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Vega

Download sample file: vega.csv

This file defines the Vega sensitivities, 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 Vega file type is identified using the pattern: **/SB*_Vega_Sensitivities*.csv (as specified by sb.vega.sensitivities.file-pattern). This file is loaded using the SBM_Vega_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”
OptionMaturity N Y String Array, separated by semicolons Vega sensitivities are mapped to the vertex of maturity (expiry) dates of the options. If dates are not provided, the Vega sensitivities are assumed to map to prescribed vertices. “0.5;1;3;5;10”, “6M;1Y”
UnderlyingMaturity N Y String Array, separated by semicolons

Valid for GIRR Only.

Represents the residual maturity of the underlying of the option.

Vega sensitivity is further mapped to the vertices of underlying points along the risk free curve. If dates are not provided, the Vega sensitivities are assumed to map to prescribed vertices.

 “0.5;1;3;5;10”
VegaSensitivities N N Double Array, separated by semicolons

Sensitivity values

For all risk classes, if OptionMaturity is empty the sensitivities must map exactly to the sensitivity dates specified in the FRTB specification (5 values) or 5 (values) x (5 values) for GIRR.

For GIRR, this is a 2-dimensional array where the first few values represent the underlying residual maturities for the first option maturity date
VegaCcy N N String Currency of the Vega sensitivities
RiskFactor Y 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]), up to the maturities; this name is shared by all maturities. If not provided, it will be be generated from the ‘Underlying’ column.
For details on each risk factor, see the relevant section in the FRTB Interpretation and Implementation guide:

  • GIRR: Name of underlying curve (e.g. UsdLibor3m).
  • CSR non-Sec: Name of issuer credit spread curve plus basis (Bond or CDS). If not provided, then it is calculated as (Underlying + Type).
  • CSR Sec CTP: Name of issuer credit spread curve plus basis (Bond or CDS). If not provided, then it is calculated as (Underlying + Type).
  • CSR Sec non-CTP: Name of issuer tranche, credit spread curve. If not provided, then it is calculated as (Underlying + Type).
  • Equity: Name of equity issuer. If not provided, then it is copied from Underlying.
  • Commodity: Unique commodity name should include commodity name and delivery location. If not provided, then it is calculated as (Underlying + Location).
  • FX: A currency pair (the exchange rate used in the calculation of the sensitivity). If omitted, it is generated from the underlying and FXCounterCurrency.
  • CSR non-Sec: “APPLE BOND”, “GOOGLE CDS”
  • Commodity: “Brent Le Havre”, “WTI Oklahoma”
Type N Y String

CSR risk-factor type, or GIRR curve type.
For details on each risk factor, see the relevant section in the FRTB Interpretation and Implementation guide:
  • CSR non-Sec: “BOND”, “CDS”
GIRR Ccy N Y String GIRR only This is the currency of the curve and equals the bucket.
Underlying N 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: Name of curve (may be the same as risk factor).
  • 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 Y String

CSR only The Issuer or Tranche credit quality

Values must match corresponding buckets file

 IG, HY, NR
CSRSector N Y 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 Valid for 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.

Normalization

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

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