FRTB Accelerator Reference Guide v2.4.0DRC Non Linear Recovery Trade
Download sample file: DRC_NonLinear_Recovery_Trade.csv
This file contains the P&L values of trades and DRC risk-factors for different scenarios.
This DRC Non Linear Recovery Trade file type is identified using the pattern: **/DRC_NonLinear_Recovery_*.csv (as specified by drc.non-linear.recovery.file-pattern).
This file is loaded using the DRC_NONLINEAR_RECOVERY 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 | Trade Identifier | |
| ObligorId | Y | Y | String | Identifier of the Obligor | |
| Seniority | Y | Y | String | Indication of the Seniority level the recovery rate applies to. This will be used to look up the Recovery rate in the DRC scenario file. | |
| Ccy | N | N | String | The currency of the P&L values | |
| ScenarioIds | N | N | Vector of Integers | List of Scenario ids which include the trade as defaulting. Scenarios are numbered from 1 to the scenario count (inclusive). | |
| PnL | N | N | Vector of Double | The P&L values corresponding to the Scenario ids. The first entry corresponds to scenario id 1. |