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

Open Live Script

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: [15×19 table]
                NumPortfolios: 1
                 PortfolioIDs: "Port_005"
              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=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: [7×1 saccr.Trade]
       NettingSets: [1×1 saccr.NettingSet]
      AssetClasses: [7×1 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: [0×1 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: [0×1 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: [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_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: [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_005"
               CounterpartyIDs: ""
                    Regulation: "Basel_CRE52"
              DomesticCurrency: "USD"
           PFEUncollateralized: 1.1177e+06
             PFECollateralized: NaN
    MultiplierUncollateralized: 1
      MultiplierCollateralized: NaN
                  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_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: [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_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

See Also

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