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Default_Risk_Weights
The Default_Risk_Weights.csv file provides the default risk weights for DRC non-Sec. It is loaded into the DRCWeight store.
| Field name |
Description |
| Bucket |
The bucket |
| Rating |
The credit quality category |
| Default risk weight |
The DRC non-Sec default risk weight |
| Date |
The start date that the parameter takes effect |
| ParameterSet |
The parameter set to which the parameter belongs (default = BCBS) |
File values
| Bucket |
Rating |
Default risk weight |
Date |
ParameterSet |
|
AAA |
0.005 |
2016-01-01 |
|
|
AA |
0.02 |
2016-01-01 |
|
|
A |
0.03 |
2016-01-01 |
|
|
BBB |
0.06 |
2016-01-01 |
|
|
BB |
0.15 |
2016-01-01 |
|
|
B |
0.3 |
2016-01-01 |
|
|
CCC |
0.5 |
2016-01-01 |
|
|
UNRATED |
0.15 |
2016-01-01 |
|
|
DEFAULTED |
1 |
2016-01-01 |
|
| Non-US Sovereigns |
Investment Grade |
0.006 |
2016-01-01 |
US-NPR |
| Non-US Sovereigns |
Speculative Grade |
0.22 |
2016-01-01 |
US-NPR |
| Non-US Sovereigns |
Sub-speculative Grade |
0.5 |
2016-01-01 |
US-NPR |
| PSE and GSE |
Investment Grade |
0.021 |
2016-01-01 |
US-NPR |
| PSE and GSE |
Speculative Grade |
0.22 |
2016-01-01 |
US-NPR |
| PSE and GSE |
Sub-speculative Grade |
0.5 |
2016-01-01 |
US-NPR |
| Corporates |
Investment Grade |
0.041 |
2016-01-01 |
US-NPR |
| Corporates |
Speculative Grade |
0.22 |
2016-01-01 |
US-NPR |
| Corporates |
Sub-speculative Grade |
0.5 |
2016-01-01 |
US-NPR |
| Defaulted |
|
1 |
2016-01-01 |
US-NPR |