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DRC Trade Level (SA)

Download sample file: drc-trade-level-sa.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.

Field	Key	Null	FieldType	Description	Example
AsOfDate	Y	N	Date ‘YYYY-MM-DD’	Timestamp (at close of business) for the data.
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”
ObligorId	Y	N	String	ID of the Obligor
ObligorCategory	N	N	String	Applicable to DRC non-Sec only Obligor Category/Bucket (BCBS 457, [MAR22.22]). Any values allowed (but should be at most 3 distinct values)
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”)
Seniority	N	N	String	Seniority of the exposure (matches values in seniority description file)
Direction	N	N	String	‘long’ or ‘short’
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.
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.
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 ‘MarketValue’ in the Trade Attributes file.
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.
Tranche	N	Y	String	Applicable to DRC Sec non-CTP only ID of the Tranche
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	Applicable to DRC Sec non-CTP only Attachment point (Decimal values are expected).
Detachment	N	Y	Double	Applicable to DRC Sec non-CTP only Detachment point (Decimal values are expected).
RecoveryRates	N	Y	Double	Applicable to IMA only Not used for SA.
RecoveryValues	N	Y	Double	Applicable to IMA only Not used for SA.

This file is also used in the IMA, see DRC trade level (IMA)