Curvature Summary

Download sample file: SBM_Summary_Curvature_Sensitivities_2018-09-25.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 Summary file type is identified using the pattern: **/SBM_Summary*_Curvature_Sensitivities*.csv (as specified by sbm.summary.curvature.sensitivities.file-pattern). This file is loaded using the SBM_Curvature_Sensi_Summary 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 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.
Book Y N String The book ID.
LegalEntity Y N String The legal entity ID.
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. The risk factor name is expected to encompass 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.