Elementary measuresElementare Measures
Replacement cost, PFE and EADReplacement Cost, PFE und EAD
The first CCR calculation layer produces current replacement cost after collateral, potential future exposure from configured add-on inputs and exposure at default as the sum of both components. Results remain traceable to the trade and netting set that produced them.Die erste CCR-Berechnungsschicht erzeugt Replacement Cost nach Collateral, Potential Future Exposure aus konfigurierten Add-on-Inputs und Exposure at Default als Summe beider Komponenten. Jedes Ergebnis bleibt bis zum erzeugenden Trade und Netting Set nachvollziehbar.
Counterparty contextCounterparty-Kontext
Parties, branches, funds and booking entitiesParties, Branches, Fonds und Booking Entities
Counterparty risk needs more than a single party identifier. Legal entities, branches, funds, booking entities and guarantors are represented through explicit relationships and effective-dated roles so exposure can be attributed without changing the existing market-risk party model.Counterparty Risk benoetigt mehr als eine einzelne Party-ID. Legal Entities, Branches, Fonds, Booking Entities und Guarantors werden ueber explizite, effektiv datierte Beziehungen und Rollen abgebildet, ohne das bestehende Market-Risk-Party-Modell zu veraendern.
Legal agreementsRechtliche Vereinbarungen
Netting sets and collateralNetting Sets und Collateral
Netting sets define where positive mark-to-market values can be offset and collateral can reduce current exposure. The configuration keeps counterparties, participants, guarantees, collateral currency and effective dates visible for review and later legal-agreement enrichment.Netting Sets legen fest, wo positive Mark-to-Market-Werte verrechnet werden koennen und Collateral die aktuelle Exposure reduziert. Counterparties, Participants, Guarantees, Collateral-Waehrung und Gueltigkeitsdaten bleiben fuer Review und spaetere Vertragsdetails sichtbar.
Risk viewsRisikoansichten
Aggregation from trade to management viewAggregation vom Trade bis zur Management-Sicht
CCR output should support drill-down by trade, netting set, counterparty, legal entity, branch, fund, booking entity and guarantor. The same dimensions provide the basis for counterparty dashboards, limit monitoring, concentration analysis and reporting-ready result packs.CCR-Output soll Drill-down nach Trade, Netting Set, Counterparty, Legal Entity, Branch, Fonds, Booking Entity und Guarantor unterstuetzen. Dieselben Dimensionen bilden die Grundlage fuer Counterparty-Dashboards, Limit Monitoring, Konzentrationsanalyse und Reporting-Pakete.
Standardised approachStandardansatz
A controlled path to SA-CCRKontrollierter Weg zu SA-CCR
The elementary layer is designed so SA-CCR supervisory factors, maturity factors, hedging-set treatment, asset classes, collateral recognition and regulatory capital outputs can be added as a configurable calculation model without changing existing market-risk workflows.Die elementare Schicht ist so angelegt, dass SA-CCR Supervisory Factors, Maturity Factors, Hedging Sets, Asset Classes, Collateral Recognition und Kapital-Output als konfigurierbares Berechnungsmodell ergaenzt werden koennen, ohne bestehende Market-Risk-Workflows zu aendern.