23.1 Group of Connected Counterparties Credit Exposures (GCCE)

This section describes the parameters of the Group of Connected Counterparties Credit Exposures (GCCE) Analysis.

Table 23-2 Group of Connected Counterparties Credit Exposures (GCCE) Analysis Parameters

Parameters	Description
Analysis Name	Group of Connected Counterparties Credit Exposures (GCCE)
Report Level Filters	Tabular Report: Measures (Gross Credit Exposure, Market Value, Expected Exposure, Expected Positive Exposure, Potential Future Exposure and Maximum Exposure) for sorting the group of connected counterparties and Display Top x (Top 10, 25, 50, 100, 250 and 500). Graphical Reports: Measures (Exposure at Default, Gross Credit Exposure, Market Value, Expected Exposure, Expected Positive Exposure, Potential Future Exposure and Maximum Exposure) and Display Top x (Top 10, 25, 50, 100, 250 and 500).
Analysis Description	This analysis presents the details of the organization's credit exposure in the trading book to group of connected counterparties. This analysis has drill down capabilities to analyze the list of the single counterparty exposures linked to each parent, and further analyzes the exposures at the netting set level for each single counterparty and further to each contract within the netting set level.
Reports Covered	This analysis is a combination of tabular and graphical reports, consisting of the following: Top Group of Connected Counterparty Exposures: A tabular report which lists the top x (report level filter) group of connected counterparty exposures of the organization based on selected measure (report level filter) and Display top x, along with the complete details of the Group such as Parent Name, Parent ID, Counterparty PD %, Parent Rating. The report also gives the details of the Parent/Group exposure such as the Exposure At Default, Gross Credit Exposure, Market Value, Notional Amount, Expected Exposure, Expected Positive Exposure, Potential Future Exposure and Maximum Exposure. This report has drill down capabilities from parent level to subsidiary (Obligor) level details of the counterparty credit exposures. The tabular report can be further drill-down to the netting set level for each subsidiary (Obligor) which displays the Netting Set Level Details (for netted contracts) & Contract level details (for non-netted contracts) for the selected Counterparty. Netting Set Level (for netted contracts) tabular report can be further drill-down to Contract level details of all contracts within chosen Netting Set by clicking on the netting ID. Top GCCE – Asset Quality and Concentration: A bubble chart that displays the top x (report level filter) Group of counterparty credit exposures of the organization based on selected measure (report level filter) and Display – Top x, where each bubble representing a group/parent counterparty (Group of connected counterparties) is analyzed for concentration of the selected measure, percentage change in the selected measure during the last 30 days and the PD of the Parent counterparty.
Dimensions	Not applicable
Drill-Down details	The Top Group Counterparty Credit Exposures tabular report has drill- down capabilities. The tabular report is presented at the Group or parent level displayed as Top Group of Connected Counterparty Exposures which can be drill down to the subsidiary (Obligor) level within that group being displayed as Single Counterparty credit exposures – forming part of the selected group, along with the name of the group which displays the following details: Obligor Name, Obligor ID, Industry type, Industry, Counterparty rating, Counterparty PD %, Exposure At Default, Gross Credit Exposure, Notional Amount, Market Value, Expected Exposure, Expected Positive Exposure, Potential Future Exposure, and Maximum Exposure. The Single Counterparty credit exposures – forming part of the selected group tabular report can be drill-down to the netting set level which displays the netted contracts and non-netted contracts of the group counterparty exposures displayed as Exposure at netting set (for netted contracts) & Contract level (for non-netted contracts) for selected Counterparty. Click on the Obligor ID from Single Counterparty credit exposures – forming part of the selected group tabular report to drill-down to the following reports: Netting Set Level Details (for netted contracts): This drill down report displays the Netting Set Level Details (for netted contracts) with the following details like Obligor ID, Obligor Name, Industry Type, Industry, Counterparty Rating, Counterparty PD %, Exposure at Default, Gross Credit Exposure, Notional Amount, Market Value, Expected Exposure, Expected Positive Exposure, Potential Future Exposure, and Maximum Exposure. Contract Level Details (For non-netted contracts): This drill –down report displays the netting set level details for all the non- netted agreements/netting sets of the single counterparty within the group with details of the Obligor such as Obligor name, Obligor ID, Netting ID, Netting Agreement Description column without a description, Contract ID, Contract type, Exposure At Default, Gross Credit Exposure, Market Value, Notional Value, Expected Exposure, Expected Positive Exposure, Potential Future Exposure and Maximum Exposure. You can further drill down to view the contract level details of the Obligors with the netting set agreement byclicking on the netting ID from Netting Set Agreement – Single Counterparty Credit Exposures tabular report. Contract level details of all contracts within chosen Netting Set: This drill down report displays the following contract details for each netting set ID of single counterparty within the group: Obligor Name, Obligor ID, Netting ID, Netting Agreement Description, Contract ID, Contract Type, Exposure At Default, Gross Credit Exposure, Notional Amount, Market Value, Expected Exposure, Expected Positive Exposure, Potential Future Exposure, and Maximum Exposure.
Drill-down Path	In the Top Group of Connected Counterparty Credit Exposures tabular report, click on Parent ID to view the first drill-down report Single Counterparty Credit exposures – Forming Part of the Selected Group which displays the counterparty Credit Exposures of the obligor linked to Parent along with the group name. In the Single Counterparty Credit exposures – Forming Part of the Selected Group tabular report, click on the Obligor ID to further drill-down to Exposure at netting set (for netted contracts) & Contract level (for non-netted contracts) for selected Counterparty which displays the Netting Set Level Details (for netted contracts) and Contract Level Details (For non-netted contracts) as tabular reports. In the Netting Set Level Details (for netted contracts) drill-down report click on the Netting ID to further view the drill-down report as Contract level details of all contracts within chosen Netting Set.