Portfolio

Create Portfolio object for use with saccr object

Since R2024a

Description

Create a Portfolio object using this workflow:

1. Create the ISDA^® SA-CCR CRIF file.

   The ISDA SA-CCR Common Risk Interchange Format (CRIF) file 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 Portfolio to create a Portfolio 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

mySACCRPortfolio = saccr.Portfolio

mySACCRPortfolio = saccr.Portfolio(Name=Value)

Description

mySACCRPortfolio = saccr.Portfolio creates a Portfolio object and sets the properties to their default values.

mySACCRPortfolio = saccr.Portfolio(Name=Value) sets the properties to different values by using name-value argument syntax. For example, mySACCRPortfolio = saccr.Portfolio(ID="Port_086",CounterpartyID=1003,Trades=saccr_trade_object,NettingSets=saccr_netting_set_object) creates a Portfolio object. You can specify multiple name-value arguments.

Properties

ID — Portfolio ID

"" (default) | string

This property is read-only.

Portfolio ID, returned as a scalar string.

Data Types: string

CounterpartyID — Counterparty ID

"" (default) | string

This property is read-only.

Counterparty ID, returned as a scalar string.

Data Types: string

Trades — Trade objects

[] (default) | vector

This property is read-only.

Trade objects, returned as a NumTrades-by-1 vector.

Data Types: object

NettingSets — NettingSet objects

[] (default) | vector

This property is read-only.

NettingSet objects, returned as a NumNettingSets-by-1 vector.

Data Types: object

AssetClasses — Asset classes in trades

"" (default) | string

This property is read-only.

Asset classes in trades, returned as a NumAssetClasses-by-1 vector.

Data Types: string

HedgingSets — Hedging sets in trades

"" (default) | string

This property is read-only.

Hedging sets in trades, returned as a NumHedgingSets-by-1 vector.

Data Types: string

Examples

Create saccr Object and Display saccr.Portfolio Object

Use an ISDA® SA-CCR Common Risk Interchange Format (CRIF) data file to create a saccr object and then display the saccr.Portfolio object contained in the saccr.Portfolios 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 properties for a specific portfolio contained in the mySACCR.Portfolios object.

mySACCR.Portfolios(1)

ans = 
  Portfolio with properties:

                ID: "Port_007"
    CounterpartyID: ""
            Trades: [7x1 saccr.Trade]
       NettingSets: [1x1 saccr.NettingSet]
      AssetClasses: [7x1 string]

You can also display the AssetClasses contained in portfolio 1.

mySACCR.Portfolios(1).AssetClasses

ans = 7x1 string
    "CO"
    "CR_IX"
    "CR_SN"
    "EQ_IX"
    "EQ_SN"
    "FX"
    "IR"

More About

Portfolio

In the context of SA-CCR, the portfolio refers to a collection of transactions or exposures with one or more counterparties.

The SA-CCR methodology involves calculating the exposure at default (EAD) at the level of the portfolio. This portfolio-based approach allows for a more accurate and risk-sensitive measurement of counterparty credit risk, as it takes into account the correlations and diversification effects between different transactions within the portfolio.

The portfolio comprises all derivative transactions with a single counterparty, including those in netting sets and standalone transactions. It encompasses various derivative types. Credit exposure to the counterparty is calculated at the portfolio level. Multiple portfolios can be tied to the same counterparty, allowing aggregation of total credit exposure. For multiple counterparties, credit exposure is calculated separately in distinct portfolios, enabling aggregation across all counterparties.

The SA-CCR methodology includes specific rules for the recognition of collateral and the calculation of potential future exposure (PFE), which are applied at the portfolio level.

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