The file must contain pairs of all legally related entities: counterparty vs hedge reference names for BA approach and pairs of credit names in SA approach. Legal relaship is used to define correlations in BA and SA approaches.
If a pair of entities is missing, it is assumed that they are not legally related.
Field
Key
Null
FieldType
Description
Example
AsOfDate
Y
N
String with format ‘YYYY-MM-DD’
Risk value date
2018-09-28
Entity1
Y
N
String
For BA calculations: Counterparty identifier or hedge reference name identifier: For SA calculations: reference credit name identifier.
2
Entity2
Y
N
String
For BA calculations: Counterparty identifier or hedge reference name identifier: For SA calculations: reference credit name identifier.
3
LegallyRelated
N
N
String, Y or N
This field indicates whether two entities are legally related.