FRTBParameters - Atoti Hub

The FRTBParameters*.csv files provide the FRTB regulation parameters, correlation factors and risk weights. You can run simulations on parameter set values using the Parameter Sets What-If Widget.

File format

Field name	Description
Name	The parameter name
Value	The value set for the parameter
Date	The start date that the parameter takes effect
ParameterSet	The parameter set to which the parameter belongs (default = BCBS)

File values

Name	BCBS 457 Reference	Description
sa.girr.delta.differentcurve.correlation	[MAR21.45]	Multiplier to the GIRR delta rho correlations, for aggregating between two weighted sensitivities and within the same bucket with the same tenor but different curves. Also used for curvature where all tenors are moved at the same time.
sa.girr.delta.different-vertex.correlation-floor	[MAR21.46]	Floor parameter defined in the footnote 13 to [MAR21.46]
sa.girr.delta.different-vertex.theta	[MAR21.46]	Theta parameter defined in the footnote 13 to [MAR21.46]
sa.girr.delta.different-vertex-and-curve.correlation	[MAR21.47]	Multiplier to the GIRR delta rho correlations, for aggregating between two weighted sensitivities and within the same bucket with different tenors and different curves
sa.girr.delta.inflation-vs-yield.correlation	[MAR21.48]	GIRR delta rho correlation between a weighted sensitivity to the inflation curve and a weighted sensitivity to a given tenor of the relevant yield curve
sa.girr.delta.basis-vs-yield.correlation	[MAR21.49](1)	GIRR delta rho correlation parameter between a weighted sensitivity to a cross-currency basis curve and a weighted sensitivity to a given tenor of the relevant yield curve
sa.girr.delta.basis-vs-inflation.correlation	[MAR21.49](2)	GIRR delta rho correlation parameter between a weighted sensitivity to a cross-currency basis curve and a weighted sensitivity to inflation curve
sa.girr.delta.basis-vs-basis.correlation	[MAR21.49](3)	GIRR delta rho correlation parameter between a weighted sensitivity to a cross-currency basis curve and a weighted sensitivity to another cross-currency basis curve (if relevant).
sa.girr.delta.different-ccy.correlation	[MAR21.50]	GIRR delta gamma correlation parameter, used for aggregating GIRR risk positions across different buckets (ie different currencies)
sa.girr.delta.rw.major.currency.adjustment	[MAR21.44]	Optional GIRR delta risk weight divider
sa.csr-nonsec.delta.rho-name.correlation	[MAR21.54](1)	CSR non-Sec rho_name correlation parameter
sa.csr-nonsec.delta.rho-tenor.correlation	[MAR21.54](2)	CSR non-Sec rho_tenor correlation parameter
sa.csr-nonsec.delta.rho-basis.correlation	[MAR21.54](3)	CSR non-Sec rho_basis correlation parameter
sa.csr-nonsec.delta.rho.index.correlation	[MAR21.55](1)	CSR non-Sec rho_name correlation parameter for buckets 17 and 18
sa.csr-sec-ctp.delta.rho-basis.correlation	[MAR21.60]	CSR Sec CTP rho_basis correlation parameter defined in [MAR21.60]
sa.csr-sec-non-ctp.delta.rho-tranche.correlation	[MAR21.68]	CSR Sec non-CTP rho_tranche parameter set in [MAR21.68](1)
sa.csr-sec-non-ctp.delta.rho-tenor.correlation	[MAR21.68]	CSR Sec non-CTP rho_tenor parameter set in [MAR21.68](2)
sa.csr-sec-non-ctp.delta.rho-basis.correlation	[MAR21.68]	CSR Sec non-CTP rho_basis parameter set in [MAR21.68](3)
sa.csr-sec-non-ctp.delta.different-buckets.correlation	[MAR21.70]	CSR Sec non-CTP gamma correlation for aggregating delta risk positions across buckets 1 to 24
sa.csr-sec-non-ctp.delta.other-bucket.correlation	[MAR21.71]	Gamma “other” parameter value is used for the correlation between the CSR Sec non-CTP “other” buckets and the buckets 1-24. See [MAR21.71] interpretation note in the release notes.
sa.csr-sec-non-ctp.delta.other-bucket.added	[MAR21.45](5)	When evaluating the CSR Sec non-CTP Delta (or Vega) Risk Charge [MAR21.4](5), whether to add the “other” bucket Delta (or Vega) Risk Position after taking the square root (“true”), or include the “other” bucket with the rest inside the square root (“false”). See [MAR21.71] interpretation note in the release notes.
sa.csr-sec-non-ctp.curvature.other-bucket.added	[MAR21.5](4)	When evaluating the CSR Sec non-CTP Curvature Risk Charge [MAR21.5](4), whether to add the “other” bucket CurvatureRisk Position after taking the square root (“true”), or include the “other” bucket with the rest inside the square root (“false”). See [MAR21.71] interpretation note in the release notes.
sa.equity.spot-to-repo.correlation	[MAR21.78](1)	Equity rho correlation for the same name when one risk factor is spot and the other is repo
sa.equity.spot-to-repo.different-issuer.correlation	[MAR21.78](4)	Multiplier for the Equity rho correlation for different names when one risk factor is spot and the other is repo
sa.equity.delta.gamma.correlation	[MAR21.80](1)	Equity gamma correlation for buckets 1-10
sa.equity.delta.gamma.index.correlation	[MAR21.80](3)	Equity gamma correlation for buckets 12 and 13
sa.equity.delta.gamma.index-cross.correlation	[MAR21.80](4)	Gamma correlation between an Equity index bucket and buckets 1 to 10
sa.commodity.rho-tenor.correlation	[MAR21.83](2)	Commodity rho_tenor correlation parameter
sa.commodity.rho-basis.correlation	[MAR21.83](3)	Commodity rho_basis correlation parameter
sa.commodity.correlation	[MAR21.85](1)	Commodity gamma correlation parameter for buckets 1 to 10
sa.commodity.other-commodity.correlation	[MAR21.85](2)	Commodity gamma correlation parameter for bucket 11
sa.fx.delta.rw	[MAR21.87]	A unique relative risk weight that applies to all the FX sensitivities.
sa.fx.delta.rw.selected.pair.adjustment	[MAR21.88]	Divider for specific currencies
sa.fx.correlation	[MAR21.89]	FX gamma correlation parameter
sa.fx.curvature.divider	[MAR21.98]	Value by which to divide the Curvature $CVR_k^+$ and $CVR_k^-$ values, when they do not reference the reporting (or base) currency
sa.vega.rw	[MAR21.92]	RW_sigma parameter used to determine vega risk weights (see footnote 24 under [MAR21.92])
sa.vega.rho-option-maturity.alpha	[MAR21.93](1)(a)	Alpha parameter in the GIRR vega rho_option maturity formula
sa.vega.rho-underlying-maturity.alpha	[MAR21.93](2)(a)	Alpha parameter in the GIRR vega rho_underlying maturity formula
sa.correlation.stress.low	[MAR21.6](3)	Multiplier used to obtain correlations under the “low correlations” scenario
sa.correlation.stress.high	[MAR21.6](2)	Multiplier used to obtain correlations under the “high correlations” scenario
sa.drc.maturity.default	[MAR22.15]	If maturity is not explicitly provided for a position, then the SA DRC calculation will use this default value in its maturity scaling calculation
sa.drc.maturity.min	[MAR22.15]	Floor to the maturity value in the DRC SA maturity scaling calculations
sa.drc.maturity.max	[MAR22.15]	Cap to the maturity value in the DRC SA maturity scaling calculations
sa.fx.reporting-currency		Enables the definition of different reporting currencies for different jurisdictions if required.
sa.fx.base-currency	[MAR21.14](b)	Sets the base currency defined in [MAR21.14](b). Only used if sa.fx.use.base-currency is set to TRUE.
sa.fx.use.base-currency	[MAR21.14](b)	Flag used to enable the base currency approach. If set to false, the sa.fx.base-currency parameter is ignored.
sa.fx.use.fx-divider	[MAR21.98]	If this parameter is set to TRUE, then the CVR calculated as follows: $CVR = CVR_{divisor\text{-}eligible} / x + CVR_{non\text{-}eligible}$ where $x$ is defined bysa.fx.curvature.divider
sa.rrao.risk-weight.other	[MAR23.8](2)(b)	RRAO risk weight for instruments bearing other residual risks specified
sa.rrao.risk-weight.exotic	[MAR23.8](2)(a)	RRAO risk weight for instruments with an exotic underlying specified
sa.girr.delta.basis.risk-weight	[MAR21.43]	GIRR delta risk weight for the cross-currency basis risk factors
sa.girr.delta.inflation.risk-weight	[MAR21.43]	GIRR delta risk weight for the inflation risk factors
sa.drc.sec-non-ctp.risk-weight-floor	[MAR22.34](1)	Refers to BCBS 374 and the risk weights as set out in paragraphs 68-69
sa.drc.sec-non-ctp.risk-weight-floor.stc		The risk weight floor for SEC-ERBA STC.
sa.drc.adjustment.apply		Set to `true` to add the DRC Adjustments to the Gross JTD.
sa.drc.use-zero-risk-weight		Set to `true` to handle Zero Risk Weight DRC non-Sec exposures differently.
sa.csr-nonsec.delta.risk-weight.covered-bonds.use-high-rating-alternative	[MAR21.53]	If set to TRUE, then the calculation will use the alternative Risk Weight for CSR non-Sec covered bonds with rating higher than AA- (see footnote 17 under [MAR21.53])
sa.csr-nonsec.delta.risk-weight.covered-bonds.high-rating-alternative	[MAR21.53]	Covered bonds risk weight, if alternative risk weight is enabled according to the footnote 17 under the [MAR21.53] (see also parameter sa.csr-nonsec.delta.risk-weight.covered-bonds.use-high-rating-alternative)
sa.csr-nonsec.bucket.covered-bonds	[MAR21.53] footnote 17	CSR non-Sec bucket for Covered Bonds Sector
sa.other.bucket.equity	[MAR21.72] Table 9	Equity other bucket
sa.other.bucket.csr.ns	[MAR21.51] Table 3	CSR non-Sec other bucket
sa.other.bucket.csr.secnonctp	[MAR21.62] Table 7	CSR Sec non-CTP other bucket
sa.other.bucket.commodity	[MAR21.82] Table 11	Commodity other bucket
sa.index.buckets.equity	[MAR21.72] Table 9	Equity index buckets
sa.index.buckets.csr-ns	[MAR21.51] Table 3	CSR non-Sec index buckets
sa.girr.major-ccy-adjustment	[MAR21.44]	Whether or not to divide risk weights for major currencies by square root of 2.
sa.fx.major-ccy-adjustment	[MAR21.88]	Whether or not to divide risk weights for some currency pairs by square root of 2.
sa.vega.rw.rounding-dp	[MAR21.92]	Decimal places in $RW_k$ in [MAR21.92]
sa.girr.delta.vertex.correlation.rounding-dp	[MAR21.46]	Decimal places in $\rho_{kl}$ in [MAR21.46]
ima.es.confidence-level	[MAR33.3]	Confidence level for calculating IMCC ES values
ima.var.confidence-level	[MAR33.20]	Confidence level for calculating IMA DRC VaR
ima.rho.imcc	[MAR33.15]	Value of rho used in IMCC calculations
ima.rho.ses	[MAR33.17]	Value of rho used in SES calculations
ima.base-horizon	[MAR33.4]	Base liquidity horizon for IMCC ES calculations
sa.girr.inflation-basis-adjustment	[MAR21.44]	Boolean flag. If `true` to include inflation and cross-currency basis curves when dividing major currency risk weights by square root of 2. If `false` these curves are excluded.
calendar.week.end		The weekend definition for the business day calendar
calendar.place		The name of the calendar used to fetch the relevant calendar from the datastore
sa.csr-sec-non-ctp.delta.rho-tranche.overlap-threshold	[MAR21.68] (3)	Threshold for notional overlap for $\rho_{kl}^{(tranche)}$
sa.crypto.group-2a.delta.risk-weight	[SCO60.73]	Crypto 2a delta risk weight
sa.crypto.group-2a.vega.risk-weight	[SCO60.73]	Crypto 2a vega risk weight
sa.crypto.group-2a.delta.rho-correlation	[SCO60.76]	Crypto 2a delta rho correlation parameter
sa.crypto.group-2a.vega.rho-correlation	[SCO60.76]	Crypto 2a vega rho correlation parameter
sa.crypto.group-2a.curvature.risk-weight	[SCO60.79]	Crypto 2a curvature risk weight

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