Trade attributes - Atoti Hub

Download sample file: Trade_Attributes.csv This Trade Attributes file type is identified using the pattern: **/{Trade_Attributes,SA_Trades}*.csv (as specified by trade.attributes.sa.trades.file-pattern). This file is loaded using the Trade_Attributes 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. –
Book	N	N	String	The book to map the trade to (must match the node in the Book Hierarchy).
Legal Entity	N	N	String	Legal Entity to map the trade to (must match the node in the Legal Entity Hierarchy).
Notional	N	Y	Double	Note: This field is not used in calculations. For DRC and RRAO calculations, provide the Notional directly in the DRC Trade or RRAO Trade input files.
NotionalCcy	N	Y	String	Currency of notional. Required whenever notional is provided.
PresentValue	N	Y	Double	Note: This field is not used in calculations. For DRC and Curvature calculations, provide the PresentValue directly in the DRC Trade or Curvature sensitivity files.
PVCcy	N	Y	String	Currency of present value. Required whenever present value is provided.
ResidualRisk	N	Y	‘Y’ or ‘N’	Deprecated - Applicable to RRAO onlyIndicates trade/position subject to residual risk add-on.
ExoticUnderlying	N	Y	‘Y’ or ‘N’	Deprecated - Applicable to RRAO onlyIf yes and residual risk, risk weight = 1% otherwise if residual risk, weight = .1%.
OtherResidualRiskType	N	Y	String	Deprecated - Applicable to RRAO onlyOptional data - valid if ExoticUnderlying = ‘N’. Suggested valid values are “GAP”, “CORRELATION”,‘BEHAVIORIAL”, “OTHER”.
TradeDate	N	Y	Date[YYYY-MM-DD]	The date on which the trade took place
Sensitivity Scale Category	N	Y	String	The category to use for scaling the SBM sensitivities. This matches the categories in the Sensitivity Scaling configuration file. If unused, or the category doesn’t match, no scaling is applied.	Business Day 1
RRAO Category	N	Y	String	Deprecated - Applicable to RRAO onlyThis field is used as a key for modifying RRAO attributes. It is used for the overrides as part of the multi-jurisdictional support; it is not used directly in calculations.
Inclusion	N	Y	String	Indicates if the trade should be included (‘Y’) or not by default in the calculations. Default is ‘Y’	Y, Banking Book, Speculative

RRAO Trades

If the ResidualRisk flag is set, then a row is added to the SaSensitivities store. This row becomes a fact in the SA cube and is used for RRAO calculations.

Stores

The contents of this file are split between the (common) TradeMapping store which maps a trade to book and legal entity (and contains the TradeDate), and the (SA-only) SATradeDescription store which contains SA-specific details of the trade, including Notional, PV, and RRAO details.

​RRAO Trades

​Stores

RRAO Trades

Stores