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FRTB Accelerator Interpretation and Implementation of BCBS 457
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ACR
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--
SA
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--- Key SA Measures
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---
SBM
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----
Commodity
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----
CSR non-Sec
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----
CSR Sec CTP
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----
CSR Sec non-CTP
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----- Interpretation Note
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-----
Data Model (Core)
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-----
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-----
Input Files (Reference Implementation)
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------ SBM_Delta_Sensitivities*.csv
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------ SBM_Vega_Sensitivities*.csv
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/input-files-ref-impl/sbm-curv-sensi.html
------ SBM_Curvature_Sensitivities*.csv
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Config Files
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Datastore (Reference Implementation)
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Cube Schema (Reference Implementation)
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Configuration (Core)
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----
Equity
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FX
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----
GIRR
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--
IMA
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Jurisdictions
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Glossary
SBM_Delta_Sensitivities*.csv
The Delta Sensitivity Data is loaded from the Delta files.
The following table lists the fields in the file format that is used for the CSR Sec non-CTP risk-class.
See the Delta file format documentation for details on the file format.
See Data Model (Core) for a description of the data model.
Data Model Field
File Column
Notes
As-Of Date
AsOfDate
Trade ID
TradeID
Sensitivity Currency
DeltaCcy
Sensitivities
DeltaSensitivities
May be single value or vector, with the same number of entries as Tenors.
Risk Class
RiskClass
“CSR Sec non-CTP”
Sensitivity Tenor
SensitivityDates
May be single value, vector, or empty. If empty, treated as the prescribed tenors: 0.5;1;3;5;10.
Risk Factor Name
RiskFactor
(Optional) If not present, generated during ETL.
Curve Type
RiskFactorType
“Bond” or “CDS”
Tranche Name
Underlying
Bucket
Bucket
1-25
Credit Quality
CSRQuality
Sector
CSRSector
Optionality
Optionality
Should this sensitivity be included in the Curvature calculations (‘Y’) or not (‘N’)?