Calculation of the Credit Conversion Factor (CCF)

The credit conversion factor (CCF) converts the amount of a free credit line and other off-balance-sheet transactions (with the exception of derivatives) to an EAD (exposure at default) amount. This function is used to calculate the exposure at default.

Integration

The calculation of the credit conversion factor is included in the process used to calculate the exposure at default by the assignment of modules SC_CPDP_CCF and SC_EAD_CCF_FL to the relevant EAD module sequences.

Prerequisites

Unless the CCF is imported, via the Source Data Layer (SDL) in the positions for the exposures, for the system to calculate the CCF correctly, the following activities must have been completed first:

The credit conversion factors for exposures have been entered in generic market data class SC_CPM_CCF in Customizing for Bank Analyzer under Source Data Layer Primary Objects Generic Market Data Edit Generic Market Data Class .
The environment SC_CPDP_EAD_POOL_1 must contain a module SC_CPDP_CCF to calculate the CCF. You create this module in Customizing for Bank Analyzer under Processes and Methods Credit Risk Credit Exposure Module Editor Edit Modules .
The environment SC_CPDP_EAD_POOL_1 must contain a module SC_EAD_CCF_FL to calculate the CCF. You create this module in Customizing for Bank Analyzer under Processes and Methods Credit Risk Credit Exposure Module Editor Edit Modules .
The module SC_CPDP_CCF has been added to the relevant module sequences used to calculate the EAD in Customizing for Bank Analyzer under Processes and Methods Credit Risk Credit Exposure Calculation Settings for the Calculation of EAD Edit EAD Module Sequence .
The module SC_EAD_CCF_FL has been added to the relevant module sequences used to calculate the EAD in Customizing for Bank Analyzer under Processes and Methods Credit Risk Credit Exposure Calculation Settings for the Calculation of EAD Edit EAD Module Sequence .

Features

In Business Content, the generic market data class SC_CPM_CCF is used to calculate the CCF. The market data class is called in the SC_CPDP_CCF and SC_EAD_CCF_FL modules, and the relevant CCF is calculated from the CCF class.

CCF Class	Credit Conversion Factor
CCF1	0.1
CCF2	0.2
CCF3	0.3
...	...

Activities

The credit conversion factors listed above for the generic market data class SC_CPM_CCF are examples. You have to enter your own credit conversion factors in the generic market data class. On the SAP Easy Access screen, choose Bank Analyzer Source Data Layer Primary Objects Generic Market Data Edit Generic Market Data .
If you use characteristics other than the CCF class to calculate credit conversion factors, you have to modify the market data class accordingly.
You do this in Customizing for Bank Analyzer under Bank Analyzer Source Data Layer Primary Objects Generic Market Data Edit Generic Market Data Classes .
If you modify the generic market data class, you must also modify the calls of the market data class in the modules SC_CPDP_CCF and SC_EAD_CCF_FL in the environment SC_CPDP_EAD_POOL_1. The same applies if you want to use different criteria and rules to calculate credit conversion factors.
You change modules in Customizing for Bank Analyzer under Processes and Methods Credit Risk Credit Exposure Module Editor Edit Modules .