SA DRC summary - Atoti Hub

Download sample file: DRC_Summary_2018-09-25.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 SA DRC Summary file type is identified using the pattern: **/DRC_Summary_*.csv (as specified by drc.summary.file-pattern). A sample file is DRC_Summary_2018-09-25. This file is loaded using the DRC_Summary 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
Book	Y	N	String	The book Id
LegalEntity	Y	N	String	The legal entity Id
RiskClass	Y	N	String	“DRC non-Sec”, “DRC Sec non-CTP”, or “DRC Sec CTP”	DRC Sec CTP
RiskFactor	Y	Y	String	An identifier for the combination of the obligor/tranche (underlying), seniority (DRC non-Sec), and maturity. If omitted, it will be generated in the ETL.
ObligorCategory	N	N	String	Applicable to DRC non-Sec only Obligor Category/Bucket (BCBS 457, MAR22.22). Any values allowed	Corporates
Instrument LGD Type	Y	N	String	Applicable to DRC non-Sec only Instrument type for LGD (BCBS 457, MAR22.12). “equity”, “junior debt”, “senior debt”, or “covered bond”)	senior debt
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.	Senior
Direction	Y	N	String	‘long’ or ‘short’	long
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.	BBB
Notional	N	Y	Double	(Optional) Used to compute GrossJTD when GrossJTD is not provided.
PresentValue	N	Y	Double	(Optional) Used to compute GrossJTD when GrossJTD is not provided.
GrossJTD	N	Y	String	(Optional) Gross JTD value; providing this value skips the calculation (using present value and notional)
Ccy	N	Y	String	Currency code of GrossJTD, Notional, or PresentValue. Required if GrossJTD, Notional, or PresentValue is provided.	USD
Underlying	N	N	String	The id of the obligor or tranche.	CDX.NA.HY Series 37 10%-15%
Region	N	Y	String	Applicable to DRC Sec non-CTP only Region for Bucket (BCBS 457, MAR22.31(2)(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(2)(b)). Values must match DRC Buckets file.
Attachment	N	Y	Double	DRC Sec non-CTP Attachment, DRC Sec CTP Attachment. The start of the tranche or empty Attachment point (Decimal values are expected).	0.10
Detachment	N	Y	Double	DRC Sec non-CTP Detachment, DRC Sec CTP Detachment. The end of the tranche or empty Detachment point (Decimal values are expected).	0.15
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.
Bucket	N	N	String	The bucket used for the DRC computation, mandatory for DRC Sec CTP (BCBS 457,MAR22.40)	CDX.NA.HY
Zero Risk-Weight	N	Y	Y/N flag	Flag indicating if the exposure (RiskFactor) qualifies for a zero risk-weight Default = N
DRC Fund Treatment	N	Y	HY & Distressed/blank	Flag indicating if the obligor cannot be included in offsetting or diversification with other exposures.
Instrument Type	Y	Y	String	Reported Instrument Type (‘Derivative’ or ‘Non-Derivative’).	Derivative, Non-Derivative

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

The Solution 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.