FRTB Accelerator Cubes GuideDRC Seniority Description
Download sample file: drc-seniority-description.csv
The DRC Seniority Description file provides a ranking of seniorities that can be used when calculating the net JTD.
This DRC Seniority Description file type is identified using the pattern: **/Seniority_Description*.csv (as specified by seniority.description.file-pattern).
This file is loaded using the SeniorityDescription topic.
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| Seniority | Y | N | String | Seniority of the exposure (matches values in DRC trade level file) | |
| Ranking | N | N | String | Integer value, represents the ranking to be used in determining whether it’s possible to net long vs short JTD. Lower values for more senior exposure; higher values for more junior exposure; highest value for equity. | |
| AsOfDate | Y | N | Date ‘YYYY-MM-DD’ | Timestamp (at close of business) for the data. |