FRTB Accelerator Cubes GuideCRIF
These are the CRIF file data model mappings for DRC non-Sec. For a description of the DRC non-Sec data model used in the accelerator, see DRC non-Sec Data Model (Core)
See CRIF File Formats for details of the file format.
| Column | Data Model | Description |
|---|---|---|
| Risk Factor | Obligor | Obligor ID for the purpose of netting |
| RiskType | DRC_NS_M2M | |
| Qualifier | (Obligor) | Ignored |
| Bucket | DRC non-Sec Bucket | The DRC non-Sec bucket [MAR22.22] |
| Label2 | Seniority / Instrument LGD Type | Both the seniority and the lgd type are derived from this field. Possible values are: EQUITY, NON-SENIOR, SENIOR, COVERED BOND |
| Amount | PV | The bond-equivalent market value, in the units of the currency specified in the “AmountCurrency” field. |
| AmountCurrency | PV Currency | The currency used in the “Amount” and Label3 fields. |
| Label3 | Notional | The notional, in the units of the currency specified in the “AmountCurrency” field. |
| EndDate | Maturity Date | The maturity date of the exposure. |
| CreditQuality | Rating | The credit rating of the obligor |
Notes:
- The current data model requires the risk-factor and the obligor to be the same. Hence the value in the Qualifier column is ignored.
- The direction (long/short) is determined by checking if the PV is greater or less than 0.