Calculating Attributable Amounts for Netting Groups 

Use

You can use report RKLNT to calculate attributable amounts for netting groups without having to run end-of-day processing. This evaluation also generates detailed logs of the calculation of the attributable amount.

Procedure

...

...

1.      Choose: ®Information System ®Reporting ® Counterparty Risk of Netting Group

The system displays the screen Counterparty Risk of Netting Group.

2.      Enter the selection criteria you require. These include:

·        Netting group

·        Determination procedure (this must be a determination procedure that is relevant for netting)

·        Valuation date

...

...

3.      To start the attributable amount determination for the netting groups choose  Execute.

Result

The system displays an overview list. On this screen, you see the netting attributable amount for each netting group and determination procedure you selected. Additional data is shown that was required for calculating the attributable amount (for example, the netting add-on, net/gross ratio, total of the NPVs, average default probability).

By choosing Group Details, or by double clicking on a row, you can display the detail log for each netting group and each determination procedure. The detail log contains additional data about the transactions assigned to the respective netting group. This data is displayed in several blocks, which are sorted by the type of attribution.

·       Key figures before the inclusion of collateral

All the transactions in the netting group are listed.

·       Key figures after inclusion of single transaction-related collateral for netting transactions

This block contains all the transaction data that results from the inclusion of the single-transaction-related collateral. The single-transaction-related collateral first reduces the positive net present value, and then the add-on.

·       Key figures after inclusion of collateral agreements

If the transactions in this netting group have also been assigned to a collateral agreement, they are listed in this section along with the collateral agreement data.

·       Key figures for the collateral agreements of the netting group

·       Results for the netting group

The results contain the individual results required for the calculation of the netting attributable amount.

The detail log also contains the following functions:

Pushbutton	Function
Transaction Details	The system displays the screen showing the transaction master data
NPV Determination	The log showing the cash flow discounting is displayed
Collateral Agreement Details	This takes you to the transaction in which collateral agreements are displayed.
Key Figures for Collateral Agreements	The system displays information about how the attributable amounts for the collateral agreement were calculated.