Create `saccr` Object and Compute Regulatory Values for Multiple Asset Classes with Netting Set

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This example shows how to create a saccr object for trades from multiple asset classes with a netting set. The trades are:

Tr001 — Asset class (IR), 10 Year Interest Rate Swap in EUR
Tr002 — 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 Option
Tr005 — Asset class (EQ_SN), Long Call Option on AAPL
Tr006 — Asset class (EQ_IX), Long Put Option on S&P500 Index
Tr007_SOpt — Asset class (CO), Long Put Option on CORN (sold option with premium paid)

These trades are in Portfolio 5. They use the Standardized Approach for Counterparty Credit Risk (SA-CCR) framework and have one netting set (N001), no collateral sets, 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_5.csv";

Create `saccr` Object

Construct the saccr object from SACCRCRIF.

mySACCR = saccr(SACCRCRIF, DomesticCurrency="USD", FXSpot=FXSpotTable)

mySACCR = 
  saccr with properties:

                         CRIF: [15x19 table]
                NumPortfolios: 1
                 PortfolioIDs: "Port_005"
              CounterpartyIDs: ""
                   Portfolios: [1x1 saccr.Portfolio]
                   Regulation: "Basel_CRE52"
             DomesticCurrency: "USD"
                        Alpha: 1.4000
                  FXSpotRates: [3x3 table]
          TradeDecompositions: [5x2 table]
           CollateralHaircuts: [200x6 table]
        SupervisoryParameters: [19x7 table]
    MaturityBusinessDaysFloor: 10
          NumBusinessDaysYear: 250

Display the contents of the SA-CCR CRIF file.

mySACCR.CRIF

ans=15×19 table
    PortfolioID      TradeID       CounterpartyName    CounterpartyID    NettingSetNumber    RiskType    Category               Qualifier                  Bucket         Label1       Label2        Amount      AmountCurrency    AmountUSD        Regulation        Model      ValuationDate    EndDate    Label3
    ___________    ____________    ________________    ______________    ________________    ________    _________    _____________________________    ______________    _________    _________    __________    ______________    __________    ________________    ________    _____________    _______    ______

    "Port_005"     "Tr001"            <missing>          <missing>            "N001"         "IR"        "EUR"        "EUR"                            <missing>         "0"          "10"         3.1478e+07        "EUR"         3.3187e+07    "Basel (CRE 52)"    "SA-CCR"     2023-10-16         10          1 
    "Port_005"     "Tr001"            <missing>          <missing>            "N001"         "PV"        <missing>    <missing>                        <missing>         <missing>    <missing>       -5650.7        "EUR"            -5957.5    "Basel (CRE 52)"    "SA-CCR"     2023-10-16        NaN        NaN 
    "Port_005"     "Tr002_01"         <missing>          <missing>            "N001"         "FX"        "EURGBP"     "EURGBP"                         <missing>         "0.5"        "0.5"             1e+06        "EUR"         1.0543e+06    "Basel (CRE 52)"    "SA-CCR"     2023-10-16        0.5         -1 
    "Port_005"     "Tr002_02"         <missing>          <missing>            "N001"         "FX"        "EURGBP"     "EURGBP"                         <missing>         "0.5"        "1"               1e+06        "EUR"         1.0543e+06    "Basel (CRE 52)"    "SA-CCR"     2023-10-16          1          1 
    "Port_005"     "Tr002"            <missing>          <missing>            "N001"         "PV"        <missing>    <missing>                        <missing>         <missing>    <missing>        1702.2        "GBP"             2075.9    "Basel (CRE 52)"    "SA-CCR"     2023-10-16        NaN        NaN 
    "Port_005"     "Tr003"            <missing>          <missing>            "N001"         "CR_SN"     "CREDIT"     "SPAIN"                          "A"               "0"          "5"           2.212e+07        "EUR"         2.3321e+07    "Basel (CRE 52)"    "SA-CCR"     2023-10-16          5         -1 
    "Port_005"     "Tr003"            <missing>          <missing>            "N001"         "PV"        <missing>    <missing>                        <missing>         <missing>    <missing>        -62783        "EUR"             -66192    "Basel (CRE 52)"    "SA-CCR"     2023-10-16        NaN        NaN 
    "Port_005"     "Tr004"            <missing>          <missing>            "N001"         "CR_IX"     "CREDIT"     "CDS iTraxx Europe Crossover"    "SG"              "0.5"        "4.5"        3.5359e+07        "EUR"         3.7279e+07    "Basel (CRE 52)"    "SA-CCR"     2023-10-16        4.5       -0.4 
    "Port_005"     "Tr004"            <missing>          <missing>            "N001"         "PV"        <missing>    <missing>                        <missing>         <missing>    <missing>    5.2464e+05        "EUR"         5.5313e+05    "Basel (CRE 52)"    "SA-CCR"     2023-10-16        NaN        NaN 
    "Port_005"     "Tr005"            <missing>          <missing>            "N001"         "EQ_SN"     "EQUITY"     "AAPL"                           <missing>         "0"          "2.5"             1e+07        "USD"              1e+07    "Basel (CRE 52)"    "SA-CCR"     2023-10-16        2.5       0.23 
    "Port_005"     "Tr005"            <missing>          <missing>            "N001"         "PV"        <missing>    <missing>                        <missing>         <missing>    <missing>         34350        "USD"              34350    "Basel (CRE 52)"    "SA-CCR"     2023-10-16        NaN        NaN 
    "Port_005"     "Tr006"            <missing>          <missing>            "N001"         "EQ_IX"     "EQUITY"     "S&P500"                         <missing>         "0"          "3"               1e+07        "USD"              1e+07    "Basel (CRE 52)"    "SA-CCR"     2023-10-16          3      -0.27 
    "Port_005"     "Tr006"            <missing>          <missing>            "N001"         "PV"        <missing>    <missing>                        <missing>         <missing>    <missing>    1.8203e+05        "USD"         1.8203e+05    "Basel (CRE 52)"    "SA-CCR"     2023-10-16        NaN        NaN 
    "Port_005"     "Tr007_SOpt"       <missing>          <missing>            "N001"         "CO"        "AGRI"       "CORN"                           "AGRICULTURAL"    "0"          "0.5"        1.0435e+05        "USD"         1.0435e+05    "Basel (CRE 52)"    "SA-CCR"     2023-10-16        0.5      -0.36 
    "Port_005"     "Tr007_SOpt"       <missing>          <missing>            "N001"         "PV"        <missing>    <missing>                        <missing>         <missing>    <missing>       -9721.5        "USD"            -9721.5    "Basel (CRE 52)"    "SA-CCR"     2023-10-16        NaN        NaN

Display Portfolio

Display the Portfolios object for Port_005.

mySACCR.Portfolios

ans = 
  Portfolio with properties:

                ID: "Port_005"
    CounterpartyID: ""
            Trades: [7x1 saccr.Trade]
       NettingSets: [1x1 saccr.NettingSet]
      AssetClasses: [7x1 string]

Display Netting Set

The NettingSet object for all trades is N001. Display details for this netting set.

mySACCR.Portfolios(1).NettingSets

ans = 
  NettingSet with properties:

                ID: "N001"
    CollateralSets: [0x1 saccr.CollateralSet]

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: ""
                        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: 1
                    MaturityBucket: "B3: > 5Y"

mySACCR.Portfolios.Trades(4)

ans = 
  Trade with properties:

                                ID: "Tr004"
                      NettingSetID: "N001"
                   CollateralSetID: ""
                        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: 1
                    MaturityBucket: [0x1 string]

mySACCR.Portfolios.Trades(7)

ans = 
  Trade with properties:

                                ID: "Tr007_SOpt"
                      NettingSetID: "N001"
                   CollateralSetID: ""
                        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: 0.7071
                    MaturityBucket: [0x1 string]

Compute Replacement Cost

Compute replacement cost (RC) component results using rc.

RCResults = rc(mySACCR)

RCResults = 
  RCResults with properties:

         NumPortfolios: 1
          PortfolioIDs: "Port_005"
       CounterpartyIDs: ""
            Regulation: "Basel_CRE52"
      DomesticCurrency: "USD"
    RCUncollateralized: 6.8972e+05
      RCCollateralized: NaN

Compute Add-On Component

Compute add-On component results using addOn.

AddOnResults = addOn(mySACCR)

AddOnResults = 
  AddOnResults with properties:

                        NumPortfolios: 1
                         PortfolioIDs: "Port_005"
                      CounterpartyIDs: ""
                           Regulation: "Basel_CRE52"
                     DomesticCurrency: "USD"
       AddOnAggregateUncollateralized: 1.1177e+06
         AddOnAggregateCollateralized: NaN
    AddOnAssetClassesUncollateralized: [1x1 saccr.AddOnAssetClassResults]
      AddOnAssetClassesCollateralized: [1x1 saccr.AddOnAssetClassResults]

Compute PFE

Compute potential future exposure (PFE) component results using pfe.

PFEResults = pfe(mySACCR)

PFEResults = 
  PFEResults with properties:

                 NumPortfolios: 1
                  PortfolioIDs: "Port_005"
               CounterpartyIDs: ""
                    Regulation: "Basel_CRE52"
              DomesticCurrency: "USD"
           PFEUncollateralized: 1.1177e+06
             PFECollateralized: NaN
    MultiplierUncollateralized: 1
      MultiplierCollateralized: NaN
                  AddOnResults: [1x1 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_005"
     CounterpartyIDs: ""
          Regulation: "Basel_CRE52"
    DomesticCurrency: "USD"
                 EAD: 2.5303e+06
               Alpha: 1.4000
                  RC: 6.8972e+05
                 PFE: 1.1177e+06
          Multiplier: 1
      AddOnAggregate: 1.1177e+06
           RCResults: [1x1 saccr.RCResults]
          PFEResults: [1x1 saccr.PFEResults]
        ResultsTable: [1x17 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_005"           ""           "Basel_CRE52"         "USD"          2.5303e+06     1.4     6.8972e+05    1.1177e+06        1           1.1177e+06      1.6593e+05     12352     2.1671e+05    7.1787e+05    4781.3         false             false

Create `saccr` Object and Compute Regulatory Values for Multiple Asset Classes with Netting Set

Define Data

Create `saccr` Object

Display Portfolio

Display Netting Set

Display Trades

Compute Replacement Cost

Compute Add-On Component

Compute PFE

Compute EAD and Display Results

See Also

Related Examples

More About

Create saccr Object and Compute Regulatory Values for Multiple Asset Classes with Netting Set

Define Data

Create saccr Object

Display Portfolio

Display Netting Set

Display Trades

Compute Replacement Cost

Compute Add-On Component

Compute PFE

Compute EAD and Display Results

See Also

Related Examples

More About

Create `saccr` Object and Compute Regulatory Values for Multiple Asset Classes with Netting Set

Create `saccr` Object