DRC Trade Level (SA)
Download sample file: DRC_Trade_SECNONCTP.csv
This file defines fields for Jump to Default Risk for non-Sec and Sec non-CTP, including instrument description. Fields are applicable to all components except where indicated.
This DRC Trade Level (SA) file type is identified using the pattern: **/DRC_Trade_*.csv (as specified by drc.trade.file-pattern).
This file is loaded using the DRC 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. | 2018-06-29 |
| TradeId | Y | N | String | If coming from multiple systems may need to prepend source system to the id for uniqueness | “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc. |
| RiskClass | Y | N | String | “DRC non-Sec” or “DRC Sec non-CTP” | DRC Sec CTP |
| RiskFactor | Y | Y | String | An identifier for the combination of the obligor/tranche (underlying), seniority (DRC non-Sec), and maturity. If omitted, it will be generated in the ETL. | |
| ObligorCategory | N | N | String | Applicable to DRC non-Sec only Obligor Category/Bucket (BCBS 457, [MAR22.22]). Any values allowed | corporates |
| InstrumentType | N | N | String | Applicable to DRC non-Sec only Instrument type for LGD (BCBS 457, [MAR22.12]). “equity”, “junior debt”, “senior debt”, or “covered bond”) | senior debt |
| Seniority | N | N | String | Seniority of the exposure. For DRC non-Sec, this matches values in seniority description file. For DRC Sec non-CTP, this is “senior” or not for calculating the SEC-ERBA risk-weights. | Senior |
| Direction | N | N | String | ‘long’ or ‘short’ | Long |
| Maturity | N | Y | String | Maturity of the trade | “1D”, “2W”, “12M”, “1Y”, or date “YYYY-MM-DD” |
| Rating | N | N | String | Credit Quality Category: For non-Sec, see BCBS 457, [MAR22.24]. For Sec non-CTP, see BCBS 374, paras 66-68. | BBB |
| Notional | N | Y | Double | (Optional) This is used to compute GrossJTD for non-Sec when not provided. This is an optional override for the ‘Notional’ in the Trade Attributes file. Note: the use of Notional in the Trade Attributes for DRC is deprecated. | |
| MarketValue | N | Y | Double | Applicable to DRC non-Sec only (Optional) This is used to compute GrossJTD for Sec non-CTP when not provided. This is an optional override for the ‘PresentValue’ in the Trade Attributes file. Note: the use of PresentValue in the Trade Attributes for DRC is deprecated. | |
| GrossJTD | N | Y | String | (Optional) Gross JTD value; providing this value skips the calculation (using market value and notional) | |
| Ccy | N | Y | String | Currency code of Gross JTD, Notional, or MarketValue. Required if GrossJTD, Notional or MarketValue provided. | USD |
| Underlying | N | N | String | The id of the obligor or tranche. | CDX.NA.HY Series 37 10%-15% |
| Region | N | Y | String | Applicable to DRC Sec non-CTP only Region for Bucket (BCBS 457, MAR22.31(b)). Values must match DRC Buckets file. | |
| AssetClass | N | Y | String | Applicable to DRC Sec non-CTP only Asset class for Bucket (BCBS 457, MAR22.31(b)). Values must match DRC Buckets file. | |
| Attachment | N | Y | Double | DRC Sec non-CTP Attachment, DRC Sec CTP Attachment. The start of the tranche or empty Attachment point (Decimal values are expected). | 0.10 |
| Detachment | N | Y | Double | DRC Sec non-CTP Detachment, DRC Sec CTP Detachment. The end of the tranche or empty Detachment point (Decimal values are expected). | 0.15 |
| RecoveryRates | N | Y | Double | Applicable to IMA only Not used for SA. | |
| RecoveryValues | N | Y | Double | Applicable to IMA only Not used for SA. | |
| Rating type | N | Y | String | The rating type used when looking up SEC-ERBA risk-weights (and when applying flooring logic). | STC |
| Risk Weight | N | Y | Double | Override the risk-weight by obligor (DRC non-Sec) or tranche (DRC Sec non-CTP) | SEC-SA risk-weight for DRC Sec non-CTP |
| Adjustment | N | Y | Double | Adjustment to make when calculating GrossJTD. This adjustment is only applied if sa.drc.adjustment.apply=true, by default this is set to false and this field is not used. The currency the adjustment is expressed in is given by the existing Gross JTD currency field. | |
| Bucket | N | N | String | The bucket used for the DRC computation, mandatory for DRC Sec CTP (BCBS 457,MAR22.40) | CDX.NA.HY |
| Zero Risk-Weight | N | Y | Y/N flag | Flag indicating if the exposure (RiskFactor) qualifies for a zero risk-weight Default = N |
This file is also used in the IMA, see DRC trade level (IMA)
note
The Accelerator uses this input file alongside the SBM Sensitivity files to load sensitivity information.
The native formats offer enhanced support and features such as multiple jurisdictions, and better reporting. However, you can use CRIF (Common Risk Interchange Format) as an alternative to the native sensitivity input files. CRIF input files should be created according to the standard ISDA CRIF. For details on how to become a licensed CRIF user, contact ISDA at analytics@isda.org.