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DRCBase

Store Field Key CanBeNull Type Cube Field Description
TradeId Y String See field in referencing store (TradeBase) Alphanumeric (e.g. “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc.) – if coming from multiple systems may need to prepend source system to the id for uniqueness.
RiskClass Y String See field in referencing store (TradeBase) “DRC non-Sec” or “DRC Sec non-CTP”.
ObligorId Y String See field in referencing store (Obligor) The Id of the Obligor.
InstrumentLGDType String [Default Risk Charge].[DRC Instrument LGD Type] Instrument type for LGD (BCBS 457, [MAR22.12])
  • equity
  • junior debt
  • senior debt
  • covered bond
Seniority String [Default Risk Charge].[DRC Seniority] Seniority of the exposure (matches values in the seniority description file).
Direction String [Default Risk Charge].[DRC Direction] ‘long’ or ‘short’.
Maturity Y Object [Default Risk Charge].[DRC Maturity] The maturity of the trade (e.g. “1D”, “2W”, “12M”, “1Y”, or date “YYYY-MM-DD”).
Notional Y Double Notional (This field is a measure) (optional) This is used to compute GrossJTD for non-Sec when not provided. This is an optional override for the ‘Notional’ in the Trade Attributes file.
PresentValue Y Double PV DRC (This field is a measure)
GrossJTD Y Double DRC non-Sec Gross JTD (This field is a measure) (optional) Gross JTD value; providing this value skips the calculation (using market value and notional).
GrossJTDCcy Y String DRC Gross JTD Currency (optional) Currency code of Gross JTD, Notional, or MarketValue. Required if GrossJTD, Notional or MarketValue provided.
Tranche Y String [Default Risk Charge].[DRC Sec non-CTP Tranche] ID of the Tranche.
AsOfDate Y LOCALDATE[yyyy-mm-dd] See field in referencing store (TradeBase) Timestamp (at close of business) for the data.
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