FRTB SA - Input format
In case of FRTB SA the input is your portfolio sensitivities at trade level. Currently expected format for the sensitivities is like this: Delta.csv. This format is very similar to the industry standard CRIF. Coming soon full CRIF support. As you can see, this file is your Sensitivities at Trade-RiskFactor-Tenor level.
In our examples we will also be using an optional hierarchies file hms.csv. Hierarchies simply define which Book belongs to where in terms of Business and/or Legal structure (eg which Desk or Legal Entity).
Finally, we need TradeAttributes.csv. It is similar to our Delta Sensis but the data here is at Trade level only. Ie Notional, Product/Derivative Type, RRAO Flags etc etc.
Defenitions
Note that the FRTB SA Paper actually well defines what a "RiskFactor" is and the formulas for "Sensitivities". See paragraphs 21.8-21.19 and 21.19-21.26 respectively.
Expected Columns Explanation - Risk
Table below will outline which columns are expected, the useage and meaning behind them. This table might get outdated. Always check Delta.csv.
| ColumnName | Expected for Weights Assignments | Expected for Calculation (past weights/scailing assignments) | Restrictions on values | Where used | Explanation |
|---|---|---|---|---|---|
| COB | Y | N | N | Used with MaturityDate to assign DRC Scailing Factor | |
| TradeId | N | Y | N | RRAO | |
| RiskCategory | Y | Y | Delta or Vega | All Risk Calculations | Note: Curvature goes under Delta |
| RiskClass | Y | Y | DRC_Sec_nonCTP/DRC_nonSec/CSR_Sec_nonCTP/Commodity/CSR_Sec_CTP/CSR_nonSec/Equity/FX/GIRR | All Risk Calculations(except RRAO) | |
| RiskFactor | Y | Y | All Risk Calculations(except RRAO) | Different meaning depending on RiskClass. See Delta.csv for correct value for your particular RiskClass. Note: for FX convention used XXXCCY where CCY is your reporting currency. Parameter reporting_ccy will filter out all lines where CCY doesn't match it's value. For jurisdiction BCBS XXXUSD only will be used (unless overriden with reporting_ccy), and similarly XXXEUR for CRR2. | |
| RiskFactorType | Y | Y | See Delta.csv | All Risk Calculations(except RRAO) | Note: Different meaning depending on RiskClass. See Delta.csv for correct value for your particular RiskClass. |
| CreditQuality | N | DRC nonSec and DRC Sec nonCTP | For DRC Sec nonCTP Joined with RiskFactorType with _ and then assigned via the table below. For DRC nonSec see respective table | ||
| MaturityDate | Y | N | Used with COB to assign DRC Scailing Factor | ||
| Tranche | Y | DRC_Sec_nonCTP | |||
| CommodityLocation | Y | Commodity Delta | |||
| GirrVegaUnderlyingMaturity | Y | GIRR Vega | |||
| BucketBCBS | Y | See Delta.csv | All Risk Calculations(except RRAO) | Be careful, refer to Delta.csv Note: For FX if not provided will be derived using RiskFactor | |
| BucketCRR2 | Y(if opt in CRR2) | See Delta.csv | Note: Present because some CSR buckets are different between BCBS and CRR2 | ||
| GrossJTD | Y | ||||
| PnL_Up | Y | ||||
| PnL_Down | Y | ||||
| SensitivitySpot | Y | ||||
| Sensitivity_025Y | Y | ||||
| Sensitivity_05Y | Y | For Vega used as Option Maturity Tenor. For Delta as Risk Factor Tenor | |||
| Sensitivity_1Y | Y | For Vega used as Option Maturity Tenor. For Delta as Risk Factor Tenor | |||
| Sensitivity_2Y | Y | ||||
| Sensitivity_3Y | Y | For Vega used as Option Maturity Tenor. For Delta as Risk Factor Tenor | |||
| Sensitivity_5Y | Y | For Vega used as Option Maturity Tenor. For Delta as Risk Factor Tenor | |||
| Sensitivity_10Y | Y | For Vega used as Option Maturity Tenor. For Delta as Risk Factor Tenor | |||
| Sensitivity_15Y | Y | ||||
| Sensitivity_20Y | Y | ||||
| Sensitivity_30Y | Y | ||||
| CoveredBondReducedWeight | Y(if you opted in via config) | N | Y or N | ||
| FxCurvDivEligibility | Y | Y or N |
Expected Columns Explanation - Trade attributes
| ColumnName | Expected for Weights Assignments | Expected for Calculation (past weights/scailing assignments) | Restrictions on values | Where used | Explanation |
|---|---|---|---|---|---|
| TradeId | N | Y | N | RRAO | |
| BookId | N | N | Not required. We use it to join hms.csv | ||
| EXOTIC_RRAO | N | Y | RRAO | ||
| OTHER_RRAO | N | Y | RRAO | ||
| Notional | N | Y | RRAO |
DRC Sec nonCTP - CreditQiality+_+RiskFactorType Weights
| CreditQuality+_+RiskFactorType | DRC Sec nonCTP Weight |
|---|---|
| AAA_SENIOR | 1.2 |
| AA+_SENIOR | 1.2 |
| AA_SENIOR | 2 |
| AA-_SENIOR | 2.4 |
| A+_SENIOR | 3.2 |
| A_SENIOR | 4 |
| A-_SENIOR | 4.8 |
| BBB+_SENIOR | 6 |
| BBB_SENIOR | 7.2 |
| BBB-_SENIOR | 9.6 |
| BB+_SENIOR | 11.2 |
| BB_SENIOR | 12.8 |
| BB-_SENIOR | 16 |
| B+_SENIOR | 20 |
| B_SENIOR | 24.8 |
| B-_SENIOR | 30.4 |
| CCC+_SENIOR | 36.8 |
| CCC_SENIOR | 36.8 |
| CCC-_SENIOR | 36.8 |
| D_SENIOR | 100 |
| UNDERATD_SENIOR | 100 |
| OTHER_SENIOR | 100 |
| AAA_JUNIOR | 1.2 |
| AA+_JUNIOR | 1.2 |
| AA_JUNIOR | 2.4 |
| AA-_JUNIOR | 3.2 |
| A+_JUNIOR | 4.8 |
| A_JUNIOR | 6.4 |
| A-_JUNIOR | 9.6 |
| BBB+_JUNIOR | 13.6 |
| BBB_JUNIOR | 17.6 |
| BBB-_JUNIOR | 26.4 |
| BB+_JUNIOR | 37.6 |
| BB_JUNIOR | 49.6 |
| BB-_JUNIOR | 60 |
| B+_JUNIOR | 72 |
| B_JUNIOR | 84 |
| B-_JUNIOR | 90.4 |
| CCC+_JUNIOR | 100 |
| CCC_JUNIOR | 100 |
| CCC-_JUNIOR | 100 |
| D_JUNIOR | 100 |
| UNDERATD_JUNIOR | 100 |
| OTHER_JUNIOR | 100 |
| A-1_JUNIOR | 1.2 |
| A-1_SENIOR | 1.2 |
| P-1_JUNIOR | 1.2 |
| P-1_SENIOR | 1.2 |
| A-2_JUNIOR | 4 |
| A-2_SENIOR | 4 |
| P-2_JUNIOR | 4 |
| P-2_SENIOR | 4 |
| A-3_JUNIOR | 8 |
| A-3_SENIOR | 8 |
| P-3_JUNIOR | 8 |
| P-3_SENIOR | 8 |
| UNDERATD_JUNIOR | 100 |
| UNDERATD_SENIOR | 100 |
| AAA_NONSENIOR | 1.2 |
| AA+_NONSENIOR | 1.2 |
| AA_NONSENIOR | 2.4 |
| AA-_NONSENIOR | 3.2 |
| A+_NONSENIOR | 4.8 |
| A_NONSENIOR | 6.4 |
| A-_NONSENIOR | 9.6 |
| BBB+_NONSENIOR | 13.6 |
| BBB_NONSENIOR | 17.6 |
| BBB-_NONSENIOR | 26.4 |
| BB+_NONSENIOR | 37.6 |
| BB_NONSENIOR | 49.6 |
| BB-_NONSENIOR | 60 |
| B+_NONSENIOR | 72 |
| B_NONSENIOR | 84 |
| B-_NONSENIOR | 90.4 |
| CCC+_NONSENIOR | 100 |
| CCC_NONSENIOR | 100 |
| CCC-_NONSENIOR | 100 |
| D_NONSENIOR | 100 |
| UNDERATD_NONSENIOR | 100 |
| OTHER_NONSENIOR | 100 |
| A-1_NONSENIOR | 1.2 |
| P-1_NONSENIOR | 1.2 |
| A-2_NONSENIOR | 4 |
| P-2_NONSENIOR | 4 |
| A-3_NONSENIOR | 8 |
| P-3_NONSENIOR | 8 |
| UNDERATD_NONSENIOR | 100 |
| D_NONSENIOR | 100 |
| AAA_SUBORDINATE | 1.2 |
| AA+_SUBORDINATE | 1.2 |
| AA_SUBORDINATE | 2.4 |
| AA-_SUBORDINATE | 3.2 |
| A+_SUBORDINATE | 4.8 |
| A_SUBORDINATE | 6.4 |
| A-_SUBORDINATE | 9.6 |
| BBB+_SUBORDINATE | 13.6 |
| BBB_SUBORDINATE | 17.6 |
| BBB-_SUBORDINATE | 26.4 |
| BB+_SUBORDINATE | 37.6 |
| BB_SUBORDINATE | 49.6 |
| BB-_SUBORDINATE | 60 |
| B+_SUBORDINATE | 72 |
| B_SUBORDINATE | 84 |
| B-_SUBORDINATE | 90.4 |
| CC+_SUBORDINATE | 100 |
| CC_SUBORDINATE | 100 |
| CC-_SUBORDINATE | 100 |
| D_SUBORDINATE | 100 |
| UNDERATD_SUBORDINATE | 100 |
| OTHER_SUBORDINATE | 100 |
| A-1_SUBORDINATE | 1.2 |
| P-1_SUBORDINATE | 1.2 |
| A-2_SUBORDINATE | 4 |
| P-2_SUBORDINATE | 4 |
| A-3_SUBORDINATE | 8 |
| P-3_SUBORDINATE | 8 |
| UNDERATD_SUBORDINATE | 100 |
| D_SUBORDINATE | 100 |
DRC nonSec - BCBS CreditQiality Weights
| CreditQuality | WeightBCBS |
| AAA | 0.005 |
| AA | 0.02 |
| A | 0.03 |
| BBB | 0.06 |
| BAA | 0.06 |
| BB | 0.15 |
| BA | 0.15 |
| B | 0.3 |
| CCC | 0.5 |
| CAA | 0.5 |
| CA | 0.5 |
| UNRATED | 0.15 |
| NORATING | 0.15 |
| DEFAULTED | 1 |
| CreditQuality | WeightCRR2 |
| AAA | 0.005 |
| AA | 0.005 |
| A | 0.03 |
| BBB | 0.06 |
| BAA | 0.06 |
| BB | 0.15 |
| BA | 0.15 |
| B | 0.3 |
| CCC | 0.5 |
| CAA | 0.5 |
| CA | 0.5 |
| UNRATED | 0.15 |
| NORATING | 0.15 |
| DEFAULTED | 1 |