DRCBASE
The DRCBASE table contains the fields used to calculate the Gross JTD. It contains a row for each DRC fact in the SA cube.
| Column Name | Type | Not Null | Cube Field | Description |
|---|---|---|---|---|
| AS_OF_DATE | DATE | Y | See field in joined table (TRADE_BASE) | Timestamp (at close of business) for the data. |
| TRADE_ID | STRING | Y | Database key for trade/position. | |
| RISK_CLASS | STRING | Y | See field in joined table (TRADE_BASE) | “DRC non-Sec” or “DRC Sec non-CTP”. |
| RISK_FACTOR | STRING | Y | See field in joined table (TRADE_BASE) | The reference to the Obligor/Tranche (Underlying), maturity, and seniority. |
| INSTRUMENT_LGD_TYPE | STRING | [Default Risk Charge].[DRC Instrument LGD Type] | Instrument type for LGD (BCBS 457, [MAR22.12])
|
|
| DIRECTION | STRING | Y | [Default Risk Charge].[DRC Direction] | ‘long’ or ‘short’. |
| NOTIONAL | DOUBLE | 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. | |
| PRESENT_VALUE | DOUBLE | 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. | |
| GROSS_JTD | DOUBLE | This field is a measure | (optional) Gross JTD value; providing this value skips the calculation (using market value and notional). | |
| CCY | STRING | Y | DRC Gross JTD Currency | (optional) Currency code of Gross JTD, Notional, or MarketValue. Required if GrossJTD, Notional, or MarketValue provided. |
| ADJUSTMENT | DOUBLE | DRC Adjustment (measure) | The adjustment added to the Gross JTD (when sa.drc.adjustment.apply=true) |
|
| PRESENT_VALUE_OVERRIDDEN | STRING | Y | Flag to indicate which PV value to use; from this table (“Y”), or from SATRADE_DESCRIPTION (“N”) | |
| NOTIONAL_OVERRIDDEN | STRING | Y | Flag to indicate which Notional value to use; from this table (“Y”), or from SATRADE_DESCRIPTION (“N”) Or set to “G” to use GROSS_JTD value from this table instead of calculating from PV and Notional |
Unique Key
| Columns |
|---|
| AS_OF_DATE |
| TRADE_ID |
| RISK_CLASS |
| RISK_FACTOR |
Incoming Joins
| Source Table | Source Columns | Target Columns |
|---|---|---|
| TRADE_BASE | AS_OF_DATE TRADE_ID RISK_CLASS RISK_FACTOR |
AS_OF_DATE TRADE_ID RISK_CLASS RISK_FACTOR |