Default risk charge

DRC Direction


Description	Long/short direction of positions for the purpose of DRC requirement calculation.
Reference
Levels	[ALL, DRC Direction]

DRC Fund Treatment


Description	Flag indicating if the obligor cannot be included in offsetting or diversification with other exposures.
Levels	[ALL, DRC Fund Treatment]

DRC Instrument LGD Type


Description	Instrument type for the purpose of LGD lookup.
Reference
Levels	[ALL, DRC Instrument LGD Type]

DRC Maturity


Description	Trades maturity for the purpose of DRC requirement calculation. This is the assigned maturity, which the feed supplies in the `Maturity` column of the DRC input files.
Reference
Levels	[ALL, DRC Maturity]

DRC Contractual Maturity (optional)


Description	The maturity the exposure carries before the regulation reassigns it, kept beside the assigned DRC Maturity. This hierarchy is only added if the `frtb.eu-da.drc-contractual-maturity.enabled` property is set to true.
Reference	[CRR Article 325x(4)] [CRR Article 495q]
Levels	[ALL, DRC Contractual Maturity]

This hierarchy, available from Atoti FRTB 6.0.10, is fed by the ContractualMaturity field of the SASensitivities store. Its level is a time level displaying local dates. No measure reads it. For the treatment, see EU-DA support.

DRC non-Sec Bucket


Description	Exposure bucket for the non-Sec risk class.
Reference
Levels	[ALL, DRC non-Sec Bucket]

DRC non-Sec Instrument Type


Description	Reported type of the instrument, derivative or non-derivative.
Levels	[ALL, DRC non-Sec Instrument Type]

This hierarchy can be used in EBA reporting. It is not used in the capital requirement calculations.

DRC non-Sec Rating


Description	Rating for a non-securitization exposure.
Reference
Levels	[ALL, DRC non-Sec Rating]

DRC Obligor


Description	Unique obligor identifier for the purpose of DRC netting.
Reference
Levels	[ALL, DRC Obligor]

DRC Sec CTP Attachment


Description	Attachment points for securitization positions if tranched.
Reference
Levels	[ALL, DRC Sec CTP Attachment]

DRC Sec CTP Bucket


Description	Exposure bucket for the Sec CTP risk class, aka indices.
Reference
Levels	[ALL, DRC Sec CTP Bucket]

DRC Sec CTP Detachment


Description	Detachment points for securitization positions if tranched.
Reference
Levels	[ALL, DRC Sec CTP Detachment]

DRC Sec CTP Instrument Type


Description	Type of the instrument, tranche or non-tranched.
Reference
Levels	[ALL, DRC Sec CTP Instrument Type]

DRC Sec CTP Rating Type


Description	The rating type used alongside the rating to determine the SEC-ERBA risk-weight.
Reference
Levels	[ALL, DRC Sec CTP Rating Type]

DRC Sec CTP Rating


Description	Rating for a securitization exposure.
Reference
Levels	[ALL, DRC Sec CTP Rating]

DRC Sec CTP Security


Description	Tranche or non-tranched product for a securitization exposure.
Reference
Levels	[ALL, DRC Sec CTP Security]

DRC Sec CTP Seniority


Description	Seniority of exposure.
Reference
Levels	[ALL, DRC Seniority, DRC Sec CTP Seniority]

DRC Sec non-CTP Asset Class


Description	Exposure bucket asset class for risk class Sec non-CTP.
Reference
Levels	[ALL, DRC Sec non-CTP Asset Class]

DRC Sec non-CTP Attachment


Description	Attachment points for securitization positions.
Reference
Levels	[ALL, DRC Sec non-CTP Attachment]

DRC Sec non-CTP Bucket


Description	Exposure bucket for risk class Sec non-CTP.
Reference
Levels	[ALL, DRC Sec non-CTP Bucket]

DRC Sec non-CTP Detachment


Description	Detachment points for securitization positions.
Reference
Levels	[ALL, DRC Sec non-CTP Detachment]

DRC Sec non-CTP Rating Type


Description	The rating type used alongside the rating to determine the SEC-ERBA risk-weight.
Reference
Levels	[ALL, DRC Sec non-CTP Rating Type]

DRC Sec non-CTP Rating


Description	Rating for a securitization exposure.
Reference
Levels	[ALL, DRC Sec non-CTP Rating]

DRC Sec non-CTP Region


Description	Exposure bucket region for risk class Sec non-CTP.
Reference
Levels	[ALL, DRC Sec non-CTP Region]

DRC Sec non-CTP Seniority


Description	Seniority of exposure, used for calculating SEC-ERBA risk-weights.
Levels	[ALL, DRC Sec non-CTP Seniority]

DRC Sec non-CTP Tranche


Description	Tranche for a securitization exposure.
Reference
Levels	[ALL, DRC Sec non-CTP Tranche]

DRC Seniority


Description	Seniority of exposure.
Reference
Levels	[ALL, DRC Seniority]

DRC Zero Risk Weight


Description	Flag indicating if the exposure qualifies for a zero risk-weight.
Levels	[ALL, DRC Zero Risk Weight]

​DRC Direction

​DRC Fund Treatment

​DRC Instrument LGD Type

​DRC Maturity

​DRC Contractual Maturity (optional)

​DRC non-Sec Bucket

​DRC non-Sec Instrument Type

​DRC non-Sec Rating

​DRC Obligor

​DRC Sec CTP Attachment

​DRC Sec CTP Bucket

​DRC Sec CTP Detachment

​DRC Sec CTP Instrument Type

​DRC Sec CTP Rating Type

​DRC Sec CTP Rating

​DRC Sec CTP Security

​DRC Sec CTP Seniority

​DRC Sec non-CTP Asset Class

​DRC Sec non-CTP Attachment

​DRC Sec non-CTP Bucket

​DRC Sec non-CTP Detachment

​DRC Sec non-CTP Rating Type

​DRC Sec non-CTP Rating

​DRC Sec non-CTP Region

​DRC Sec non-CTP Seniority

​DRC Sec non-CTP Tranche

​DRC Seniority

​DRC Zero Risk Weight