22.1 Single Counterparty Credit Exposures

This section describes the parameters of the Single Counterparty Credit Exposures Analysis.

Table 22-2 Single Counterparty Credit Exposures - Analysis Parameters

Parameters	Description
Analysis Name	Single Counterparty Credit Exposures
Report Level Filters	Tabular Report: Measures (Exposure At Default, Gross Credit Exposure, Market Value, Expected Exposure, Expected Positive Exposure, Potential Future Exposure and Maximum Exposure) for sorting the single counterparty exposures and Display Top x (Top 10, 25, 50, 100, 250 and 500). Graphical Reports: All Dimensions covered by the analysis, Measures (Exposure At Default, Gross Credit Exposure, Market Value, Expected Exposure, Expected Positive Exposure, Potential Future Exposure & Maximum Exposure) covered by the analysis and Display Top x (Top 10, 25, 50, 100, 250 and 500).
Analysis Description	The analysis helps understand the organization's exposure in the trading book to single counter parties. This analysis has drill down capabilities to analyze the exposures at the netting set level for each single counterparty and further analyze exposures to each contract within the netting set.
Reports Covered	This analysis is a combination of tabular and graphical reports, consisting of the following: Top Single Counterparty Credit Exposures: A Tabular Report which lists the top x (report level filter) Single Counterparty Credit Exposures of the organization based on selected measure (report level filter), along with the complete details of the obligor such as Obligor name, Obligor ID, Legal Entity, Industry type, Industry, Counterparty rating and Counterparty PD %. The report also provides the details of the Obligors 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 to the netting set level and further to the contract level details. Top CCE – Asset Quality and Concentration: A bubble chart that displays the top x (report level filter) single counterparty credit exposures of the organization based on the selected measure (report level filter), selected combination of dimensions and Display – Top x, where each bubble representing an obligor/single counterparty is analyzed for concentration of the selected measure, percentage change in the selected measure during the last 30 days and the PD of the obligor/single counterparty.
Dimensions	Legal Entity Industry Type Industry Counterparty Rating Counterparty PD %
Drill-Down details	The Top Single Counterparty Credit Exposures tabular report has drill- down capabilities. The tabular report is presented at the Obligor level of the single counterparty which can be drill down to the netted contracts and non-netted contracts of the single counterparty exposures. The tabular report can be further drill-down to contract level details of the obligor from the netted contracts at the netting set level. Click on the single counterparty's Obligor ID, to drill-down to the Netting Set level which displays the Netting set level details (for netted contracts) and Contract Level details (For non-netted contracts) under Exposure at netting set (for netted contracts) & Contract level (for non-netted contracts) for selected counterparty. The following tabular reports are being displayed: Netting set level details (for netted contracts): This drill-down report displays the netting set level details for all the netting agreements/netting sets of the single counterparty along with details of the Obligor such as Obligor name, Obligor ID, Netting ID, Netting Agreement Description, Exposure At Default, Gross Credit Exposure, Notional Amount, Collateral Pledged, Collateral Received, Margin, Credit Valuation Adjustment, Market Value, Expected Exposure, Expected Positive Exposure, Potential Future Exposure and Maximum Exposure, at the netting set level. Contract Level details (For non-netted contracts): This drill –down report displays the netting set level details for all the non- netting agreements/netting sets of the single counterparty along 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, at the netting set level. 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 level details (for netted contracts) 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: Obligor Name, Obligor ID, Netting ID, Netting Agreement Description, Contract ID, Contract Type, Exposure At Default, Gross Credit Exposure, Market Value, Notional Amount, Expected Exposure, Expected Positive Exposure, Potential Future Exposure and Maximum Exposure.
Drill-down Path	In the Top - Single Counterparty Credit Exposures (tabular report), click on the Obligor ID to view the first drill-down report 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 view the further drill-down report as Contract level details of all contracts within chosen Netting Set.