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Vega Trade

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 Atoti FRTB Interpretation and Implementation guide:

This Vega Trade 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:

A description of the “underlying” is generated and added to the UnderlyingDescription store. This description is shared with Delta and Curvature.
A description of the risk-factor is generated and added to the RiskFactorDescription store.
The sensitivities are added to the Vega store.

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 Atoti 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 Atoti 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 Atoti 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”
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		Field is ignored.
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.