Trade Attributes

Download sample file: Trade_Attributes.csv

This file describes the trade, including book and legal entity, notional and present value. Fields are applicable to all components except where indicated.

This Trade Attributes file type is identified using the pattern: **/{Trade_Attributes,SA_Trades}*.csv (as specified by trade.attributes.sa.trades.file-pattern). This file is loaded using the Trade_Attributes 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.
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. –
Book N N String The book to map the trade to (must match the node in the Book Hierarchy).
Legal Entity N N String Legal Entity to map the trade to (must match the node in the Legal Entity Hierarchy).
Notional N Y Double Notional of trade/position. Use of this field for DRC & RRAO is deprecated
NotionalCcy N Y String Currency of notional. Required whenever notional is provided.
PresentValue N Y Double Use of this field for DRC and Curvature present value is deprecated
PVCcy N Y String Currency of present value. Required whenever present value is provided.
ResidualRisk N Y ‘Y’ or ‘N’

Deprecated - Applicable to RRAO only

Indicates trade/position subject to residual risk add-on.

ExoticUnderlying N Y ‘Y’ or ‘N’

Deprecated - Applicable to RRAO only

If yes and residual risk, risk weight = 1% otherwise if residual risk, weight = .1%.

OtherResidualRiskType N Y String

Deprecated - Applicable to RRAO only

Optional data - valid if ExoticUnderlying = ‘N’. Suggested valid values are “GAP”, “CORRELATION”,‘BEHAVIORIAL", “OTHER”.

TradeDate N Y Date[YYYY-MM-DD] The date on which the trade took place
Sensitivity Scale Category N Y String The category to use for scaling the SBM sensitivities. This matches the categories in the Sensitivity Scaling configuration file. If unused, or the category doesn’t match, no scaling is applied. Business Day 1
RRAO Category N Y String

Deprecated - Applicable to RRAO only

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.

RRAO Trades

If the ResidualRisk flag is set, then a row is added to the SaSensitivities store. This row becomes a fact in the SA cube and is used for RRAO calculations.

Stores

The contents of this file are split between the (common) TradeMapping store which maps a trade to book and legal entity (and contains the TradeDate), and the (SA-only) SATradeDescription store which contains SA-specific details of the trade, including Notional, PV, and RRAO details.