Trade Attributes

Download sample file: trade-attributes.csv

This file describes the trade, including book and legal entity, notional and prevent value. Fields are applicable to all components except where indicated.

This Trade Attributes file type is identified using the pattern: **/{Trade_Attributes,SA_Trades}*.csv (as specified by trade.attributes.sa.trades.file-pattern). This file is loaded using the Trade_Attributes 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. –
Book N N String The book to map the trade to (must match the node in the Book Hierarchy).
Legal Entity N N String Legal Entity to map the trade to (must match the node in the Legal Entity Hierarchy).
Notional N Y Double

Applicable to all components except SBM

Notional of trade/position (used for RRAO and DRC).

NotionalCcy N Y String

Applicable to all components except SBM

Currency of notional.

PresentValue N Y Double

Applicable to SBM: Optional, DRC non-Sec: Required, DRC Sec non-CTP: Required

Current present value of trade/position (used in curvature and DRC).

PVCcy N Y String

Applicable to SBM: Optional, DRC non-Sec: Required, DRC Sec non-CTP: Required

Currency of present value.

ResidualRisk N Y ‘Y’ or ‘N’

Applicable to RRAO only

Indicates trade/position subject to residual risk add-on.

ExoticUnderlying N Y ‘Y’ or ‘N’

Applicable to RRAO only

If yes and residual risk, risk weight = 1% otherwise if residual risk, weight = .1%.

OtherResidualRiskType N Y String

Applicable to RRAO only

Optional data - valid if ExoticUnderlying = ‘N’. Suggested valid values are “GAP”, “CORRELATION”,‘BEHAVIORIAL", “OTHER”.

TradeDate N Y Date[YYYY-MM-DD] The date on which the trade took place

RRAO Trades

If the ResidualRisk flag is set, then a row is added to the TradeBase store. This row becomes a fact in the SA cube and is used for RRAO calculations.

Stores

The contents of this file are split between the (common) TradeMapping store which maps a trade to book and legal entity (and contains the TradeDate), and the (SA-only) SATradeDescription store which contains SA-specific details of the trade, including Notional, PV, and RRAO details.

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