Trade Attributes
Download sample file: Trade_Attributes.csv
This file describes the trade, including book and legal entity, notional and prevent value. Fields are applicable to all components except where indicated.
This Trade Attributes file type is identified using the pattern: **/{Trade_Attributes,SA_Trades}*.csv (as specified by trade.attributes.sa.trades.file-pattern).
This file is loaded using the Trade_Attributes 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. – |
| Book | N | N | String | The book to map the trade to (must match the node in the Book Hierarchy). | |
| Legal Entity | N | N | String | Legal Entity to map the trade to (must match the node in the Legal Entity Hierarchy). | |
| Notional | N | Y | Double | Notional of trade/position (used for RRAO). Use of this field for DRC is deprecated | |
| NotionalCcy | N | Y | String | Currency of notional. Required whenever notional is provided. | |
| PresentValue | N | Y | Double | Use of this field for DRC and Curvature present value is deprecated | |
| PVCcy | N | Y | String | Currency of present value. Required whenever present value is provided. | |
| ResidualRisk | N | Y | ‘Y’ or ‘N’ | Applicable to RRAO only Indicates trade/position subject to residual risk add-on. |
|
| ExoticUnderlying | N | Y | ‘Y’ or ‘N’ | Applicable to RRAO only If yes and residual risk, risk weight = 1% otherwise if residual risk, weight = .1%. |
|
| OtherResidualRiskType | N | Y | String | Applicable to RRAO only Optional data - valid if ExoticUnderlying = ‘N’. Suggested valid values are “GAP”, “CORRELATION”,‘BEHAVIORIAL", “OTHER”. |
|
| TradeDate | N | Y | Date[YYYY-MM-DD] | The date on which the trade took place | |
| Sensitivity Scale Category | N | Y | String | The category to use for scaling the SBM sensitivities. This matches the categories in the Sensitivity Scaling configuration file. If unused, or the category doesn’t match, no scaling is applied. | Business Day 1 |
| RRAO Category | N | Y | String | This field is used as a key for modifying RRAO attributes. It is used for the overrides as part of the multi-jurisdictional support; it is not used directly in calculations. |
RRAO Trades
If the ResidualRisk flag is set, then a row is added to the TradeBase store. This row becomes a fact in the SA cube and is used for RRAO calculations.
Stores
The contents of this file are split between the (common) TradeMapping store which maps a trade to book and legal entity (and contains the TradeDate), and the (SA-only) SATradeDescription store which contains SA-specific details of the trade, including Notional, PV, and RRAO details.