Problem Note 49847: When mitigating, the sub-portfolio collateralization should be disabled
In SAS® Risk Dimensions®, collaterals are used in two ways. One use is through mitigation methods. The other use sums the collaterals and subtracts their value from exposure in each base sub-portfolio. If the _mitigant_adjval_ is positive for any collateral after mitigating, its value collateralizes its base sub-portfolio.
Consider the following example. Suppose there is a swap agreement in which both sides must offer collaterals. If the value at one market state is positive, then:
- The remaining collateral of _mitigant_adjval_ the collateral offsetting
(positive) exposure still offsets the exposure of its base sub-portfolio.
- Moreover, the entire collateral offsetting negative exposure offsets
the (positive) exposure of its base sub-portfolio.
- These extraneous offsettings are independent of counterparty. They depend on
the base sub-portfolio of each collateral.
There is no workaround.
Operating System and Release Information
| SAS System | SAS Risk Dimensions Enterprise Edition | Microsoft® Windows® for x64 | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows Server 2003 Enterprise Edition | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows Server 2003 Standard Edition | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows Server 2003 for x64 | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows Server 2008 | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows Server 2008 for x64 | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows XP Professional | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Windows 7 Enterprise 32 bit | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Windows 7 Enterprise x64 | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Windows 7 Home Premium 32 bit | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Windows 7 Home Premium x64 | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Windows 7 Professional 32 bit | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Windows 7 Professional x64 | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Windows 7 Ultimate 32 bit | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Windows 7 Ultimate x64 | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Windows Vista | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Windows Vista for x64 | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| 64-bit Enabled AIX | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| 64-bit Enabled HP-UX | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| 64-bit Enabled Solaris | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| HP-UX IPF | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Linux | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Linux for x64 | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Solaris for x64 | 5.5 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
*
For software releases that are not yet generally available, the Fixed
Release is the software release in which the problem is planned to be
fixed.
| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Financial Analysis
|
| Date Modified: | 2013-06-28 15:37:07 |
| Date Created: | 2013-05-02 16:02:15 |
