SA-CCR Analyzer

R2026b

Use SA-CCR framework to compute and analyze exposure at default

Since R2026a

Description

The SA-CCR Analyzer app provides an interface for interactive exploratory data analysis. The interface supports analysis of exposure at default (EAD) and the associated underlying components for replacement cost (RC), add-ons, and potential future exposure (PFE).

Using the app, you can:

1. Import SA-CCR data from an ISDA^® SA-CCR CRIF file or an saccr object.

2. View and define build option settings.

3. Compute and analyze EAD, RC, add-on, and PFE results.

4. Export results and plots for the EAD, RC, add-on, and PFE calculations.

5. Export the portfolios to an saccr object.

Open the SA-CCR Analyzer App

• MATLAB^® Toolstrip: On the Apps tab, under Computational Finance, click the app icon .

• MATLAB command prompt: Enter saccrAnalyzer.

Examples

Compare Two Portfolios

Import an SA-CCR CRIF file to the SA-CCR Analyzer app, select two portfolios from the file, and then compare those two portfolios.

From the MATLAB® Toolstrip on the Apps tab, under Computational Finance, click the app icon . Alternatively, from the MATLAB Command Window, enter saccrAnalyzer.

From the File section of the app toolbar, click the drop-down menu under the Import button and select Import SA-CCR CRIF File.

Use the SA-CCR CRIF File Selector to select the SACCR_CRIF_Ports_7_8_9.csv SA-CCR CRIF file, which is attached to this example in the current folder, and then click Open. The SA-CCR CRIF file displays in the SA-CCR CRIF tab in the Results pane of the main app window.

Begin the analysis by clicking the Analyze Portfolios button in the Analysis section of the app toolbar. The app analyzes all three portfolios. To analyze only portfolios Port_007 and Port_008, deselect the check box for portfolio Port_009 in the Portfolio Browser pane.

Redo the analysis for only portfolios Port_007 and Port_008 by again clicking the Analyze Portfolios button. The app produces these results in the Plots and Results panes:

Plots Pane	Results Pane
• EAD Breakdown Plot • EAD Comparison Plot • RC Final Plot • Add-On Breakdown Plot • PFE Breakdown Plot	• SA-CCR CRIF • EAD Summary • EAD Detailed Results • Replacement Cost • Add-On Aggregate • Add-On by Asset Class • Uncollateralized PFE • Collateralized PFE

Customize Currency and Exchange Rates

Customize currency and exchange rates when analyzing portfolios using the SA-CCR Analyzer app.

Open the SA-CCR Analyzer app and import the SACCR_CRIF_Ports_1_to_9.csv file, which is attached to this example.

Begin the analysis by clicking the Analyze Portfolios button from the Analysis section of the app toolbar. The app analyzes the first five portfolios. To analyze all portfolios, select all of the check boxes for the portfolios in the Portfolio Browser pane.

Redo the analysis for all portfolios by again clicking the Analyze Portfolios button.

Choose Canadian Dollars (CAD) for your domestic currency using the Options dialog box.

Scan the AmountCurrency column of the table in the Results pane and observe entries with values EUR, GBP, and USD.

Enter conversion rates between CAD and EUR, GBP, and USD using the FX Spot Rates dialog box.

Redo the analysis for all portfolios by again clicking the Analyze Portfolios button. The results are now shown in Canadian Dollars (CAD).

Related Examples

• Framework for Standardized Approach to Calculating Counterparty Credit Risk: Introduction
• Explore Exposure at Default and Associated Components Using the SA-CCR Analyzer App

Parameters

Supervisory Parameters — Supervisory parameter data

Read-only: no default

This parameter is read-only.

Supervisory parameter data, including supervisory factors, supervisory correlations, and supervisory option volatilities.

Collateral Haircuts — Supervisory collateral haircut data

Read-only: no default

This parameter is read-only.

Supervisory collateral haircuts data, including residual maturity and rating.

FX Spot Rates — Spot foreign exchange rates

no default

Spot foreign exchange rates. For more detail, see Customize Currency and Exchange Rates.

Trade Decompositions — Preferred trade-adjusted notional input variant data

no default

Preferred trade-adjusted notional input variant data, including interest rate, credit, equity, commodity, and foreign exchange.

Options — Additional options

no default

Additional options, including domestic currency and alpha value for EAD computation.

Analyze Portfolios — Method to analyze portfolios automatically

"Manual" (default) | "Auto"

Method to analyze portfolios, specified as "Manual" or "Auto".

• "Manual" — The app updates the Results and Plots panes only when you click the Analyze Portfolios button.

• "Auto" — The app updates the Results and Plots panes when you change your selections in the Portfolio Browser.

More About

Standardized Approach for Counterparty Credit Risk (SA-CCR)

The Standardized Approach for Counterparty Credit Risk (SA-CCR) is a regulatory framework developed by the Basel Committee on Banking Supervision (BCBS) for calculating the capital requirements for counterparty credit risk exposure in derivative transactions. This approach captures the potential economic loss that a bank or financial institution could suffer in the event of a counterparty default. SA-CCR takes into account the potential future exposure and the effect of netting and collateral.

Tips

• If you make more than one entry in the FX Spot Table between the same two currencies, then the app uses the first entry from the table relating those two currencies and ignores all other entries relating those two currencies.

Version History

Introduced in R2026a