Delta trade - Atoti Hub

Download sample file: SBM_Delta_Sensitivities.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:

This Delta Trade file type is identified using the pattern: **/SB*_Delta_Sensitivities*.csv (as specified by sb.delta.sensitivities.file-pattern). A sample file is SBM_Delta_Sensitivities. This file is loaded using the SBM_Delta_Sensi 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.
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
				Vector
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”, “Crypto 2a”
SensitivityDates	N	Y	String Array or String with set format, separated by semicolons	GIRR, CSR, Commodities and Crypto 2a 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” Crypto 2a: “0;0.25;0.5;1;2;3;5;10;15;20;30”
RiskFactor	Y	Y	String	Risk factor name. It is expected that the risk factor name encompasses the definition of the risk factor per the FRTB specification (MAR21.3 to MAR21.14, and for Crypto 2a in SCO60.74 and SCO60.75), 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, then 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.
				Name of crypto asset, including the exchange. If omitted, it is generated as Bucket + Location.	”Bitcoin MEXC”
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.
				The crypto asset and the exchange. If ommited, it is generated as Bucket + Location	”Bitcoin MEXC”
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”
Location	N	Y	String	Used for Commodity and Crypto 2a only.
				Commodity delivery location	”Le Havre”, “Oklahoma”
				Crypto exchange	”MEXC”
(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	N	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	N	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	N	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	N	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

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.
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.
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
				Crypto 2a	Vector
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”, “Crypto 2a”
SensitivityDates	N	Y	String Array or String with set format, separated by semicolons		GIRR, CSR, Commodities and Crypto 2a 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” Crypto 2a: “0;0.25;0.5;1;2;3;5;10;15;20;30”
RiskFactor	Y	Y	String		Risk factor name. It is expected that the risk factor name encompasses the definition of the risk factor per the FRTB specification ([MAR21.3] to [MAR21.14], and for Crypto 2a in [SCO60.74] and [SCO60.75]), 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	Name of underlying curve (e.g. UsdLibor3m). If not provided, then it is copied from Underlying.
				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	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	Name of issuer tranche, credit spread curve. If not provided, then it is calculated as (Underlying + Type).
				Equity	Name of equity plus type (spot or repo). If not provided, then it is calculated as (Underlying + Type).	“IBM SPOT”
				Commodity	Unique commodity name should include commodity name and delivery location. If not provided, then it is calculated as (Underlying + Location).	“Brent Le Havre”, “WTI Oklahoma”
				FX	A currency pair (the exchange rate used in the calculation of the sensitivity). If omitted, it is generated from the underlying and FXCounterCurrency.
				Crypto 2a	Name of crypto asset, including the exchange. If omitted, it is generated as Bucket + Location.	“Bitcoin MEXC”
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	Defines type of underlying curve.	“Yield”, “Basis”, “Inflation”
				CSR non-Sec	Defines basis of CSR.	“BOND”, “CDS”
				CSR Sec CTP	Defines basis of CSR.
				CSR Sec non-CTP	Defines basis of CSR Equity.
				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	Name of curve.
				CSR non-Sec	Name of credit issuer.	“APPLE”, “GOOGLE”
				CSR Sec CTP	The name underlying the securitisation.
				CSR Sec non-CTP	Name of the asset pool and tranche.
				Equity	Name of equity issuer.
				Commodity	Name of Commodity.	“Brent”, “WTI”
				FX	The left-hand side of the risk-factor currency pair.
				Crypto 2a	The crypto asset and the exchange. If ommited, it is generated as Bucket + Location	“Bitcoin MEXC”
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”
Location	N	Y	String		Used for Commodity and Crypto 2a only.
				Commodity	Commodity delivery location	“Le Havre”, “Oklahoma”
				Crypto 2a	Crypto exchange	“MEXC”
(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	N	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	N	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	N	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	N	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.

​Normalization

​Filling missing data

Normalization

Filling missing data