☰
Navigation :

Risk Factor

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, and Maturity fields are used. This means that multiple Risk Factor Names may be used for the same risk-factor.

Field Key Description
As-of Date Y Timestamp (at close of business) for the data (T-1)
Risk Factor Name Y A name for the risk-factor
Risk Class Y “DRC non-Sec”
Risk Measure Y “DRC”
Obligor (Underlying) Name of the obligor
Seniority Seniority of the exposure to the obligor
Maturity Maturity of the trade
Zero Risk Weight Flag indicating if the exposure qualifies for a zero risk-weight