The Counterparty Credit Exposure report monitors default exposures across horizon buckets and Potential Future Exposures (PFEs) of counterparties. Credit exposure captures the cost of replacing a transaction or a set of transactions with a counterparty if that counterparty defaults. Counterparties are netted according to client agreements
through a tagging facility. The report supports a single or multi-tiered netting hierarchy. The Credit Exposure module nets and calculates Counterparty Credit Exposure across broad asset classes: Bonds, interest rate derivatives, credit derivatives, equity and its derivatives.