Trade

Trade object for use with saccr object

Since R2024a

Description

Create a Trade 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 Trade to create a Trade 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

mySACCRTrade = saccr.Trade

mySACCRTrade = saccr.Trade(Name=Value)

Description

mySACCRTrade = saccr.Trade creates a Trade object and sets the properties.

mySACCRTrade = saccr.Trade(Name=Value) sets the properties to different values by using name-value argument syntax. For example, mySACCRTrade = saccr.Trade(ID="CSA07",NettingSetID=N1003,CollateralSetID=CS087,AssetClass="CR_IX",SubClass="IG",HedgingSet="Hedge_Set_03",Qualifier="CDS",AdjustedNotional=13000,AdjustedNotionalCurrency="EUR",AdjustedNotionalUSD=15000,PV=14000,PVCurrency="EUR",PVUSD=16000,StartTime=datetime(10,1,2023),EndTime=datetime(10,1,2025),MaturityTime=2,SuperisotyDelta=500,SoldOption=true) creates a Trade object. You can specify multiple name-value arguments.

Properties

ID — Trade ID

"" (default) | string

This property is read-only.

Trade 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

CollateralSetID — Collateral set ID

"" (default) | string

This property is read-only.

Collateral set ID, returned as a scalar string.

Data Types: string

AssetClass — Collateral position asset type

"IR" (default) | string with value of "IR", "CR_SN", "CR_IX", "EQ_SN", "EQ_IX", "CO", or "FX"

This property is read-only.

Collateral position asset type, returned as a scalar string.

Data Types: string

SubClass — Sub asset class for "CR_SN", "CR_IX", and "CO" AssetClass

"" (default) | string

This property is read-only.

Sub asset class for given AssetClass, returned as a scalar string.

Data Types: string

HedgingSet — Hedging sets

"" (default) | string | vector

This property is read-only.

Hedging sets, returned as a scalar string or an NumComponents-by-1 string vector.

Data Types: string

Qualifier — Risk factor of trade

"" (default) | string | vector

This property is read-only.

Risk factor of trade, returned as a scalar string or an NumComponents-by-1 string vector.

Data Types: string

AdjustedNotional — Adjusted notional value of trade in currency specified in AdjustedNotionalCurrency

[] (default) | numeric | vector

This property is read-only.

Adjusted notional value of trade in currency specified in AdjustedNotionalCurrency, returned as a scalar or an NumComponents-by-1 numeric vector.

Data Types: double

AdjustedNotionalCurrency — Indicator of currency specified in AdjustedNotional

[] (default) | numeric | vector

This property is read-only.

Indicator of currency specified in AdjustedNotional, returned as a scalar or an NumComponents-by-1 three-letter ISO currency code.

Data Types: double

AdjustedNotionalUSD — Adjusted notional value of the trade in US dollars

[] (default) | numeric | vector

This property is read-only.

Adjusted notional value of the trade in US dollars, returned as a scalar or an NumComponents-by-1 numeric.

Data Types: double

PV — Present mark-to-market value of the trade in currency specified in PVCurrency

[] (default) | numeric

This property is read-only.

Present mark-to-market value of the trade in currency specified in PVCurrency, returned as a scalar numeric.

Data Types: double

PVCurrency — Currency of PV

"" (default) | string

This property is read-only.

Currency of PV, returned as a scalar string.

Data Types: string

PVUSD — Present mark-to-market value of the trade in US dollars

[] (default) | numeric

This property is read-only.

Present mark-to-market value of the trade in US dollars, returned as a scalar numeric.

Data Types: double

StartTime — Starting reference time parameter "S" in years

[] (default) | numeric

This property is read-only.

Starting reference time parameter "S" in years, returned as a scalar or an NumComponents-by-1 numeric.

Data Types: double

EndTime — Ending reference time parameter "E" in years

[] (default) | numeric

This property is read-only.

Ending reference time parameter "E" in years, returned as a scalar or an NumComponents-by-1 numeric.

Data Types: double

MaturityTime — Time to maturity parameter "M" in years

[] (default) | numeric

This property is read-only.

Time to maturity parameter "M" in years, returned as a scalar or an NumComponents-by-1 numeric.

Data Types: double

SupervisoryDelta — Supervisory Delta of trade

[] (default) | numeric

This property is read-only.

Supervisory Delta of trade, returned as a scalar or an NumComponents-by-1 numeric.

Data Types: double

SoldOption — Indicator whether trade is sold option where option premium is paid

false (default) | logical

This property is read-only.

Indicator whether trade is sold option where option premium is paid, returned as a scalar logical.

Data Types: logical

Examples

Create saccr Object and Display saccr.Trade Object

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

mySACCR.Portfolios(1).Trades

ans=7×1 Trade array with properties:
    ID
    NettingSetID
    CollateralSetID
    AssetClass
    SubClass
    HedgingSet
    Qualifier
    AdjustedNotional
    AdjustedNotionalCurrency
    AdjustedNotionalUSD
    PV
    PVCurrency
    PVUSD
    StartTime
    EndTime
    MaturityTime
    SupervisoryDelta
    InputVariant
    SoldOption
    MaturityFactorUncollateralized
    MaturityFactorCollateralized
    MaturityBucket

Also you can display the Trades for a specific trade instance.

mySACCR.Portfolios(1).Trades(1)

ans = 
  Trade with properties:

                                ID: "Tr001"
                      NettingSetID: "N001"
                   CollateralSetID: "CSA01"
                        AssetClass: "IR"
                          SubClass: <missing>
                        HedgingSet: "EUR"
                         Qualifier: "EUR"
                  AdjustedNotional: 3.1478e+07
          AdjustedNotionalCurrency: "EUR"
               AdjustedNotionalUSD: 3.3187e+07
                                PV: -5.6507e+03
                        PVCurrency: "EUR"
                             PVUSD: -5.9575e+03
                         StartTime: 0
                           EndTime: 10
                      MaturityTime: 10
                  SupervisoryDelta: 1
                      InputVariant: "1a"
                        SoldOption: 0
    MaturityFactorUncollateralized: 1
      MaturityFactorCollateralized: 0.3000
                    MaturityBucket: "B3: > 5Y"

More About

Trade

In the context of SA-CCR, the trade refers to an individual transaction or contract between two parties, typically involving financial derivatives such as swaps, options, futures, and forwards.

Each trade has its own terms and conditions, which include details like the type of derivative, the underlying asset, the notional amount, the maturity date, and the pricing formula. These details are used in the SA-CCR methodology to calculate the trade's potential future exposure (PFE) and replacement cost (RC).

• Potential Future Exposure (PFE) — This calculation is an estimate of the potential increase in a trade's exposure over its remaining life, taking into account possible changes in market conditions.

• Replacement Cost (RC) — This calculation is the cost of replacing a trade's current market value if the counterparty defaults immediately.

The SA-CCR methodology aggregates the PFE and RC of all trades in a portfolio or netting set to calculate the total exposure at default (EAD). This aggregation takes into account the risk-reducing effect of netting and collateral agreements, as well as the risk-increasing effect of potential future changes in market conditions.

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