aggregateByCounterparty

Aggregate exposures at default (EADs) by counterparty

Since R2024a

Syntax

CounterpartyEADTable = aggregateByCounterparty(EADResultsObject)

Description

CounterpartyEADTable = aggregateByCounterparty(EADResultsObject) aggregates exposures at default (EADs) by counterparty using the EADResults object.

Alternatively, you can use the SA-CCR Analyzer (since R2026a) app to calculate aggregate exposure at default values. For more information, see Explore Exposure at Default and Associated Components Using the SA-CCR Analyzer App.

Examples

Aggregate Exposures at Default By Counterparty in saccr Object

Use the aggregateByCounterparty function to aggregate exposures at default (EADs) by counterparty in a saccr object.

Define the foreign exchange (FX) spot currency exchange rate table.

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 

Create the saccr object.

SACCRCRIF = "SACCR_CRIF_Ports_7_8_9.csv";
mySACCR = saccr(SACCRCRIF)

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: [0×0 table]
          TradeDecompositions: [5×2 table]
           CollateralHaircuts: [200×6 table]
        SupervisoryParameters: [19×7 table]
    MaturityBusinessDaysFloor: 10
          NumBusinessDaysYear: 250

You can then use the addOn and ead functions with the saccr object.

outAddOnResults = addOn(mySACCR)

outAddOnResults = 
  AddOnResults with properties:

                        NumPortfolios: 3
                         PortfolioIDs: [3×1 string]
                      CounterpartyIDs: [3×1 string]
                           Regulation: "Basel_CRE52"
                     DomesticCurrency: "USD"
       AddOnAggregateUncollateralized: [3×1 double]
         AddOnAggregateCollateralized: [3×1 double]
    AddOnAssetClassesUncollateralized: [1×1 saccr.AddOnAssetClassResults]
      AddOnAssetClassesCollateralized: [1×1 saccr.AddOnAssetClassResults]

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]

Use aggregateByCounterParty to aggregate exposures at default (EADs) by counterparty in a saccr object.

CounterPartyEADTable = aggregateByCounterparty(outEADResults)

CounterPartyEADTable=2×2 table
    CounterpartyID    CounterpartyEAD
    ______________    _______________

      ""                2.7348e+06   
      "Exchange"        3.1006e+05   

Input Arguments

EADResultsObject — EAD results object

object

EAD results object, specified as an EADResults object. You create an EADResults object using ead.

Data Types: object

Output Arguments

CounterpartyEADTable — EAD aggregated by counterparty

table

EAD aggregated by counterparty, returned as a table containing the following columns:

• CounterpartyID — Counterparty ID

• CounterpartyEAD — EAD aggregated for each counterparty

.

More About

Aggregate by Counterparty

The aggregate by counterparty computation is the sum of the EADs for all exposure values for a single counterparty.

Aggregate by counterparty is a key measure of counterparty credit risk. It provides an estimate of the maximum potential loss that a bank or financial institution could suffer if a specific counterparty were to default. This computation is a critical input for risk management and capital adequacy calculations.

References

[1] Bank for International Settlements. "CRE52 - Standardised Approach to Counterparty Credit Risk." June 2020. Available at: https://www.bis.org/basel_framework/chapter/CRE/52.htm.

[2] Bank for International Settlements. "CRE22 - Standardised Approach: Credit Risk Migration." November 2020. Available at: 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. Available at: https://www.bis.org/publ/bcbs279.pdf.

Version History

Introduced in R2024a