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Delta sensitivities of Hedges

SA

Download sample file: sa-cva-hedges-delta-sensitivities.csv

This File contains delta sensitivities of the hedge trades.

The File must contain only trades eligible for the SA. The Solution expects that eligibility according to [MAR50.10] is evaluated by the upstream data management/risk system.

Field Key Null FieldType Description Example
AsOfDate Y N String with format ‘YYYY-MM-DD’ Risk value date 2018-09-28
TradeId Y N String if coming from multiple systems, Trade Ids may need to prepend source system to the id for uniqueness. Used for analytical purposes MX-283749
RiskClass Y N String Risk classes, or risk types, defined in [MAR50.43]: ‘interest rate’, ‘foreign exchange’, ‘counterparty credit spread’, ‘reference credit spread’, ‘equity’, ‘commodity’ Interest rate
RiskFactorId Y N String Represents internal identifier of the risk factor, for example: Curve identifier for Interest Rate, Currency identifier for Foreign Exchange, Credit curve identifier for Counterparty Credit Spread and Reference Credit Spread, Equity identifier for Equity, Commodity identifier for Commodity AAPL
TenorLabels Y Y Array of strings with date format ‘YYYY-MM-DD’ or strings representing year fractions, for example ‘2Y’, separated by semicolons Vector of dates that correspond to tenors. Tenor structure of risk factors is required for some of the interest rate risk factors and counterparty credit spread risk factors. It is optional to provide tenor structure for other risk classes. If TenorLabels are expected for a risk factor, but not provided, they are assumed to map to regulatory vertices. If provided TenorLabels are not expected for a risk factor, sensitivity will be aggregated across tenors 2018-03-20;2019-09-20;2023-03-20
Sensitivities N N String Array or String with set format, separated by semicolons Single value or vector of sensitivities (for different tenors) ;;120038.65
SensitivityCcy N N String Sensitivity value currency. EUR
ReferenceName N Y String Identifier of a reference instrument, should match reference instruments static data files for the corresponding risk class. For ‘foreign exchange’ must contain currency code (RiskFactorCcy). Can be null if RegulatoryBucket is provided for ‘counterparty credit spread’, ‘reference credit spread’, ‘equity’, ‘commodity’. DB
RegulatoryBucket N Y String String corresponding to Bucket number. If RiskFactorIds were provided, this field can be Null. This field is expected to contain the bucket number for: - ‘reference credit spread’, - ‘equity’, - ‘commodity’, since the methodology prescribes to calculate sensitivities by bumping all instruments in a bucket simultaneously, it might be that total sensitivity is not attributed to individual instruments (risk factors). The value must match bucket numbers in the bucket configuration files. Regulatory bucket prevails over derived bucket. 1
BucketSuffix N Y String Allows defining a BucketNumber subcategory - a) and b) - for the risk weight lookup - see [MAR50.63] a)

See also