NettingSet

NettingSet object for use with saccr object

Since R2024a

Description

Create a NetttingSet 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 NettingSet to create a NettingSet 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

mySACCRNettingSet = saccr.NettingSet

mySACCRNettingSet = saccr.NettingSet(___,Name=Value)

Description

mySACCRNettingSet = saccr.NettingSet creates a NettingSet object and sets the properties.

mySACCRNettingSet = saccr.NettingSet(___,Name=Value) sets the properties to different values by using name-value argument syntax. For example, mySACCRNettingSet = saccr.NettingSet(ID="Port_086",CollateralSets=saccr_collateral_set_object) creates a NettingSet object. You can specify multiple name-value arguments.

Properties

ID — Netting set ID

"" (default) | string

This property is read-only.

Netting set ID, specified as a scalar string.

Data Types: string

CollateralSets — CollateralSet objects

[] (default) | vector

This property is read-only.

CollateralSet objects, returned as a NumCollateralSets-by-1 vector.

Data Types: object

Examples

Create saccr Object and Display saccr.NettingSet Object

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

mySACCR.Portfolios(1).NettingSets

ans = 
  NettingSet with properties:

                ID: "N001"
    CollateralSets: [1x1 saccr.CollateralSet]

More About

Netting Set

In the context of SA-CCR, the netting set refers to a group of transactions with a single counterparty that are subject to a legally enforceable bilateral netting agreement.

A netting agreement allows the values of multiple transactions to be combined, or "netted," so that only the net difference is owed by one party to the other. This agreement can significantly reduce the credit exposure between the two parties.

In the event of a counterparty default, instead of considering each transaction individually, the netting set allows all the positive and negative values of the transactions to be offset against each other. This offset can reduce the potential loss in case of default.

In the SA-CCR methodology, each netting set is considered separately when calculating the exposure at default (EAD). The EAD is calculated by adding the replacement cost (RC) and the potential future exposure (PFE) of the netting set and then multiplying by the Alpha scaling factor.

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