| 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 Sec non-CTP” |
| Risk Measure | Y | “DRC” |
| Tranche (Underlying) | Name of the tranche | |
| Maturity | Maturity of the trade |
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 Tranche and Maturity fields are used.
This means that multiple Risk Factor Names may be used for the same risk-factor.