ead

Calculate exposure at default (EAD) value for each portfolio

Since R2024a

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Syntax

outEADResults = ead(saccrObject)

Description

outEADResults = ead(saccrObject) computes exposure at default (EAD) value for each portfolio using the saccr object. For more information, see Exposure at Default.

You can use the aggregate function to aggregate EADs over all portfolios using the EADResults output. Also you can use the aggregateByCounterparty function to aggregate EADs by counterparty using the EADResults output. In addition, you can use the eadChart function to create a chart of portfolio EAD values.

example

Examples

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Open Live Script

Use a saccr object and the ead function to calculate the exposure-at-default (EAD) for each portfolio.

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_Ports_7_8_9.csv";

Create a saccr object using the data from the SA-CCR CRIF file.

mySACCR = saccr(SACCRCRIF, DomesticCurrency="USD", FXSpot=FXSpotTable)
mySACCR = 
  saccr with properties:

                         CRIF: [42×19 table]
                NumPortfolios: 3
                 PortfolioIDs: [3×1 string]
              CounterpartyIDs: [3×1 string]
                   Portfolios: [3×1 saccr.Portfolio]
                   Regulation: "Basel_CRE52"
             DomesticCurrency: "USD"
                        Alpha: [3×1 double]
                  FXSpotRates: [3×3 table]
          TradeDecompositions: [5×2 table]
           CollateralHaircuts: [200×6 table]
        SupervisoryParameters: [19×7 table]
    MaturityBusinessDaysFloor: 10
          NumBusinessDaysYear: 250

You can then use the ead function with the saccr object. For more information, see Exposure at Default. 

outEADResults = ead(mySACCR)
outEADResults = 
  EADResults with properties:

       NumPortfolios: 3
        PortfolioIDs: [3×1 string]
     CounterpartyIDs: [3×1 string]
          Regulation: "Basel_CRE52"
    DomesticCurrency: "USD"
                 EAD: [3×1 double]
               Alpha: [3×1 double]
                  RC: [3×1 double]
                 PFE: [3×1 double]
          Multiplier: [3×1 double]
      AddOnAggregate: [3×1 double]
           RCResults: [1×1 saccr.RCResults]
          PFEResults: [1×1 saccr.PFEResults]
        ResultsTable: [3×17 table]


outEADResults.ResultsTable
ans=3×17 table
    PortfolioIDs    CounterpartyIDs     Regulation      DomesticCurrency       EAD        Alpha        RC           PFE        Multiplier    AddOnAggregate    AddOnIR    AddOnFX    AddOnCR     AddOnEQ       AddOnCO      Collateralized    UsedCollateral
    ____________    _______________    _____________    ________________    __________    _____    __________    __________    __________    ______________    _______    _______    _______    __________    __________    ______________    ______________

     "Port_007"       ""               "Basel_CRE52"         "USD"          3.7394e+05     1.4              0     2.671e+05     0.80408        3.3218e+05       49780        0        65013     2.1536e+05        2028.6        true              true      
     "Port_008"       ""               "Basel_CRE52"         "USD"          2.3608e+06     1.4     1.1555e+06    5.3077e+05           1        5.3077e+05       83467        0            0      4.473e+05             0        true              true      
     "Port_009"       "Exchange"       "Basel_CRE52"         "USD"          3.1006e+05     1.4              0    2.2147e+05           1        2.2147e+05           0        0            0              0    2.2147e+05        true              false

Input Arguments

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SA-CCR object, specified as a saccr object. You create a saccr object using saccr.

Data Types: object

Output Arguments

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Exposure at default (EAD) results, returned as an EADResults object. The EADResults object has the following properties:

  • NumPortfolios

  • PortfolioIDs

  • CounterpartyIDs

  • Regulation

  • DomesticCurrency

  • EAD

  • Alpha

  • RC

  • PFE

  • Multiplier

  • AddOnAggregate

  • RCResults

  • PFEResults

  • ResultsTable has NumPortfolios rows and the following columns:

    • PortfolioIDs

    • CounterpartyIDs

    • Regulation

    • DomesticCurrency

    • EAD

    • Alpha

    • RC

    • PFE

    • Multiplier

    • AddOnAggregate

    • AddOnIR

    • AddOnFX

    • AddOnCR

    • AddOnEQ

    • AddOnCO

    • Collateralized — Logical indicating whether the portfolio is collateralized with a collateral set.

    • UsedCollateral — Logical indicating whether the collateral, if any, successfully reduced the EAD. This flag indicates whether uncollateralized or collateralized values were used in computing the EAD.

You can use the aggregate and aggregateByCounterparty functions with the EADResults object.

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

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