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This section describes the data used for the DRC Sec non-CTP calculations, including how the data is structured. For DRC Sec non-CTP, each Tranche (Underlying) has the following fields:
  • Tranche Name
  • Bucket
  • Rating
  • an optional Risk Weight
  • fields to determine the risk weight and bucket (if not provided)
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 Tranche and Maturity fields are used. This means that multiple Risk Factor Names may be used for the same risk-factor. The Field Mappings table lists all the fields across the data model and where they appear in the input files, database, and cube.