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Vega sensitivities of Hedges

SA

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

This File contains vega 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 [MAR50.45]: ‘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: Vol surface 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
Sensitivity N N Double Sensitivity value 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 ‘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, hence 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