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.
2018-06-29
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.
Instrument LGD Type
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.
Senior
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’.
USD
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.