This RRAO Trade file type is identified using the pattern: **/RRAO_Trade*.csv (as specified by rrao.trade.file-pattern).
This file is loaded using the RRAO topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
Field
Key
Null
FieldType
Description
Example
AsOfDate
Y
N
Date
‘YYYY-MM-DD’
Timestamp (at close of business) for the data.
2018-06-29
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.
ExoticUnderlying
N
Y
‘Y’ or ‘N’
If yes and residual risk, risk weight = 1% otherwise if residual risk, weight = .1%.
OtherResidualRiskType
N
Y
String
Optional data - valid if ExoticUnderlying = ‘N’. Suggested valid values are “GAP”, “CORRELATION”,‘BEHAVIORIAL", “OTHER”.
RRAO Category
N
Y
String
This field is used as a key for modifying RRAO attributes. It is used for the overrides as part of the multi-jurisdictional support; it is not used directly in calculations.
Notional
N
Y
Double
Notional of trade/position.
NotionalCcy
N
Y
String
Currency of notional. Required whenever notional is provided.
Residual Risk
N
Y
Y/N
Is this position subject to RRAO.
Default = ‘Y’.
Exemption Reason
N
Y
String
Reported reason why the position is exempt from RRAO.
Asset Class
N
Y
String
Reported asset class.
note
The Solution uses this input file alongside the SBM Sensitivity files to load sensitivity information.
The native formats offer enhanced support and features such as multiple jurisdictions and better reporting. However, you can use CRIF (Common Risk Interchange Format) as an alternative to the native sensitivity input files. CRIF input files should be created according to the standard ISDA CRIF. For details on how to become a licensed CRIF user, contact ISDA at analytics@isda.org.