CollateralSet

CollateralSet object for use with saccr object

Since R2024a

Description

Create a CollateralSet 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 CollateralSet to create a CollateralSet 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

mySACCRCollateralSet = saccr.CollateralSet

mySACCRCollateralSet = saccr.CollateralSet(Name=Value)

Description

mySACCRCollateralSet = saccr.CollateralSet creates a CollateralSet object and sets the properties.

mySACCRCollateralSet = saccr.CollateralSet(Name=Value) sets the properties to different values by using name-value argument syntax. For example, mySACCRCollateralSet = saccr.CollateralSet(ID="CSA07",NettingSetID=N1003,Direction="ONEWAYIN",Threshold=1000,ThreholdCurrency="EUR",MTA=500,MTACurrency="EUR",MPOR=23,CollateralPositions=saccr_collateralpositions_object) creates a CollateralSet object. You can specify multiple name-value arguments.

Properties

ID — Collateral set ID

"" (default) | string

Collateral set 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

Direction — Collateral agreement directions

"MUTUAL" (default) | string with value of"ONEWAYIN", "ONEWAYOUT", or "MUTUAL"

This property is read-only.

Collateral agreement directions, returned as a scalar string.

Data Types: string

Threshold — Threshold amount

[] (default) | numeric

This property is read-only.

Threshold amount, returned as a scalar numeric.

Data Types: double

ThresholdCurrency — Indicator for threshold currency

"USD" (default) | string

This property is read-only.

Indicator for threshold currency, returned as a scalar string.

Data Types: string

MTA — Minimum transfer amount

[] (default) | numeric

This property is read-only.

Minimum transfer amount (MTA), returned as a scalar numeric.

Data Types: double

MTACurrency — Indicator for MTA currency

"USD" (default) | string

This property is read-only.

Indicator for MTA currency, returned as a scalar string.

Data Types: string

MPOR — Margin period of risk in days

[] (default) | numeric

This property is read-only.

Margin period of risk (MPOR) in days, returned as a scalar numeric.

Data Types: double

STM — Indicator for settled-to-market

false (default) | logical

This property is read-only.

Indicator for settled-to-market (STM), returned as a scalar logical.

Data Types: double

CollateralPositions — CollateralPosition objects

[] (default) | vector

This property is read-only.

CollateralPosition objects, returned as a NumCollateralPositions-by-1 vector.

Data Types: object

Examples

Create saccr Object and Display saccr.CollateralSet Object

Use an ISDA® SA-CCR Common Risk Interchange Format (CRIF) data file to create a saccr object and then display the saccr.CollateralSet object contained in the saccr.NettingSets.CollateralSets property.

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 CollateralSets properties for a specific portfolio contained in the mySACCR.Portfolios.NettingSets object.

mySACCR.Portfolios(1).NettingSets.CollateralSets

ans = 
  CollateralSet with properties:

                     ID: "CSA01"
           NettingSetID: "N001"
              Direction: "MUTUAL"
              Threshold: 0
      ThresholdCurrency: "USD"
                    MTA: 0
            MTACurrency: "USD"
                   MPOR: 10
                    STM: 0
    CollateralPositions: [3x1 saccr.CollateralPosition]

More About

Collateral Set

In the context of SA-CCR, the collateral set refers to the specifications of the collateral agreement associated with a netting set of transactions that are collateralized by the same legally enforceable netting agreement and collateral agreement between two counterparties.

A collateral set includes all the derivative transactions that are covered by the same collateral agreement. This coverage means that the collateral received or posted for these transactions can be used to offset the exposure of the other transactions in the set.

In the event of a counterparty default, the value of the collateral in the collateral set can be used to reduce the loss. This calculation is done by netting the positive and negative values of the transactions in the netting set, and then subtracting the value of the collateral.

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