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Curvature

Download sample file: curvature.csv

This file defines the Curvature shocked prices, including a description of the risk factor. Full details on each risk factor are explained in the relevant section of the FRTB Interpretation and Implementation guide:

This Curvature file type is identified using the pattern: **/SB*_Curvature_Sensitivities*.csv (as specified by sb.curvature.sensitivities.file-pattern). This file is loaded using the SBM_Curvature_Sensi topic.

Field Key Null FieldType Description Example
AsOfDate Y N Date ‘YYYY-MM-DD’ Timestamp (at close of business) for the data.
TradeId Y N String If coming from multiple systems may need to prepend source system to the id for uniqueness “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc.
RiskClass Y N String Defines the risk class that the delta data represents. For each risk class the string is the risk class name “GIRR”, “CSR non-Sec”, “CSR Sec non-CTP”, “CSR Sec CTP”, “Equity”, “Commodity”, “FX”
RiskFactor N Y String

Risk factor name. It is expected that the risk factor name encompasses the definition of the risk factor per the FRTB specification ([MAR21.3] to [MAR21.14]). If not provided, it will be generated from the ‘Underlying’ column.
For details on each risk factor, see the relevant section in the FRTB Interpretation and Implementation guide:

  • GIRR: The currency and equals the bucket.
  • CSR non-Sec: Name of issuer credit spread curve.
  • CSR Sec CTP: Name of issuer credit spread curve.
  • CSR Sec non-CTP: Name of issuer tranche.
  • Equity: Name of equity issuer.
  • Commodity: Name of Commodity.
  • FX: A currency pair (the exchange rate used in the calculation of the sensitivity). If omitted, it is generated from the underlying and FXCounterCurrency.
    Note: For Delta and Curvature, BCBS 457 defines the risk factor as only a single currency. To support multiple jurisdictions, the Accelerator also needs to be able to distinguish Delta and Curvature risk factors by their reporting currency, hence a currency pair is used.
  • GIRR: “USD”, “EUR”
  • CSR non-Sec: “APPLE”, “GOOGLE”
  • Commodity: “Brent”, “WTI”
Shift_Up_PV Y N Double Valuation resulting from parallel shocks up
Shift_Down_PV Y N Double Valuation resulting from parallel shocks down
CurvatureCcy Y N String Currency of PV values
RiskWeight N Y Double The risk weight used in the shifted PV values. If field is null, it is assumed to be the value expected in the calculations (at query time).
PVApplied Y N String with set values Boolean ‘Y’ or ‘N’ to indicate if PV has been removed from sensitivities or not. Default value = ‘N’
(unused) N Y String Field is ignored.
GIRR Ccy Y N String GIRR only This is the currency of the curve and equals the bucket.
Underlying Y N String

Represents the primary component of the risk factor.
For details on each risk factor, see the relevant section in the FRTB Interpretation and Implementation guide:

  • GIRR: (Can be null) Not used in calculations, but will populate Underlying field in cube.
  • CSR non-Sec: Name of credit issuer.
  • CSR Sec CTP: The name underlying the securitisation.
  • CSR Sec non-CTP: Name of the asset pool and tranche.
  • Equity: Name of equity issuer.
  • Commodity: Name of Commodity.
  • FX: This should be a single currency. It is the risk factor (as defined in BCBS 457).
  • CSR non-Sec: “APPLE”, “GOOGLE”
  • Commodity: “Brent”, “WTI”
CSRQuality N N String CSR only The Issuer or Tranche credit quality Values must match corresponding buckets file IG, HY, NR
CSRSector N N String CSR only The issuer or securitisation sector Values must match corresponding buckets file For CSR non-Sec and CSR Sec CTP, example values: ‘Sovereign’,‘Financials’,‘Tech’ ‘Covered Bonds’, ‘Other’ For CSR Sec non-CTP, example values: ‘RMBS-Prime’, ‘RMBS-Mid-Prime’, ‘RMBS-Sub-Prime’, ‘CMBS’, ‘ABS-Auto’, ‘Other’
(unused) N Y String Field is ignored.
EquityEconomy N N String Equity only The equity issuer economy. Values must match the equity buckets file. ‘Emerging Market’, ‘Advanced Economy’, ‘Other’
EquityMarketCap N N String Equity only The equity issuer market cap. Values must match the equity buckets file. ‘Large’ , ‘Small’, ‘Other’
EquitySector N N String Equity only Needed for Vega bucket Value can be anything but must match the buckets file Example values are “CSG” “Telecommunications-Industrials” “Basic Materials” “Financials” “Other”
CmtyLocation N N String Commodity only Commodity delivery location “Le Havre”, “Oklahoma”
(unused) N Y String Field is ignored.
(unused) N Y String Field is ignored.
(unused) N Y String Field is ignored.
FXCounterCurrency N Y String FX only This should be set to the “reporting currency” or the “base currency” if the base currency approach is being used.
FXDivisorEligibity N Y String

FX only Y/N flag indicating whether the divisor specified in [MAR21.98] can be applied.

  • Y: The trade does not reference the “reporting currency” (or “base currency” if the base currency approach is being used).
  • N: The trade references the “reporting currency” (or “base currency” if the base currency approach is being used).
CSRRating N Y String CSR non-Sec only Set to “high” for covered bonds (bucket 8) with rating AA- or above; otherwise set to “low” or leave blank “high”, “low”

Normalization

The contents of this file are normalized and loaded into four stores during the ETL. For each row:

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