Data Model (Core)

This section describes the data used for the DRC non-Sec calculations, including how the data is structured.

For DRC non-Sec, each Obligor (Underlying) has an Obligor Name, Bucket, Rating, an optional Risk Weight, and a Fund Treatment.

The Risk Factor is used (along with the trade ID and as-of date) to identify the JTD Exposures. However, this field is not used directly in the calculations, instead the Obligor, Seniority, Maturity, and Zero Risk Weight fields are used. This means that multiple Risk Factor Names may be used for the same risk-factor.

The Field Mappings table lists all the fields across the data model and where they appear in the input files, database, and cube.