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JTD Exposure

The JTD Exposure captures the jump-to-default risk that may not be captured by credit spread shocks under the SBM. The DRC calculations start with the Gross JTD which can be provided directly or calculated using the Market Value, Notional, and LGD.

Field Key Description
As-of Date Y Timestamp (at close of business) for the data (T-1)
Trade ID Y A unique identifier for the trade (or position)
Risk Factor Name Y A unique identifier for the risk-factor
Risk Class Y “DRC non-Sec”
Risk Measure Y “DRC”
Instrument LGD Type Instrument type for LGD: “equity”, “junior debt”, “senior debt”, or “covered bond”
Direction Is the exposure “long” or “short”
Market Value The bond-equivalent market value of the exposure
Notional The bond-equivalent notional of the exposure
Gross JTD The pre-calculated Gross JTD of the exposure
Adjustment An adjustment that may be added to the Gross JTD