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Reference names

BA SA

Download sample file: reference-names-attributes.csv

The file provides static (or slow moving) attributes of the reference instruments or internal risk factors from the organization’s data management/risk systems.

The file must contain all reference instruments and index member if indices are present in the portfolio.

Field Key Null FieldType Description Example
AsOfDate Y N String with format ‘YYYY-MM-DD’ Risk value date 2018-09-28
RiskClass Y N String One of these risk classes: ‘interest rate’, ‘foreign exchange’, ‘credit spread’, ‘equity’, ‘commodity’ Credit spread
ReferenceName Y N String For RiskClass = ‘credit spread’: credit name identifier. Must match: - reference names from risk factors (SA) - reference names from hedge notionals file (BA) - CVA counterparty identifiers for exposures at default and regulatory CVA sensitivities files. For RiskClass = ‘interest rate’: reference rate identifier. Must match reference name from risk factors (SA). For RiskClass = ‘foreign exchange’: currency identifier. For RiskClass = ‘equity’: equity identifier Must match reference name from risk factors (SA). For RiskClass = ‘commodity’: commodity identifier Must match reference name from risk factors (SA) AAPL
IsSingleName N Y String, ‘Y’ and ‘N’ This is relevant for RiskClass = ‘credit spread’, otherwise can be Null. Indicates whether the credit name is a single name or an index N
IndexMembers N Y String representing index constituents This is relevant for RiskClass = ‘credit spread’, otherwise can be Null. This field is applicable when IsSingleName is ‘N’. The field must contain the list of CreditNames, representing Index Members as of risk value date. AES;AKS-Corp;CVSHLD;DNY
IndexWeights N Y String representing index constituents weights This is relevant for RiskClass = ‘credit spread’, otherwise can be Null. This field is applicable when IsSingleName is ‘N’. The field must contain the weights of Index Members as of risk value date, the total of weights must be equal to 1. If the field is blank, the members are assumed to be equally weighted. 0.25;0.25;0.25;0.25
CreditQuality N Y String This is relevant for RiskClass = ‘credit spread’, otherwise can be Null. The field must contain one of the following values: ‘HY’, ‘IG’, ‘NR’ HY
Sector N Y String This is relevant for RiskClass = ‘credit spread’ and RiskClass = ‘equity’, otherwise can be Null. It must contain sector attribute of the reference name and must match ‘Sector’ field in the buckets configuration files (for the corresponding risk class). Industrials
Region N Y String For counterparty/hedge reference names this field must contain region attribute of the reference name to evaluate whether the counterparty/hedge belong to the same region or not (see [MAR50.26]). For risk class equity this field must contain economy (region) attribute of the reference name, for example: ‘Emerging market economies’, ‘Advanced economies’, ‘Other’ and must match ‘Economy’ in the buckets configuration file. South America
RiskFactorCcy N Y String Currency code. Cannot be null for RiskClass = ‘interest rate’ NOK
CurveType N Y String This is relevant for RiskClass = ‘interest rate’, otherwise can be Null. Must contain ‘Inflation’ for inflation curves and may contain any values for other curve types.. Inflation
Size N Y String This is relevant for RiskClass = ‘equity’, otherwise can be Null. This field must contain one of these values, defined in [MAR50.70], allowed values: ‘Large’, ‘Small’ or ‘Other’. Small
CommodityGroup N Y String This is relevant for RiskClass = ‘commodity’, otherwise can be Null. Should reflect commodity groups which match buckets configuration file. Precious metals (including gold)

See also