pfeChart

Generate potential future exposure (PFE) chart

Since R2024b

Syntax

pfeChart(saccrObj)

pfeChart(saccrObj,Name=Value)

h = pfeChart(saccrObj,___)

h = pfeChart(ax,saccrObj,___)

Description

pfeChart(saccrObj) creates a bar chart of portfolio potential future exposure (PFE) values. The final PFE values are selected between the uncollateralized and collateralized values to minimize the exposure-at-default (EAD).

pfeChart(saccrObj,Name=Value) creates a bar chart of portfolio PFE values using optional name-value arguments.

h = pfeChart(saccrObj,___) additionally returns the figure handle h for the PFE chart.

h = pfeChart(ax,saccrObj,___) creates the PFE chart on the axes specified by ax and returns the figure handle h for the chart.

Examples

Create SA-CCR Chart for PFE Values

Use pfeChart to create a SA-CCR chart for portfolio potential future exposure (PFE) values. The final PFE values are selected between the uncollateralized and collateralized values to minimize exposure-at-default (EAD).

Create saccr Object

Define the 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);

Define the ISDA® SA-CCR CRIF filename.

SACCRCRIF = "SACCR_CRIF_Ports_1_to_9.csv";

Use saccr to create a saccr object using the SA-CCR CRIF file.

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

mySACCR = 
  saccr with properties:

                         CRIF: [100×19 table]
                NumPortfolios: 9
                 PortfolioIDs: [9×1 string]
              CounterpartyIDs: [9×1 string]
                   Portfolios: [9×1 saccr.Portfolio]
                   Regulation: "Basel_CRE52"
             DomesticCurrency: "USD"
                        Alpha: [9×1 double]
                  FXSpotRates: [3×3 table]
          TradeDecompositions: [5×2 table]
           CollateralHaircuts: [200×6 table]
        SupervisoryParameters: [19×7 table]
    MaturityBusinessDaysFloor: 10
          NumBusinessDaysYear: 250

Generate PFE Charts

Use pfeChart to generate the charts. Specify "final" for Style to plot the bar chart for the final PFE values.

pfeChart(mySACCR,Style="final");
ax = gca;
ax.YAxis.Exponent = 0;
ytickformat('%.0f')

Specify "breakdown" for Style to stack the bar graphs for the PFE contributions from aggregate add-on and multiplier effect.

pfeChart(mySACCR,Style="breakdown");
ax = gca;
ax.YAxis.Exponent = 0;
ytickformat('%.0f')

Specify "comparison" for Style to overlay the uncollateralized and collateralized PFE bar graphs on top of the final PFE bar graphs. If there is no collateralization, collateralized values are the same as uncollateralized values.

pfeChart(mySACCR,Style="comparison");
ax = gca;
ax.YAxis.Exponent = 0;
ytickformat('%.0f')

Plot a subset of portfolios using the IDs name-value argument.

figure
pfeChart(mySACCR,Style="breakdown", ...
    IDs=["Port_002","Port_004","Port_006","Port_007"])
ax = gca;
ax.YAxis.Exponent = 0;
ytickformat('%.0f')

Specify Parent to create a PFE chart on the axes specified by the optional ax argument.

f = figure;
ax = newplot(f);
pfeChart(mySACCR,Parent=ax)
ax = gca;
ax.YAxis.Exponent = 0;
ytickformat('%.0f')

Input Arguments

saccrObj — SA-CCR object

object

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

Data Types: object

ax — Valid axes object in which to display PFE chart

ax object

(Optional) Valid axes object in which to display the PFE chart specified as an ax object that you create using axes. The PFE chart is created on the axes specified by the optional ax argument instead of on the current axes (gca). The optional argument ax can precede any of the input argument combinations.

Data Types: object

Name-Value Arguments

Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Example: pfeChart(mySACCR,Style="comparison")

Style — Style of PFE bar chart

"final" (default) | string

Style of PFE bar chart, specified as a scalar string with one of the following values:

• "final" — Plot the bar chart for the final PFE values.

• "comparison" — Overlay the uncollateralized and collateralized PFE bar graphs on top of the final PFE bar graphs. If there is no collateralization, collateralized values are the same as uncollateralized values.

• "breakdown" — Stack the bar graphs for the PFE contributions from aggregate add-on and multiplier effect.

Data Types: string

IDs — List of portfolio IDs to plot

plot all portfolios (default) | string vector

List of portfolio IDs to plot, specified as a scalar string or string vector.

Data Types: string

Parent — Scalar parent in which to plot

[] (default) | Axes object

Scalar parent in which to plot, specified as an Axes object using ax.

Data Types: object

Output Arguments

h — Figure handle for the pfe chart

handle object

Figure handle for the PFE chart, returned as a handle object. You can use h to access and change the properties of the chart.

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 R2024b