> ## Documentation Index
> Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
> Use this file to discover all available pages before exploring further.
# Delta summary
Download sample file: [SBM\_Summary\_Delta\_Sensitivities\_2018-09-25.csv](../assets/csv/SBM_Summary_Delta_Sensitivities_2018-09-25.csv)
This file defines the Delta sensitivities, 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:**
* [Commodity](../interpret-impl/acr/sa/sa-sbm/commodity)
* [CSR non-Sec](../interpret-impl/acr/sa/sa-sbm/csr-non-sec)
* [CSR Sec CTP](../interpret-impl/acr/sa/sa-sbm/csr-sec-ctp)
* [CSR Sec non-CTP](../interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp)
* [Equity](../interpret-impl/acr/sa/sa-sbm/equity)
* [FX](../interpret-impl/acr/sa/sa-sbm/fx)
* [GIRR](../interpret-impl/acr/sa/sa-sbm/girr)"
This Delta Summary file type is identified using the pattern: **\*\*/SBM\_Summary\*\_Delta\_Sensitivities\*.csv** (as specified by sbm.summary.delta.sensitivities.file-pattern). A sample file is `SBM_Summary_Delta_Sensitivities_2018-09-25`. This file is loaded using the **SBM\_Delta\_Sensi\_Summary** topic. See the [Topic Aliases table](../dev/dev-ref-impl/dev-dlc/dlc-frtb-config#topic-aliases) 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. | |
| Book | Y | N | String | The book ID. | |
| LegalEntity | Y | N | String | The legal entity ID. | |
| DeltaCcy | N | N | String | Currency of the Delta sensitivities provided. | |
| DeltaSensitivities | N | N | Double Array or Double, separated by semicolons | Single value or vector of delta sensitivities. | |
| | | | | Vector | |
| | | | | Vector | |
| | | | | Vector | |
| | | | | Vector | |
| | | | | Vector | |
| | | | | Single value | |
| | | | | Single value | |
| 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" |
| SensitivityDates | N | Y | String Array or String with set format, separated by semicolons | GIRR, CSR, and Commodities only Vector of dates that correspond to the Delta sensitivities. If dates are not provided, Delta Sensitivities are assumed to map to prescribed vertices. The following do not use dates: FX and Equity sensitivites, GIRR cross-currency basis and inflation curves. | GIRR and Commodity: "0.25;0.5;1;2;3;5;10;15;20" CSR: "0.5;1;3;5;10" |
| 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](https://www.bis.org/basel_framework/chapter/MAR/21.htm?inforce=20230101\&published=20200327#paragraph_MAR_21_20230101_21_3) to [MAR21.14](https://www.bis.org/basel_framework/chapter/MAR/21.htm?inforce=20230101\&published=20200327#paragraph_MAR_21_20230101_21_14)), up to the sensitivity dates; this name is shared by all sensitivity dates. 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*. | |
| | | | | Name of underlying curve (e.g. UsdLibor3m). If not provided, then it is copied from Underlying. | |
| | | | | Name of issuer credit spread curve plus basis (Bond or CDS). If not provided, then it is calculated as (Underlying + Type). | "APPLE BOND", "GOOGLE CDS" |
| | | | | Name of issuer credit spread curve plus basis (Bond or CDS). If not provided, then it is calculated as (Underlying + Type). | |
| | | | | Name of issuer tranche, credit spread curve. If not provided, then it is calculated as (Underlying + Type). | |
| | | | | Name of equity plus type (spot or repo). If not provided, then it is calculated as (Underlying + Type). | "IBM SPOT" |
| | | | | Unique commodity name should include commodity name and delivery location. If not provided, it is calculated as (Underlying + Location). | "Brent Le Havre", "WTI Oklahoma" |
| | | | | A currency pair (the exchange rate used in the calculation of the sensitivity). If omitted, it is generated from the underlying and FXCounterCurrency. | |
| Type | N | Y | String | Type of underlying risk factor or GIRR curve. Needed for some risk classes. For details on each risk factor, see the relevant section in the *Atoti FRTB Interpretation and Implementation guide*. | |
| | | | | Defines type of underlying curve. | "Yield", "Basis", "Inflation" |
| | | | | Defines basis of CSR. | "BOND", "CDS" |
| | | | | Defines basis of CSR. | |
| | | | | Defines basis of CSR Equity. | |
| | | | | Equity type. | "Spot" or "Repo" |
| 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*. | |
| | | | | Name of curve. | |
| | | | | Name of credit issuer. | "APPLE", "GOOGLE" |
| | | | | The name underlying the securitisation. | |
| | | | | Name of the asset pool and tranche. | |
| | | | | Name of equity issuer. | |
| | | | | Name of Commodity. | "Brent", "WTI" |
| | | | | 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. | |
| Optionality | Y | Y | 'Y' or 'N' | (Optional) Indicates whether the instrument has optionality (See BCBS 457 [MAR21.2](https://www.bis.org/basel_framework/chapter/MAR/21.htm?inforce=20230101\&published=20200327#paragraph_MAR_21_20230101_21_2)). - 'Y' for instruments with optionality (and hence with Vega and Curvature risk) - 'N' for trades without optionality (with no Vega and Curvature risk). | |
| CSRRating | N | Y | String | CSR non-Sec only The rating used to determine if covered bonds are highly rated or not | "AAA", "high" |
| FxComplexDelta | Y | Y | String | FX only Set to "N" to enable automatic translations of the sensitivities for different reporting currencies. Otherwise set to "Y" or leave blank to turn off such translations. | |
| FxOtherCcy | Y | Y | String | FX only If the sensitivity to a currency pair has been split prior to entering the ActiveViam FRTB solution, this field can be used to add the other half of the pair. | |
| FXDividerEligibility | Y | Y | String | FX only Y/N flag indicating whether the divider specified in [MAR21.98](https://www.bis.org/basel_framework/chapter/MAR/21.htm?inforce=20230101\&published=20200327#paragraph_MAR_21_20230101_21_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). | |
| Bucket | N | Y | String | Bucket for underlying. | |
| 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. | |
| GIRR Basis Ccy | N | Y | String | GIRR only The counter currency for GIRR cross-currency basis curves. | EUR, USD |
| Translation Risk Ccy | N | Y | String | FX only Indicates the sensitivity represents translation risk; set to the reporting currency. | EUR, GBP |
### Normalization
The contents of this file are normalized and loaded into four stores during the ETL. For each row:
* A description of the "underlying" is generated and added to the **UnderlyingDescription** store. This description is shared with Vega and Curvature.
* A description of the risk-factor is generated and added to the **RiskFactorDescription** store.
* The sensitivities are added to the **Delta** store.
### 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 Delta 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.
| | | | | | | |
| -------------------- | ------- | -------- | --------------------------------------------------------------- | ------------------------------------------------------------------ | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |
| **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. | |
| DeltaCcy | N | N | String | | Currency of the Delta sensitivities provided. | |
| DeltaSensitivities | N | N | Double Array or Double, separated by semicolons | | Single value or vector of delta sensitivities. | |
| | | | | GIRR | Vector | |
| | | | | Commodity | Vector | |
| | | | | CSR non-Sec | Vector | |
| | | | | CSR Sec CTP | Vector | |
| | | | | CSR Sec non-CTP | Vector | |
| | | | | Equity | Single value | |
| | | | | FX | Single value | |
| 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” |
| SensitivityDates | N | Y | String Array or String with set format, separated by semicolons | | GIRR, CSR, and Commodities only Vector of dates that correspond to the Delta sensitivities.If dates are not provided, Delta Sensitivities are assumed to map to prescribed vertices.The following do not use dates: FX and Equity sensitivites, GIRR cross-currency basis and inflation curves. | GIRR and Commodity: “0.25;0.5;1;2;3;5;10;15;20” CSR: “0.5;1;3;5;10” |
| 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]), up to the sensitivity dates; this name is shared by all sensitivity dates. 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](../interpret-impl/acr/sa/sa-sbm/girr) | Name of underlying curve (e.g. UsdLibor3m). If not provided, then it is copied from Underlying. | |
| | | | | [CSR non-Sec](../interpret-impl/acr/sa/sa-sbm/csr-non-sec) | Name of issuer credit spread curve plus basis (Bond or CDS). If not provided, then it is calculated as (Underlying + Type). | “APPLE BOND”, “GOOGLE CDS” |
| | | | | [CSR Sec CTP](../interpret-impl/acr/sa/sa-sbm/csr-sec-ctp) | Name of issuer credit spread curve plus basis (Bond or CDS). If not provided, then it is calculated as (Underlying + Type). | |
| | | | | [CSR Sec non-CTP](../interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp) | Name of issuer tranche, credit spread curve. If not provided, then it is calculated as (Underlying + Type). | |
| | | | | [Equity](../interpret-impl/acr/sa/sa-sbm/equity) | Name of equity plus type (spot or repo). If not provided, then it is calculated as (Underlying + Type). | “IBM SPOT” |
| | | | | [Commodity](../interpret-impl/acr/sa/sa-sbm/commodity) | Unique commodity name should include commodity name and delivery location. If not provided, it is calculated as (Underlying + Location). | “Brent Le Havre”, “WTI Oklahoma” |
| | | | | [FX](../interpret-impl/acr/sa/sa-sbm/fx) | A currency pair (the exchange rate used in the calculation of the sensitivity). If omitted, it is generated from the underlying and FXCounterCurrency. | |
| Type | N | Y | String | | Type of underlying risk factor or GIRR curve. Needed for some risk classes.
For details on each risk factor, see the relevant section in the *Atoti FRTB Interpretation and Implementation guide*. | |
| | | | | [GIRR](../interpret-impl/acr/sa/sa-sbm/girr) | Defines type of underlying curve. | “Yield”, “Basis”, “Inflation” |
| | | | | [CSR non-Sec](../interpret-impl/acr/sa/sa-sbm/csr-non-sec) | Defines basis of CSR. | “BOND”, “CDS” |
| | | | | [CSR Sec CTP](../interpret-impl/acr/sa/sa-sbm/csr-sec-ctp) | Defines basis of CSR. | |
| | | | | [CSR Sec non-CTP](../interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp) | Defines basis of CSR Equity. | |
| | | | | [Equity](../interpret-impl/acr/sa/sa-sbm/equity) | Equity type. | “Spot” or “Repo” |
| 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](../interpret-impl/acr/sa/sa-sbm/girr) | Name of curve. | |
| | | | | [CSR non-Sec](../interpret-impl/acr/sa/sa-sbm/csr-non-sec) | Name of credit issuer. | “APPLE”, “GOOGLE” |
| | | | | [CSR Sec CTP](../interpret-impl/acr/sa/sa-sbm/csr-sec-ctp) | The name underlying the securitisation. | |
| | | | | [CSR Sec non-CTP](../interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp) | Name of the asset pool and tranche. | |
| | | | | [Equity](../interpret-impl/acr/sa/sa-sbm/equity) | Name of equity issuer. | |
| | | | | [Commodity](../interpret-impl/acr/sa/sa-sbm/commodity) | Name of Commodity. | “Brent”, “WTI” |
| | | | | [FX](../interpret-impl/acr/sa/sa-sbm/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. | |
| Optionality | Y | Y | ‘Y’ or ‘N’ | | (Optional) Indicates whether the instrument has optionality (See BCBS 457 \[MAR21.2]).‘Y’ for instruments with optionality (and hence with Vega and Curvature risk), ‘N’ for trades without optionality (with no Vega and Curvature risk). | |
| CSRRating | N | Y | String | | CSR non-Sec only The rating used to determine if covered bonds are highly rated or not | “AAA”, “high” |
| FxComplexDelta | Y | Y | String | | FX only Set to “N” to enable automatic translations of the sensitivities for different reporting currencies. Otherwise set to “Y” or leave blank to turn off such translations. | |
| FxOtherCcy | Y | Y | String | | FX only If the sensitivity to a currency pair has been split prior to entering the ActiveViam FRTB solution, this field can be used to add the other half of the pair. | |
| FXDividerEligibility | Y | 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). | |
| Bucket | N | Y | String | | Bucket for underlying. | |
| 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. | |
| GIRR Basis Ccy | N | Y | String | | GIRR only The counter currency for GIRR cross-currency basis curves. | EUR, USD |
| Translation Risk Ccy | N | Y | String | | FX only Indicates the sensitivity represents translation risk; set to the reporting currency. | EUR, GBP |
The bucket is not sufficient to populate the CSRRating field for CSR non-Sec.