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DRC Trade Level (SA)

Download sample file: DRC_Trade_SECNONCTP.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. For DRC non-Sec, this matches values in seniority description file. For DRC Sec non-CTP, this is “senior” or not for calculating the SEC-ERBA risk-weights.
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.
Rating type	N	Y	String	The rating type used when looking up SEC-ERBA risk-weights (and when applying flooring logic).	STC
Risk Weight	N	Y	Double	Override the risk-weight by obligor (DRC non-Sec) or tranche (DRC Sec non-CTP)	SEC-SA risk-weight for DRC Sec non-CTP
Adjustment	N	Y	Double	Adjustment to make when calculating GrossJTD. This adjustment is only applied if sa.drc.adjustment.apply=true, by default this is set to false and this field is not used. The currency the adjustment is expressed in is given by the existing Gross JTD currency field.

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

The Accelerator uses this input file alongside the SBM Sensitivity files to load sensitivity information. The native formats offer enhanced support and features such as multiple jurisdictions, and better reporting. However, you can use CRIF (Common Risk Interchange Format) as an alternative to the native sensitivity input files. CRIF input files should be created according to the standard ISDA CRIF. For details on how to become a licensed CRIF user, contact ISDA at analytics@isda.org.