FRTB Accelerator Cubes GuideBook Parent Child
Download sample file: book-parent-child.csv
This file provides a description of the organisation’s book structure, using a parent/child relationship, including identification and description of desks.
This Book Parent Child file type is identified using the pattern: **/BookParentChild*.csv (as specified by book.parent-child.file-pattern).
This file is loaded using the BookParentChild topic.
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| Name | Y | N | String | Name of the node in the Book/Desk hierarchy. | |
| Parent | N | Y | String | Name of the parent node (or null if there is no parent). | |
| FRTBDesk | N | Y | ‘Y’ or ‘N’ | This is set to ‘Y’ if this node is a desk for the purposes of FRTB. If so, then ‘FRTBApproach’ and ‘PLA Zone’ are populated – otherwise they are empty. | |
| Category | N | Y | String | Optional category for the node (and all Descendant nodes). | |
| FRTBApproach | N | Y | ‘SA’ or ‘IMA’ | For FRTB desks, this field indicates which model (i.e. approach) should be used for calculating the Risk Charge (either ‘SA’ or ‘IMA’). If not an FRTB desk, this field is empty. | |
| PLA Zone | N | Y | ‘R’, ‘A’, or ‘G’ | For FRTB desks, this field indicates which zone the desk falls into according to the PLA test metrics [MAR32.42]. If not an FRTB desk, this field is empty. | |
| IRT Desk | N | Y | ‘Y’ or ‘N’ | Indicates whether the desk is an Internal Risk Transfer (IRT) desk. ACR is calculated separately for desks flagged as IRT. | |
| AsOfDate | Y | N | Date ‘YYYY-MM-DD’ | Timestamp (at close of business) for the data. |
Flattened Hierarchy
After this file is loaded into the datastore, a datastore listener will trigger some further processing that will flatten the hierarchy.
The tree is walked and each node is assigned a level in the BookHierarchy hierarchy. The leaf nodes of the tree become the books in the Book hierarchy, and each trade is mapped to a book.
It is expected that every path from the top nodes to the leaf nodes will pass through exactly one desk. This way the Desk, FRTB Approach (SA/IMA), PLA Zone (R/A/G or “N/A”), and IRT flag (Y/N) can be set for each leaf node.