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Vega

Download sample file: SBM_Vega_Sensitivities.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.

Normalization

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

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 Vega 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
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.
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 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). “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 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). “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.
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.
GIRR Type of underlying GIRR curve.
CSR non-Sec Defines basis of CSR. “BOND”, “CDS”
CSR Sec CTP Defines basis of CSR.
CSR Sec non-CTP Defines basis of CSR.
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. “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 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 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 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 Field is ignored.
Bucket N Y String Bucket for underlying.