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Delta

Download sample file: delta.csv

This file defines the Delta sensitivities, including a description of the risk factor. Full details on each risk factor are explained in the relevant section of the FRTB Interpretation and Implementation guide:

This Delta file type is identified using the pattern: **/SB*_Delta_Sensitivities*.csv (as specified by sb.delta.sensitivities.file-pattern). This file is loaded using the SBM_Delta_Sensi 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.
DeltaCcy N N String Currency of the Delta sensitivities provided
DeltaSensitivities N N Double Array or Double, separated by semicolons

Single value or vector of delta sensitivities.

  • GIRR :vector
  • Commodity: vector
  • CSR non-Sec: vector
  • CSR Sec CTP: vector
  • CSR Sec non-CTP: vector
  • Equity: single value
  • FX: single value
RiskClass Y N String Defines the risk class that the delta data represents. For each risk class the string is the risk class name “GIRR”, “CSR non-Sec”, “CSR Sec non-CTP”, “CSR Sec CTP”, “Equity”, “Commodity”, “FX”
SensitivityDates N Y String Array or String with set format, separated by semicolons

GIRR, CSR, and Commodities only Vector of dates that correspond to the Delta sensitivities.

If dates are not provided, Delta Sensitivities are assumed to map to prescribed vertices.

The following do not use dates: FX and Equity sensitivites; GIRR cross-currency basis and inflation curves.

 GIRR and Commodity: “0.25;0.5;1;2;3;5;10;15;20” CSR: “0.5;1;3;5;10”
RiskFactor Y Y String

Risk factor name. It is expected that the risk factor name encompasses the definition of the risk factor per the FRTB specification ([MAR21.3] to [MAR21.14]), up to the sensitivity dates; this name is shared by all sensitivity dates. If not provided, it will be generated from the ‘Underlying’ column.
For details on each risk factor, see the relevant section in the FRTB Interpretation and Implementation guide:

  • GIRR: Name of underlying curve (e.g. UsdLibor3m). If not provided, then it is copied from Underlying.
  • CSR non-Sec: Name of issuer credit spread curve plus basis (Bond or CDS). If not provided, then it is calculated as (Underlying + Type).
  • CSR Sec CTP: Name of issuer credit spread curve plus basis (Bond or CDS). If not provided, then it is calculated as (Underlying + Type).
  • CSR Sec non-CTP:Name of issuer tranche, credit spread curve. If not provided, then it is calculated as (Underlying + Type).
  • Equity: Name of equity plus type (spot or repo). If not provided, then it is calculated as (Underlying + Type).
  • Commodity: Unique commodity name should include commodity name and delivery location. If not provided, then it is calculated as (Underlying + Location).
  • FX: A currency pair (the exchange rate used in the calculation of the sensitivity). If omitted, it is generated from the underlying and FXCounterCurrency. Note: For Delta and Curvature, BCBS 457 defines the risk factor as only a single currency. To support multiple jurisdictions, the accelerator also needs to be able to distinguish Delta and Curvature risk factors by their reporting currency, hence a currency pair is used.
  • CSR non-Sec: “APPLE BOND”, “GOOGLE CDS”
  • Equity: “IBM SPOT”
  • Commodity: “Brent Le Havre”, “WTI Oklahoma”
Type N See description String

Type of underlying risk factor or GIRR curve. Needed for some risk classes.
For details on each risk factor, see the relevant section in the FRTB Interpretation and Implementation guide:
  • GIRR: “Yield”, “Basis”, “Inflation”
  • CSR non-Sec: “BOND”, “CDS”
  • Equity: “Spot” or “Repo”
GIRR Ccy N Y String GIRR only This is the currency of the curve and equals the bucket.
Underlying N N String

Represents the primary component of the risk factor.
For details on each risk factor, see the relevant section in the FRTB Interpretation and Implementation guide:

  • GIRR: Name of curve.
  • CSR non-Sec: Name of credit issuer.
  • CSR Sec CTP: The name underlying the securitisation.
  • CSR Sec non-CTP: Name of the asset pool and tranche.
  • Equity: Name of equity issuer.
  • Commodity: Name of Commodity.
  • FX: This should be a single currency. It is the risk factor (as defined in BCBS 457).
  • CSR non-Sec: “APPLE”, “GOOGLE”
  • Commodity: “Brent”, “WTI”
CSRQuality N N String CSR only The Issuer or Tranche credit quality Values must match corresponding buckets file IG, HY, NR
CSRSector N N String CSR only The issuer or securitisation sector Values must match corresponding buckets file

For CSR non-Sec and CSR Sec CTP, example values: ‘Sovereign’,‘Financials’,‘Tech’ ‘Covered Bonds’, ‘Other’

For CSR Sec non-CTP, example values: ‘RMBS-Prime’, ‘RMBS-Mid-Prime’, ‘RMBS-Sub-Prime’, ‘CMBS’, ‘ABS-Auto’, ‘Other’
(unused) N Y String Field is ignored.
EquityEconomy N N String Equity only The equity issuer economy. Values must match the equity buckets file. ‘Emerging Market’, ‘Advanced Economy’, ‘Other’
EquityMarketCap N N String Equity only The equity issuer market cap. Values must match the equity buckets file. ‘Large’ , ‘Small’, ‘Other’
EquitySector N N String Equity only Needed for Vega bucket Value can be anything but must match the buckets file Example values are: “CSG” “Telecommunications-Industrials” “Basic Materials” “Financials” “Other”
CmtyLocation N N String Commodity only Commodity delivery location “Le Havre”, “Oklahoma”
(unused) N Y String Field is ignored.
(unused) N Y String Field is ignored.
(unused) N Y String Field is ignored.
FXCounterCurrency N N String FX only This should be set to the “reporting currency” or the “base currency” if the base currency approach is being used.
Optionality N Y ‘Y’ or ‘N’

(Optional) Indicates whether the instrument has optionality (See BCBS 457 [MAR21.2]).

  • ‘Y’ for instruments with optionality (and hence with Vega and Curvature risk)
  • ‘N’ for trades without optionality (with no Vega and Curvature risk).
CSRRating N Y String CSR non-Sec only Set to “high” for covered bonds (bucket 8) with rating AA- or above; otherwise set to “low” or leave blank “high”, “low”
FxComplexDelta N Y String FX only Set to “Y” if the trade is too complex to automatically translate the sensitivities from the base currency or between jurisdictions; otherwise set to “N” or leave blank.
FxOtherCcy N Y String FX only If the sensitivity to a currency pair has been split prior to entering the Accelerator, this field can be used to add the other half of the pair.
FXDivisorEligibility N Y String

FX only Y/N flag indicating whether the divisor specified in [MAR21.98] can be applied.

  • Y: The trade does not reference the “reporting currency” (or “base currency” if the base currency approach is being used).
  • N: The trade references the “reporting currency” (or “base currency” if the base currency approach is being used).

Normalization

The contents of this file are normalized and loaded into four stores during the ETL. For each row:

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