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Delta Trade

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 Atoti FRTB Interpretation and Implementation guide:

This Delta Trade 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:

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 Atoti 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 Atoti 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 Atoti 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”
CommodityLocation 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 The rating used to determine if covered bonds are highly rated or not “AAA”, “high”
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.
Pool N Y String CSR Sec non-CTP only Pool for tranche. If empty, copied from Underlying.
Attachment N Y Double CSR Sec non-CTP only Tranche attachement point. Values between 0.0 and 1.0. If empty, defaults to 0.0.
Detachment N Y Double CSR Sec non-CTP only Tranche detachment point. Values between 0.0 and 1.0. If empty, defaults to 0.0.