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DRC Trade Level (IMA)

Download sample file: DRC_Trade_NONSEC.csv

This file describes the recovery rates for the IMA DRC trades using a linear approach.

This DRC Trade Level (IMA) 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			String	Applicable to SA only Not used for IMA
ObligorId	Y	N	String	ID of the Obligor. For IMA, must match ObligorId in DRC Scenarios file.
ObligorCategory			String	Applicable to SA only Not used for IMA.
InstrumentType			String	Applicable to SA only Not used for IMA
Seniority	N	N	String	Seniority of the exposure. For IMA, must match Seniority in DRC Scenarios file.
Direction			String	Applicable to SA only Not used for IMA
Maturity	N	Y	String	Maturity of the trade	“1D”, “2W”, “12M”, “1Y”, or date “YYYY-MM-DD”
Rating			String	Applicable to SA only Not used for IMA
Notional			Double	Applicable to SA only Not used for IMA
MarketValue			Double	Applicable to SA only Not used for IMA
GrossJTD			String	Applicable to SA only Not used for IMA
Ccy	N	N	String	Currency code for ‘RecoveryValues’.
Tranche			String	Applicable to SA only Not used for IMA
Region			String	Applicable to SA only Not used for IMA
AssetClass			String	Applicable to SA only Not used for IMA
Attachment			Double	Applicable to SA only Not used for IMA
Detachment			Double	Applicable to SA only Not used for IMA
RecoveryRates	N	N	Vector of doubles	Recovery Rate for the Obligor in the given scenario. Note: If linear scenarios approach is used, then this field must contain a vector of generic recovery rates (for example, 0;0.5;1) for linear interpolation of simulated PL (see RecoveryValues field) based on simulated recovery rates (see linear scenarios file).
RecoveryValues	N	N	Vector of doubles	Recovery Values corresponding to the Recovery Rate. Note: If linear scenarios approach is used, then this field must contain a vector of jump-to-recovery values, corresponding to the RecoveryRates vector.

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