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DRCBase

The DRCBase store contains the fields used to calculate the Gross JTD. It contains a row for each DRC fact in the SA cube.

It is indexed by TradeId, Risk Factor, RiskClass, and AsOfDate and referenced from the TradeBase store by these four fields.

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”.
Risk Factor Y String See field in referencing store (TradeBase) The refernce to the Obligor/Tranche (Underlying), maturity, and seniority.
InstrumentLGDType String [Default Risk Charge].[DRC Instrument LGD Type] Instrument type for LGD (BCBS 457, [MAR22.12])
  • equity
  • junior debt
  • senior debt
  • covered bond
Direction String [Default Risk Charge].[DRC Direction] ‘long’ or ‘short’.
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.
PresentValue Y Double PV DRC (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 ‘PresentValue’ in the Trade Attributes.
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.
Adjustment Y Double DRC Adjustment (measure) The adjustment added to the Gross JTD (when sa.drc.adjustment.apply=true)
AsOfDate Y LOCALDATE[yyyy-mm-dd] See field in referencing store (TradeBase) Timestamp (at close of business) for the data.

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