Trades attributes
Download sample file: trade-attributes.csv
Trades attributes is a snapshot of all hedge trades in the CVA portfolio. The accelerator expects that eligibility of hedges (see fields IsBaEligible and IsSaEligible) is evaluated by the upstream system.
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | String with format ‘YYYY-MM-DD’ | Risk value date | 2018-09-28 | ||
| TradeDate | String with format ‘YYYY-MM-DD’ | This field shall contain trade date to be used for analytical purposes | 2018-09-27 | ||
| TradeId | String | Primary trade identifier. Must match Trade Attributes file. Note: If coming from multiple systems, Trade Ids may need to prepend source system to the id for uniqueness. | MX-283749 | ||
| LegalEntity | String | Balance sheet legal entity code | ActiveBank | ||
| CounterpartyId | String | Identifier of the trade counterparty. May contain book for internal counterparties. | US_RATES_LIN | ||
| ProductId | String | Internal products taxonomy | CDS | ||
| Book | String | The book to map the trade to (must match the node in the organisational hierarchy). | CVA_RATES | ||
| ReferenceName | String | For BA eligible trades, this field must contain reference name identifier, which matches credit spread reference data. | Deutsche_Bank_USD | ||
| HedgedCVACounterpartyId | String | This field is used for BA-CVA eligible trades: to map hedges to counterparties (BA-CVA) and should contain Counterparty key for single name hedges - the counterparty which a trade is intended to hedge, not the counterparty of the trade (see the second term in the K_hedged formula, which loops over counterparties and subtracts SNH from SCVA) It can be empty for BA-CVA eligible trades only if HedgedCVANettingSet has been provided. | DB | ||
| HedgedCVANettingSetId | String | This field is optional and allows to map hedge trades via NettingSetId. This is useful when some of the netting sets are carved out from SA-CVA calculation - sensitivities of corresponding hedges will be also be moved out of the official capital calculation. | NS236342 | ||
| IsSaEligible | String, ‘Y’ or ‘N’ | The attribute contains ‘Y’ for trades eligible for BA-CVA according to para [MAR50.37], [MAR50.39] and ‘N’ for the rest. | Y | ||
| IsBaEligible | String, ‘Y’ or ‘N’ | The attribute contains ‘Y’ for trades eligible for BA-CVA according to para [MAR50.17], [MAR50.19] and ‘N’ for the rest. | Y |