Create saccr Object and Compute Regulatory Values for Multiple Asset Classes
This example shows how to create a saccr object for trades representing multiple asset classes. 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 4. They use the Standardized Approach for Counterparty Credit Risk (SA-CCR) framework and have no netting sets, no collateral sets, or 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_4.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_004"
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_004" "Tr001" <missing> <missing> <missing> "IR" "EUR" "EUR" <missing> "0" "10" 3.1478e+07 "EUR" 3.3187e+07 "Basel (CRE 52)" "SA-CCR" 2023-10-16 10 1
"Port_004" "Tr001" <missing> <missing> <missing> "PV" <missing> <missing> <missing> <missing> <missing> -5650.7 "EUR" -5957.5 "Basel (CRE 52)" "SA-CCR" 2023-10-16 NaN NaN
"Port_004" "Tr002_01" <missing> <missing> <missing> "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_004" "Tr002_02" <missing> <missing> <missing> "FX" "EURGBP" "EURGBP" <missing> "0.5" "1" 1e+06 "EUR" 1.0543e+06 "Basel (CRE 52)" "SA-CCR" 2023-10-16 1 1
"Port_004" "Tr002" <missing> <missing> <missing> "PV" <missing> <missing> <missing> <missing> <missing> 1702.2 "GBP" 2075.9 "Basel (CRE 52)" "SA-CCR" 2023-10-16 NaN NaN
"Port_004" "Tr003" <missing> <missing> <missing> "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_004" "Tr003" <missing> <missing> <missing> "PV" <missing> <missing> <missing> <missing> <missing> -62783 "EUR" -66192 "Basel (CRE 52)" "SA-CCR" 2023-10-16 NaN NaN
"Port_004" "Tr004" <missing> <missing> <missing> "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_004" "Tr004" <missing> <missing> <missing> "PV" <missing> <missing> <missing> <missing> <missing> 5.2464e+05 "EUR" 5.5313e+05 "Basel (CRE 52)" "SA-CCR" 2023-10-16 NaN NaN
"Port_004" "Tr005" <missing> <missing> <missing> "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_004" "Tr005" <missing> <missing> <missing> "PV" <missing> <missing> <missing> <missing> <missing> 34350 "USD" 34350 "Basel (CRE 52)" "SA-CCR" 2023-10-16 NaN NaN
"Port_004" "Tr006" <missing> <missing> <missing> "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_004" "Tr006" <missing> <missing> <missing> "PV" <missing> <missing> <missing> <missing> <missing> 1.8203e+05 "USD" 1.8203e+05 "Basel (CRE 52)" "SA-CCR" 2023-10-16 NaN NaN
"Port_004" "Tr007_SOpt" <missing> <missing> <missing> "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_004" "Tr007_SOpt" <missing> <missing> <missing> "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_004.
mySACCR.Portfolios
ans =
Portfolio with properties:
ID: "Port_004"
CounterpartyID: ""
Trades: [7×1 saccr.Trade]
NettingSets: [0×1 saccr.NettingSet]
AssetClasses: [7×1 string]
Display Trades
Display some of the Trades objects (Tr001, Tr004, Tr007).
.
mySACCR.Portfolios.Trades(1)
ans =
Trade with properties:
ID: "Tr001"
NettingSetID: "Missing_NettingSet_Port_004_Tr001"
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: "Missing_NettingSet_Port_004_Tr004"
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: "Missing_NettingSet_Port_004_Tr007_SOpt"
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_004"
CounterpartyIDs: ""
Regulation: "Basel_CRE52"
DomesticCurrency: "USD"
RCUncollateralized: 7.7159e+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_004"
CounterpartyIDs: ""
Regulation: "Basel_CRE52"
DomesticCurrency: "USD"
AddOnAggregateUncollateralized: 1.7699e+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_004"
CounterpartyIDs: ""
Regulation: "Basel_CRE52"
DomesticCurrency: "USD"
PFEUncollateralized: 1.7699e+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_004"
CounterpartyIDs: ""
Regulation: "Basel_CRE52"
DomesticCurrency: "USD"
EAD: 3.5581e+06
Alpha: 1.4000
RC: 7.7159e+05
PFE: 1.7699e+06
Multiplier: 1
AddOnAggregate: 1.7699e+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_004" "" "Basel_CRE52" "USD" 3.5581e+06 1.4 7.7159e+05 1.7699e+06 1 1.7699e+06 1.6593e+05 71992 2.5601e+05 1.276e+06 0 false false
See Also
rc | addOn | pfe | ead | addOnChart | eadChart | pfeChart | rcChart | frtbsa
Topics
- Framework for Standardized Approach to Calculating Counterparty Credit Risk: Introduction
- Create saccr Object and Compute Regulatory Values for Interest-Rate Swap
- Create saccr Object and Compute Regulatory Values for Forward FX Swap
- Create saccr Object and Compute Regulatory Values for Two CDS Trades
- Create saccr Object and Compute Regulatory Values for Multiple Asset Classes with Netting Set
- Create saccr Object and Compute Regulatory Values for Multiple Asset Classes with Netting Set and Collateral Set
- Create saccr Object and Compute Regulatory Values for Multiple Asset Classes with Netting Set, Collateral Set, and Collateral Positions
- Create saccr Object and Compute Regulatory Values for Multiple Portfolios Containing Multiple Asset Classes
- SA-CCR Transactional Elements
- ISDA SA-CCR CRIF File Specifications
