'Agreement' Customer Cube Dimension

A common customisation is to have a ‘(Netting) Agreement’ dimension on the Customer Cube portfolio, possibly replacing the existing ‘Counterparty’ dimension which is never used. This would be a good candidate for base inclusion. Indeed, the netting set is a key consolidation point for credit exposures, both from a regulatory and internal measurement perspective; PFE simulation is generally performed at the netting set level. It may be sensible to have non-limit checks on a Netting Agreement cube portfolio. Or have credit limits on the sub-portfolio of non-netted deals.

At the moment the system stores netting pool exposures as ‘sub-profiles’ in PortfolioProfile table, but these are not extracted to RiskScape Utilisation; having a dedicated cube portfolio for these would have the advantage of making them available out-of-the-box in RiskScape Utilisation. This would also facilitate the export of exposures to the Credit Risk Cube, where we think the netting set is going to be a key building block.

We suggest that this Agreement dimension should replace the current 'Counterparty' dimension in the base configuration. However we should keep the server code for the Counterparty dimension to retain backward compatibility for clients who may wish to retain this, i.e. the Counterparty dimension should be simply hidden, and it should be easy to reinstate it. [One may even imagine a system parameter that specifies the customer cube dimensions?]