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CollateralPosition

CollateralPosition object for use with saccr object

Since R2024a

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Description

Create a CollateralPosition object using this workflow:

  1. Create the ISDA®SA-CCR CRIF file.

    The ISDA SA-CCR Common Risk Interchange Format (CRIF) is a standardized file format developed by the International Swaps and Derivatives Association (ISDA) for reporting counterparty credit risk exposures under the Standardized Approach for Counterparty Credit Risk (SA-CCR) framework.

  2. Use saccr to create a saccr object.

  3. Use CollateralPosition to create a CollateralPosition object.

For more information on this workflow, see SA-CCR Transactional Elements and Framework for Standardized Approach to Calculating Counterparty Credit Risk: Introduction.

Creation

Syntax

mySACCRCollateralPosition = saccr.CollateralPosition
mySACCRCollateralPosition = saccr.CollateralPosition(Name=Value)

Description

mySACCRCollateralPosition = saccr.CollateralPosition creates a CollateralPosition object and sets the properties.

example

mySACCRCollateralPosition = saccr.CollateralPosition(Name=Value) sets the properties to different values by using name-value argument syntax. For example, mySACCRCollateralPosition = saccr.CollateralPosition(ID="CSA07",NettingSetID=N1003,CollateralSetID=CS087,MarginType="VM",AssetType="BOND",SubType="SOVEREIGN",Currency="EUR",Notional=10000,NotinalUSD=13000,MaturityTime=3,Segregated=true,Rating="AA") creates a CallateralPosition object. You can specify multiple name-value arguments.

example

Properties

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This property is read-only.

Collateral position ID, returned as a scalar string.

Data Types: string

This property is read-only.

Netting set ID, returned as a scalar string.

Data Types: string

This property is read-only.

Collateral set ID, returned as a scalar string.

Data Types: string

This property is read-only.

Margin type, returned as a scalar string.

Data Types: string

This property is read-only.

Collateral position asset type, returned as a scalar string.

Data Types: string

This property is read-only.

Collateral position asset subtype, returned as a scalar string with a value depending on AssetType.

Data Types: string

This property is read-only.

Indicator for currency of Notional, returned as a scalar string for the three-letter ISO currency code.

Data Types: string

This property is read-only.

Notional value of collateral position specified in Currency, returned as a scalar numeric.

Data Types: double

This property is read-only.

Notional value of collateral position in US dollars, returned as a scalar numeric.

Data Types: double

This property is read-only.

Time to maturity in years, returned as a scalar numeric.

Data Types: double

This property is read-only.

Indicator whether collateral position is segregated and bankruptcy remote, returned as a scalar logical.

Data Types: double

This property is read-only.

Credit rating for BOND collateral position AssetType, returned as a scalar string.

Data Types: string

This property is read-only.

Residual maturity of BOND collateral position AssetType, returned as a scalar string for one of the following:

  • "≤1Y" — Less than or equal to 1 year

  • ">1Y,≤3Y" — Greater than 1 year and less than or equal to 3 years

  • ">3Y,≤5Y" — Greater than 3 years and less than or equal to 5 years

  • ">5Y,≤10Y" — Greater than 5 years and less than or equal to 10 years

  • ">10Y" — Greater than 10 years

Data Types: string

Examples

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Open Live Script

Use an ISDA® SA-CCR Common Risk Interchange Format (CRIF) data file to create a saccr object and then display the saccr.CollateralPosition object contained in the first portfolio (Port_007).

SACCRCRIF = "SACCR_CRIF_Ports_7_8_9.csv";
mySACCR = saccr(SACCRCRIF)
mySACCR = 
  saccr with properties:

                         CRIF: [42x19 table]
                NumPortfolios: 3
                 PortfolioIDs: [3x1 string]
              CounterpartyIDs: [3x1 string]
                   Portfolios: [3x1 saccr.Portfolio]
                   Regulation: "Basel_CRE52"
             DomesticCurrency: "USD"
                        Alpha: [3x1 double]
                  FXSpotRates: [0x0 table]
          TradeDecompositions: [5x2 table]
           CollateralHaircuts: [200x6 table]
        SupervisoryParameters: [19x7 table]
    MaturityBusinessDaysFloor: 10
          NumBusinessDaysYear: 250

Display the Portfolios property.

mySACCR.Portfolios
ans=3×1 Portfolio array with properties:
    ID
    CounterpartyID
    Trades
    NettingSets
    AssetClasses
    HedgingSets

You can display the CollateralPositions properties for the first portfolio (Port_007).

mySACCR.Portfolios(1).NettingSets.CollateralSets.CollateralPositions(1)
ans = 
  CollateralPosition with properties:

                  ID: "ColPos01"
        NettingSetID: "N001"
     CollateralSetID: "CSA01"
          MarginType: "VM"
            Currency: "USD"
            Notional: 200000
         NotionalUSD: 200000
        MaturityTime: NaN
          Segregated: 0
              Rating: <missing>
           AssetType: "CASH"
             SubType: <missing>
    ResidualMaturity: [0x0 string]


mySACCR.Portfolios(1).NettingSets.CollateralSets.CollateralPositions(2)
ans = 
  CollateralPosition with properties:

                  ID: "ColPos02"
        NettingSetID: "N001"
     CollateralSetID: "CSA01"
          MarginType: "VM"
            Currency: "EUR"
            Notional: 150000
         NotionalUSD: 158145
        MaturityTime: NaN
          Segregated: 0
              Rating: <missing>
           AssetType: "CASH"
             SubType: <missing>
    ResidualMaturity: [0x0 string]


mySACCR.Portfolios(1).NettingSets.CollateralSets.CollateralPositions(3)
ans = 
  CollateralPosition with properties:

                  ID: "ColPos03"
        NettingSetID: "N001"
     CollateralSetID: "CSA01"
          MarginType: "IM"
            Currency: "USD"
            Notional: 500000
         NotionalUSD: 500000
        MaturityTime: 1.5000
          Segregated: 0
              Rating: "AAA"
           AssetType: "BOND"
             SubType: "SOVEREIGN"
    ResidualMaturity: "> 1Y, <= 3Y"

More About

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References

[1] Bank for International Settlements. "CRE52 — Standardised Approach to Counterparty Credit Risk." June 2020. https://www.bis.org/basel_framework/chapter/CRE/52.htm.

[2] Bank for International Settlements. "CRE22 — Standardised Approach: Credit Risk Migration." November 2020. https://www.bis.org/basel_framework/chapter/CRE/22.htm.

[3] Bank for International Settlements. "Basel Committee on Banking Supervision: The Standardised Approach for Measuring Counterparty Credit Risk Exposures." April 2014. https://www.bis.org/publ/bcbs279.pdf.

Version History

Introduced in R2024a

See Also

Functions

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