- Framework for Standardized Approach to Calculating Counterparty Credit Risk: Introduction
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