DRC Scenarios

Download sample file: DRC_LINEAR_SCENARIOS.csv

This file describes the recovery rates for DRC risk-factors and trades using a linear recovery approach.

This DRC Scenarios file type is identified using the pattern: **/DRC_LINEAR_SCENARIOS*.csv (as specified by drc.linear.scenarios.file-pattern). This file is loaded using the DRCScenarios topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.

Field Key Null FieldType Description Example
AsOfDate Y N Date ‘YYYY-MM-DD’ Timestamp (at close of business) for the data.
ScenarioId Y N Integer The numerical id of the scenario. Scenarios are numbered from 1 to the scenario count (inclusive).
ObligorId Y N String The identifier of the Obligor, which will match the obligor in the trade file.
Seniority Y N String An indication of the Seniority level of the obligor that the recovery rates are applicable for.
ScenarioRecoveryRate N N Double A value between 0 and 1 representing the amount of the Notional recovered from the defaulted Obligor in the given scenario.
DefaultDate N N Date ‘YYYY-MM-DD’ Default date for the scenario.