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 |
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Analysis Name | Single Counterparty Credit Exposures |
Report Level Filters |
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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:
This report has drill down capabilities to the netting set level and further to the contract level details.
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Dimensions |
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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:
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.
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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. |