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Profit & Loss without Product Control fields

Download sample file: PLActuals.csv

File pattern match

The pattern match for the Profit & Loss file is: **PLActuals*.csv

For information on the glob patterns used and how to customize them, see note on File name patterns.

Field Key Null FieldType Description Example
AsOfDate Y N String with format ‘YYYY-MM-DD’ Indicates value date. 2019-01-01
TradeID Y N String If TradeId comes from multiple systems you may need to prepend source system to the ID for uniqueness. Note that in certain cases, the TradeId could be for adjustment purposes. In such cases we might only have one PnL vector per Book or desk. The TradeId should contain this information clearly (ADDON or ADJ). “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc.
Daily N N Double P&L
Type Y N String Type of P&L ‘Actual PL’
PLDriver N Y String Driver for the P&L value ‘Market moves’
IsFullReval N Y String Flag to indicate whether the P&L comes from a full revaluation in the risk engine. ‘Y’ or ‘N’.
Ccy N N String Currency of the P&L value
RiskFactor N N String Underlying risk factor (may be more than one) of the risk class.It is expected that the risk factor name encompasses the definition of the risk factor per the FRTB specification (paragraphs 59-66) or remains as close as possible to this regulation. This field is mandatory.
RiskClass N N String Risk factor’s asset class: “Interest rate”, “Credit spread”, “Foreign exchange”, “Equity”, “Commodity”, “Hybrid”. Equity
Bucket N Y String Placeholder for FRTB bucket of the risk factor.
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