CollateralPosition

CollateralPosition object for use with saccr object

Since R2024a

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.

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.

Properties

ID — Collateral position ID

"" (default) | string

This property is read-only.

Collateral position ID, returned as a scalar string.

Data Types: string

NettingSetID — Netting set ID

"" (default) | string

This property is read-only.

Netting set ID, returned as a scalar string.

Data Types: string

CollateralSetID — Collateral set ID

"" (default) | string

This property is read-only.

Collateral set ID, returned as a scalar string.

Data Types: string

MarginType — Margin type

"IM" (default) | string with value of "VM", "IA", or "IM"

This property is read-only.

Margin type, returned as a scalar string.

Data Types: string

AssetType — Collateral position asset type

"BOMD" (default) | string with value of "BOND", "EQUITY", "GOLD", or "CASH"

This property is read-only.

Collateral position asset type, returned as a scalar string.

Data Types: string

SubType — Collateral position asset subtype

"" (default) | string with value depending on AssetType

This property is read-only.

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

Data Types: string

Currency — Indicator for currency of Notional

"USD" (default) | 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

Notional — Notional value of collateral position in Currency

[] (default) | numeric

This property is read-only.

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

Data Types: double

NotionalUSD — Notional value of collateral position in US dollars

[] (default) | numeric

This property is read-only.

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

Data Types: double

MaturityTime — Time to maturity in years

[] (default) | numeric

This property is read-only.

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

Data Types: double

Segregated — Indicator whether collateral position is segregated and bankruptcy remote

false (default) | logical

This property is read-only.

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

Data Types: double

Rating — Credit rating for BOND collateral position AssetType

"" (default) | string

This property is read-only.

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

Data Types: string

ResidualMaturity — Residual maturity of BOND collateral position AssetType

"" (default) | 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

Create saccr Object and Display saccr.CollateralPosition Object

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

Collateral Position

In the context of SA-CCR, the collateral position refers to the amount and quality of collateral that is posted by a counterparty to mitigate credit risk exposure in derivative transactions.

Collateral reduces the exposure at default (EAD) by reducing the potential future exposure (PFE). The collateral can be in the form of cash or other securities. The amount of collateral that is considered for the calculation depends on the type of collateral and the haircut applied to it.

The collateral position can be either:

• Unsegregated, where the collateral is not separated from the other assets of the party that pledged it. In this case, the collateral can be rehypothecated (that is, reused in other transactions).

• Segregated, where the collateral is kept separate from the other assets of the party that pledged it. In this case, the collateral cannot be rehypothecated.

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