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Delta

Download sample file: SBM_Delta_Sensitivities.csv

This file defines the Delta 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 Delta file type is identified using the pattern: **/SB*_Delta_Sensitivities*.csv (as specified by sb.delta.sensitivities.file-pattern). This file is loaded using the SBM_Delta_Sensi topic.

Normalization

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

A description of the “underlying” is generated and added to the UnderlyingDescription store. This description is shared with Vega and Curvature.
A description of the risk-factor is generated and added to the RiskFactorDescription store.
The sensitivities are added to the Delta store.
A row is added to the TradeBase store, to insert a new fact into the cube.

Filling missing data

When the bucket field is omitted, it is filled from the Commodity, CSR, and Equities bucket files (as appropriate). To take advantage of this, the bucket files must be loaded before (or at the same time as) the Delta file.

When the bucket field is provided, some of the fields describing the underlying become optional. For CSR and Equities, these fields can be populated from previously loaded bucket description files.

Risk Class	Optional Fields When Bucket Provided	Bucket File	Bucket Description File
CSR non-Sec	CSRQuality, CSRSector	CSR non-Sec Buckets	CSR non-Sec Bucket Descriptions
CSR Sec non-CTP	CSRQuality, CSRSector	CSR Sec non-CTP Buckets	CSR Sec non-CTP Bucket Descriptions
CSR Sec CTP	CSRQuality, CSRSector	CSR Sec CTP Buckets	CSR Sec CTP Bucket Descriptions
Equity	EquityEconomy, EquityMarketCap, EquitySector	Equity Buckets	Equity Bucket Descriptions
Commodity		Commodity Buckets

Note: The bucket is not sufficient to populate the CSRRating field for CSR non-Sec.

Field	Key	Null	FieldType	RiskClass	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.
DeltaCcy	N	N	String		Currency of the Delta sensitivities provided
DeltaSensitivities	N	N	Double Array or Double, separated by semicolons		Single value or vector of delta sensitivities.
				GIRR	Vector
				Commodity	Vector
				CSR non-Sec	Vector
				CSR Sec CTP	Vector
				CSR Sec non-CTP	Vector
				Equity	Single value
				FX	Single value
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”
SensitivityDates	N	Y	String Array or String with set format, separated by semicolons		GIRR, CSR, and Commodities only Vector of dates that correspond to the Delta sensitivities. If dates are not provided, Delta Sensitivities are assumed to map to prescribed vertices. The following do not use dates: FX and Equity sensitivites; GIRR cross-currency basis and inflation curves.	GIRR and Commodity: “0.25;0.5;1;2;3;5;10;15;20” CSR: “0.5;1;3;5;10”
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 sensitivity dates; this name is shared by all sensitivity dates. 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	Name of underlying curve (e.g. UsdLibor3m). If not provided, then it is copied from Underlying.
				CSR non-Sec	Name of issuer credit spread curve plus basis (Bond or CDS). If not provided, then it is calculated as (Underlying + Type).	“APPLE BOND”, “GOOGLE CDS”
				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 plus type (spot or repo). If not provided, then it is calculated as (Underlying + Type).	“IBM SPOT”
				Commodity	Unique commodity name should include commodity name and delivery location. If not provided, then it is calculated as (Underlying + Location).	“Brent Le Havre”, “WTI Oklahoma”
				FX	A currency pair (the exchange rate used in the calculation of the sensitivity). If omitted, it is generated from the underlying and FXCounterCurrency.
Type	N	Y	String		Type of underlying risk factor or GIRR curve. Needed for some risk classes. For details on each risk factor, see the relevant section in the FRTB Interpretation and Implementation guide.
				GIRR	Defines type of underlying curve.	“Yield”, “Basis”, “Inflation”
				CSR non-Sec	Defines basis of CSR.	“BOND”, “CDS”
				CSR Sec CTP	Defines basis of CSR.
				CSR Sec non-CTP	Defines basis of CSR Equity.
				Equity	Equity type.	“Spot” or “Repo”
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.
				CSR non-Sec	Name of credit issuer.	“APPLE”, “GOOGLE”
				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.	“Brent”, “WTI”
				FX	The left-hand side of the risk-factor currency pair.
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	Y	String		Equity only The equity issuer economy. Values must match the equity buckets file.	‘Emerging Market’, ‘Advanced Economy’, ‘Other’
EquityMarketCap	N	Y	String		Equity only The equity issuer market cap. Values must match the equity buckets file.	‘Large’ , ‘Small’, ‘Other’
EquitySector	N	Y	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	Y	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. The counter currency of the risk-factor currency pair. This should be set to the “reporting currency” or the “base currency” if the base currency approach is being used.
Optionality	N	Y	‘Y’ or ‘N’		(Optional) Indicates whether the instrument has optionality (See BCBS 457 [MAR21.2]). ‘Y’ for instruments with optionality (and hence with Vega and Curvature risk) ‘N’ for trades without optionality (with no Vega and Curvature risk).
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”
FxComplexDelta	N	Y	String		FX only Set to “N” to enable automatic translations of the sensitivities for different reporting currencies. Otherwise set to “Y” or leave blank to turn off such translations.
FxOtherCcy	N	Y	String		FX only If the sensitivity to a currency pair has been split prior to entering the ActiveViam FRTB solution, this field can be used to add the other half of the pair.
FXDividerEligibility	N	Y	String		FX only Y/N flag indicating whether the divider 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).
Bucket	N	Y	String		Bucket for underlying.