FRTB Accelerator Reference Guide v2.4.0DRC Summary (IMA)
Download sample file: IMA_DRC_Summary.csv
This file contains the historical summary data for the IMA DRC calculations. This is the IMA DRC P&L vectors at the book and legal entity level.
This DRC Summary (IMA) file type is identified using the pattern: **/IMA_DRC_Summary*.csv (as specified by ima.drc.summary.file-pattern).
This file is loaded using the DRCIMASummaryBase topic.
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| Book | Y | N | String | Book Identifier | Book A |
| Legal Entity | Y | N | String | Legal Entity Identifier | ActiveBank UK |
| Currency | N | N | String | The currency of the P&L values | USD |
| Scenario Ids | N | Y | Vector of Integer | In case of sparse vector representation this shows the list of non-null values. The first element is 1. | 1;4;825 |
| PnL | N | N | Vector of Double | The P&L values. If the previous field is not null, the representation is sparse and the values are set at the pre-defined position ids (starting from 1). Or else it’s a simple standard double vector. | -9381655.00; -3289452.15; -3410423.25 |
| AsOfDate | Y | N | Date ‘YYYY-MM-DD’ | Timestamp (at close of business) for the data. | 2020-06-05 |