FRTB Accelerator Cubes GuideCRIF
These are the CRIF file data model mappings for DRC Sec non-CTP. For a description of the DRC Sec non-CTP data model used in the accelerator, see DRC Sec non-CTP Data Model (Core)
See CRIF File Formats for details of the file format.
| Column | Data Model | Description |
|---|---|---|
| Risk Factor | Risk Factor | The risk-factor id. This can be the same as the tranche. |
| RiskType | DRC_SNC_M2M. | |
| Qualifier | Tranche | The id of the tranche. |
| Bucket | DRC Sec non-CTP Bucket | The asset class [MAR22.31](2)(a). |
| 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 | Tranche Thickness | For non-senior tranches, the thickness is used to adjust the risk weight for SEC-ERBA, see [CRE42]. If not present a thickness of zero is used. |
| EndDate | Maturity Date | The maturity date of the exposure. |
| CreditQuality | Rating | The credit rating of the tranche. |
Notes:
- The current data model uses attachment and detachment points. The are calculated from the thickness as:
- $attachment := 0.5 - thickness/2$
- $detachment := 0.5 + thickness/2$
- The direction (long/short) is determined by checking if the PV is greater or less than zero.