Risk - Atoti Hub

Commodity Location


Description	Delivery location of a commodity risk factor.
Reference
Levels	[ALL, Commodity Location]

Crypto 2a Exchange (optional)


Description	The exchange where the crypto asset is traded. This hierarchy is only added if the `frtb.crypto-2a.exchange-stored` property is set to true.
Reference
Levels	[ALL, Crypto 2a Exchange]

Crypto 2b Direction


Description	Long/short direction of positions for the purpose of Crypto 2b requirement calculation.
Levels	[ALL, Crypto 2b Direction]

This is a stored level sourced from the input data. Its members are the direction values provided in the Crypto 2b input file. The filtering post-processors Crypto 2b long and Crypto 2b short use this level to split gross directional exposures. See also Crypto 2b Exposure Direction, a derived analysis hierarchy that classifies each underlying at query time based on which gross side dominates.

Currencies


Description	Risk factor’s currency.
Levels	[ALL, Currency]

Data Sets


Description	List of data set names used for PL simulation.
Reference
Levels	[ALL, Data Set]

DRC Scenarios


Description	List of scenario labels associated with DRC simulations.
Reference
Levels	[ALL, DRC Scenario]

EBA RRAO Other Instrument Type (optional)


Description	This hierarchy is used for non-exotic trades, allowing for a trade to belong to multiple RRAO Other Instrument Types. See EBA Reporting Templates for more information.
Levels	[ALL, EBA RRAO Other Instrument Type (default)]

FX Counter Currency


Description	The reporting/base currency for which the sensitivity was calculated.
Levels	[ALL, FX Counter Currency]

GIRR Basis Ccy


Description	The counter currency for GIRR cross-currency basis curves.
Levels	[ALL, GIRR Basis Ccy]

This hierarchy can be used in EBA reporting. It is not used in the capital requirement calculations.

Idiosyncratic


Description	Indicates if the exposure comes from an idiosyncratic risk factor.
Reference
Levels	[ALL, Idiosyncratic]

Liquidity Horizons


Description	Indicates which liquidity horizon is associated with risk factor/PL vectors.
Levels	[ALL, Liquidity Horizon]

Maturities


Description	Risk Factor’s underlying maturities for GIRR Vega.
Levels	[ALL, Maturity]

Model


Description	Indicates whether the risk comes from a non-modellable risk factor.
Reference
Levels	[ALL, NMRF]

Optionality


Description	Curvature and Vega sensitivities are always Y, as they only exist for instruments with optionality. Delta is Y when the underlying instrument also has a matching Curvature sensitivity, and N otherwise.
Levels	[ALL, Delta Optionality]
Members	Y, N

Original Maturity


Description	The SBM risk-factor tenor provided in the input, before interpolation to the prescribed tenors.
Levels	[ALL, Original Maturity]

Original Underlying Maturity


Description	For GIRR Vega risk-factors, the residual maturity of the underlying as provided in the input, prior to interpolation to the prescribed tenors.
Reference
Levels	[ALL, Original Underlying Maturity]

Present Value Ladder


Description	The cube leaf level (along with the RiskFactor and AsOfDate) to use when interpolating shocked PV ladders. Defaults to being filled with TradeId.
Levels	[All, Present Value Ladder]

Residual Risk Add On


Description	Displays whether a trade/position has an exotic underlying (first level of the hierarchy), and the type of exotic risk (second level of the hierarchy).

See the RRAO measures page for Residual Risk Add On, RRAO Notional, RRAO Notional Exotic, RRAO Notional Other, and RRAO Notional (All Trades).

Risk Classes


Description	Risk class defined by the regulation.
Levels	[ALL, RiskClass]

Risk Factor Set


Description	Risk Factor Set identifiers (Full or Reduced).
Levels	[ALL, Risk Factor Set]

Risk Factor Types


Description	Type of risk factor. For example, repo or spot for equities, curve type for rates, etc.
Levels	[ALL, Risk Factor Type]

Risk Factors


Description	Risk factor identifiers.
Levels	[ALL, Risk Factor]

Risk Measures


Description	High-level measure type, such as delta/vega.
Levels	[ALL, Risk Measure]

RRAO


Description	Y/N flag indicating whether a position falls under the Residual Risk Add-On (RRAO) requirement, and therefore contributes to the Residual Risk Add On measure.
Levels	[ALL, RRAO]

RRAO Asset Class


Description	Reported asset class for the position.
Levels	[ALL, RRAO Asset Class]

This hierarchy can be used in EBA reporting. It is not used in the capital requirement calculations.

RRAO Zero Risk Weight (optional)


Description	Y/N flag marking a position for the zero multiplier of [CRR Article 495p]. This hierarchy is only added if the `frtb.eu-da.rrao-zero-risk-weight.enabled` property is set to true.
Levels	[ALL, RRAO Zero Risk Weight]

This hierarchy, available from Atoti FRTB 6.0.10, is fed by the RRAO Zero Risk Weight field of the RRAO store. For the treatment and its effect on the RRAO measures, see EU-DA support.

RRAO Category


Description	Groups trades for overriding their RRAO attributes.
Levels	[ALL, RRAO Category]

RRAO Exemption Reason


Description	Reported reason why the position is exempt from RRAO.
Levels	[ALL, RRAO Exemption Reason]

This hierarchy can be used in EBA reporting. It is not used in the capital requirement calculations.

Scenario Dates


Description	List of scenario labels associated with Stress Calibration simulations.
Levels	[ALL, Scenario Date]

Scenarios


Description	List of scenario labels associated with IMA ES/PL P&L simulations. Stress Calibration simulations use the Scenario Dates hierarchy instead.
Levels	[ALL, Scenario]

Sensitivity Scale Category


Description	The category used to scale the SBM sensitivities.
Levels	[ALL, Sensitivity Scale Category]

Sliding Window


Description	Start date of Stress Window being considered.
Levels	[ALL, Sliding Window]

Vertices


Description	Regulatory vertices as defined by the methodology.
Levels	[ALL, Vertex]

​Commodity Location

​Crypto 2a Exchange (optional)

​Crypto 2b Direction

​Currencies

​Data Sets

​DRC Scenarios

​EBA RRAO Other Instrument Type (optional)

​FX Counter Currency

​GIRR Basis Ccy

​Idiosyncratic

​Liquidity Horizons

​Maturities

​Model

​Optionality

​Original Maturity

​Original Underlying Maturity

​Present Value Ladder

​Residual Risk Add On

​Risk Classes

​Risk Factor Set

​Risk Factor Types

​Risk Factors

​Risk Measures

​RRAO

​RRAO Asset Class

​RRAO Zero Risk Weight (optional)

​RRAO Category

​RRAO Exemption Reason

​Scenario Dates

​Scenarios

​Sensitivity Scale Category

​Sliding Window

​Vertices

Commodity Location

Crypto 2a Exchange (optional)

Crypto 2b Direction

Currencies

Data Sets

DRC Scenarios

EBA RRAO Other Instrument Type (optional)

FX Counter Currency

GIRR Basis Ccy

Idiosyncratic

Liquidity Horizons

Maturities

Model

Optionality

Original Maturity

Original Underlying Maturity

Present Value Ladder

Residual Risk Add On

Risk Classes

Risk Factor Set

Risk Factor Types

Risk Factors

Risk Measures

RRAO

RRAO Asset Class

RRAO Zero Risk Weight (optional)

RRAO Category

RRAO Exemption Reason

Scenario Dates

Scenarios

Sensitivity Scale Category

Sliding Window

Vertices