Attributable Amount Determination 
Attributable Amount Determination
The attributable amount is a measure of the default risk that arises when a transaction is concluded. The attributable amount should depict both the expected loss and the unexpected loss arising from a financial transaction. The system determines an attributable amount for every expected incoming cash flow or asset.
The credit risk of a trading transaction exists for the entire term of the transaction, and reflects the counterparty risk from the trading book plus any term-related and risk-related add-on for covering potential positive market value changes. In the case of classic credit transactions, the credit risk is influenced by the committed contract capital and the actual drawings in accordance with their amounts.
Settlement risk only exists at certain points in time during the "life" of the transaction. It exists during the period from the triggering of the advance payment until receipt of the return payment. Whether the settlement takes place via a clearing house or directly also influences the level of settlement risk.
Use
Depending on the type of financial transaction, the system determines amounts that quantify the risk involved in the transaction. If a transaction contains more than one risk at one point in time (counterparty credit risk, issuer credit risk, settlement risk) then the system generates several attributable amounts at the same time. At single transaction level, the unit of measure is the currency in which the transaction was concluded. The system displays totals records in the currency of the company code.
The
assignment table provides you with an overview of the possible risk categories for each transaction. In the case of an OTC option (long call) on a stock, for example, the system determines the credit risk of the counterparty of the option and the credit risk of the issuer of the stock. In the case of swaps with principal swaps, in addition to the counterparty credit risk the system also shows the settlement risk toward the counterparty from the time the advance payment is triggered until receipt of the return payment.Prerequisites
You need to have already made the settings necessary in Customizing for the determination procedures for all transactions. You need to ensure that for all transactions existing in the system there is a financial object with the corresponding
default risk data and a default risk rule.Features
The system calculates attributable amounts for each transaction type and risk type using a particular combination of determination procedure and default risk rule.
In order to calculate the attributable amounts, the system accesses formulas that link particular variables (base key figures) containing additional parameters (for example, add-on factors, default probabilities) to the final attributable amounts. The NPV and nominal amount are used as the base key figures for credit risk, and the return payment amount is the usual key figure for settlement risk (depending on whether a clearing house is involved). You can either let the SAP system determine the base key figures, or you can import them.
To display attributable amounts for settlement risk after the expiry date of the transaction, you need to maintain the validity end date of the transaction in the financial object.
Note that for country-risk-relevant financial objects, the end date has to be entered in the field Transaction End CPR because there is no field called Transaction End Country Risk.