Trades attributes

BA SA

Download sample file: trade-attributes.csv

Trades attributes is a snapshot of all hedge trades in the CVA portfolio. The Solution expects that eligibility of hedges (see fields IsBaEligible and IsSaEligible) is evaluated by the upstream system.

Field Key Null FieldType Description Example
AsOfDate Y N String with format ‘YYYY-MM-DD’ Risk value date 2018-09-28
TradeDate N Y String with format ‘YYYY-MM-DD’ This field shall contain trade date to be used for analytical purposes 2018-09-27
TradeId Y N 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 N Y String Balance sheet legal entity code ActiveBank
CounterpartyId N Y String Identifier of the trade counterparty. May contain book for internal counterparties. US_RATES_LIN
ProductId N Y String Internal products taxonomy CDS
Book N N String The book to map the trade to (must match the node in the organisational hierarchy). CVA_RATES
ReferenceName N Y String For BA eligible trades, this field must contain reference name identifier, which matches credit spread reference data. Deutsche_Bank_USD
HedgedCVACounterpartyId N Y 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 N Y 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 N Y 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 N N 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

See also