Documentation Index
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
Use this file to discover all available pages before exploring further.
Default Risk Charge
The default risk charge per SA approach as if all positions are under SA
DRC Adjustment
The adjustments added to the Gross JTD
DRC non-Sec Default Risk Charge
The total capital charge for default risk non-securitisations as if all positions were under SA
DRC non-Sec Gross JTD
The instrument’s gross JTD
DRC non-Sec JTD Weightings Override
The override of the obligor’s default risk weight
DRC non-Sec JTD Weightings
The default risk weights assigned to each obligor based on rating category
DRC non-Sec LGD
The loss given default
DRC non-Sec Net JTD Long
The obligor’s Long netJTD for non-securitisations
DRC non-Sec Net JTD Short
The short net JTD for non-securitisations
DRC non-Sec Scaled Gross JTD
The maturity weighted Gross JTD
DRC non-Sec Weighted Net JTD Long
The risk weighted long netJtD
DRC non-Sec Weighted Net JTD Short
The risk weighted short netJtD
DRC non-Sec WtS Ratio
The hedge benefit ratio, or Weighted to Short ratio
DRC Sec CTP Default Risk Charge Aggregated
The total capital charge for default risk securitisations CTP as if all positions were under SA, without the floor to zero
DRC Sec CTP Default Risk Charge Bucket
The capital charge for default risk securitisations CTP at the bucket level
DRC Sec CTP Default Risk Charge
The total capital charge for default risk securitisations CTP as if all positions were under SA
DRC Sec CTP Gross JTD
The Instruments gross JTD
DRC Sec CTP HBR Top
The hedge benefit ratio, or Weighted to Short ratio at the top level of the “DRC Sec CTP Bucket” hierarchy
DRC Sec CTP HBR
The hedge benefit ratio, or Weighted to Short ratio (restricted to the current location)
DRC Sec CTP Net JTD Long
The long net JTD for securitisations CTP
DRC Sec CTP Net JTD Short
The short net JTD for securitisations CTP
DRC Sec CTP Scaled Gross JTD
The maturity weighted Gross JTD for securitisations CTP
DRC Sec CTP Weighted Net JTD Long
The risk weighted long netJtD
DRC Sec CTP Weighted Net JTD Short
The risk weighted short netJtD
DRC Sec CTP WtS Ratio
The hedge benefit ratio, or Weighted to Short ratio
DRC Sec non-CTP Default Risk Charge
The total capital charge for default risk securitisations non-CTP as if all positions were under SA
DRC Sec non-CTP Gross JTD
The Instruments gross JTD
DRC Sec non-CTP JTD Weightings Override
The override of the tranche’s default risk weight
DRC Sec non-CTP JTD Weightings
The default risk weights assigned to each tranche based on rating category
DRC Sec non-CTP Net JTD Long
The long net JTD for securitisations non-CTP
DRC Sec non-CTP Net JTD Short
The short net JTD for securitisations non-CTP
DRC Sec non-CTP Scaled Gross JTD
The maturity weighted Gross JTD for securitisations non-CTP
DRC Sec non-CTP Weighted Net JTD Long
The risk weighted long netJtD
DRC Sec non-CTP Weighted Net JTD Short
The risk weighted short netJtD
DRC Sec non-CTP WtS Ratio
The hedge benefit ratio, or Weighted to Short ratio
Maturity Scaling Factor
The maturity weighting applied to gross JTD to account for defaults within the one year capital horizon
PV.CCY DRC
Trades market value in reference currency with overrides from DRC input files