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. See the Topic Aliases table for an understanding of the topic aliases associated with each 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)