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Curvature Trade

Download sample file: SBM_Curvature_Sensitivities.csv

This file defines the Curvature shocked prices, 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 Curvature Trade file type is identified using the pattern: **/SB*_Curvature_Sensitivities*.csv (as specified by sb.curvature.sensitivities.file-pattern). This file is loaded using the SBM_Curvature_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 Vega.
A description of the risk-factor is generated and added to the RiskFactorDescription store.
The sensitivities are added to the Curvature 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 Curvature 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.
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”
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]). 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	The currency and equals the bucket.	“USD”, “EUR”
				CSR non-Sec	Name of issuer credit spread curve.	“APPLE”, “GOOGLE”
				CSR Sec CTP	Name of issuer credit spread curve.
				CSR Sec non-CTP	Name of issuer tranche.
				Equity	Name of equity issuer.
				Commodity	Name of Commodity.	“Brent”, “WTI”
				FX	A currency pair (the exchange rate used in the calculation of the sensitivity). If omitted, it is generated from the underlying and FXCounterCurrency.
Shift_Up_PV	N	N	Double		Valuation resulting from parallel shocks up
Shift_Down_PV	N	N	Double		Valuation resulting from parallel shocks down
CurvatureCcy	N	N	String		Currency of PV values
RiskWeight	N	Y	Double		The risk weight used in the shifted PV values. If field is null, it is assumed to be the value expected in the calculations (at query time).
PVApplied	N	N	String with set values		Boolean ‘Y’ or ‘N’ to indicate if PV has been removed from sensitivities or not. Default value = ‘N’
(unused)	N	Y	String		Field is ignored.
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	(Can be null) Not used in calculations, but will populate Underlying field in cube.
				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.
FXDividerEligibity	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).
CSRRating	N	Y	String		CSR non-Sec only The rating used to determine if covered bonds are highly rated or not	“AAA”, “high”
Bucket	N	Y	String		Bucket for underlying.
PresentValue	N	Y	Double		The (unshocked) Present Value of the instrument. This is an optional override for the ‘PresentValue’ in the Trade Attributes file. Note: the use of PresentValue in the Trade Attributes for Curvature is deprecated.
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.
PVLadder	N	Y	String		The cube leaf level (along with the RiskFactor and AsOfDate) to use when interpolating shocked PV ladders. Defaults to being filled with TradeKey.