Default risk charge

The Default Risk Charge dimension contains the following hierarchies:

DRC Direction

Long/short direction of positions for the purpose of DRC requirement calculation.

DRC Fund Treatment

Flag indicating if the obligor cannot be included in offsetting or diversification with other exposures.

DRC Instrument LGD Type

Instrument type for the purpose of LGD lookup.

DRC Maturity

Trades maturity for the purpose of DRC requirement calculation.

DRC non-Sec Bucket

Exposure bucket for the non-Sec risk class.

DRC non-Sec Instrument Type

Reported type of the instrument, derivative or non-derivative.

DRC non-Sec Rating

Rating for a non-securitization exposure.

DRC Obligor

Unique obligor identifier for the purpose of DRC netting.

DRC Sec CTP Attachment

Attachment points for securitization positions if tranched.

DRC Sec CTP Bucket

Exposure bucket for the Sec CTP risk class, aka indices.

DRC Sec CTP Detachment

Detachment points for securitization positions if tranched.

DRC Sec CTP Instrument Type

Type of the instrument, tranche or non-tranched.

DRC Sec CTP Rating Type

The rating type used alongside the rating to determine the SEC-ERBA risk-weight.

DRC Sec CTP Rating

Rating for a securitization exposure.

DRC Sec CTP Security

Tranche or non-tranched product for a securitization exposure.

DRC Sec CTP Seniority

Seniority of exposure.

DRC Sec non-CTP Asset Class

Exposure bucket asset class for risk class Sec non-CTP.

DRC Sec non-CTP Attachment

Attachment points for securitization positions.

DRC Sec non-CTP Bucket

Exposure bucket for risk class Sec non-CTP.

DRC Sec non-CTP Detachment

Detachment points for securitization positions.

DRC Sec non-CTP Rating Type

The rating type used alongside the rating to determine the SEC-ERBA risk-weight.

DRC Sec non-CTP Rating