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 This table might get outdated.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.

ColumnNameExpected for Weights AssignmentsExpected for Calculation (past weights/scailing assignments)Restrictions on valuesWhere usedExplanation
COBYNNUsed with MaturityDate to assign DRC Scailing Factor
TradeIdNYNRRAO
RiskCategoryYYDelta or VegaAll Risk CalculationsNote: Curvature goes under Delta
RiskClassYYDRC_Sec_nonCTP/DRC_nonSec/CSR_Sec_nonCTP/Commodity/CSR_Sec_CTP/CSR_nonSec/Equity/FX/GIRRAll Risk Calculations(except RRAO)
RiskFactorYYAll 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.
RiskFactorTypeYYSee Delta.csvAll Risk Calculations(except RRAO)Note: Different meaning depending on RiskClass. See Delta.csv for correct value for your particular RiskClass.
CreditQualityNDRC nonSec and DRC Sec nonCTPFor DRC Sec nonCTP Joined with RiskFactorType with _ and then assigned via the table below. For DRC nonSec see respective table
MaturityDateYNUsed with COB to assign DRC Scailing Factor
TrancheYDRC_Sec_nonCTP
CommodityLocationYCommodity Delta
GirrVegaUnderlyingMaturityYGIRR Vega
BucketBCBSYSee Delta.csvAll Risk Calculations(except RRAO)Be careful, refer to Delta.csv Note: For FX if not provided will be derived using RiskFactor
BucketCRR2Y(if opt in CRR2)See Delta.csvNote: Present because some CSR buckets are different between BCBS and CRR2
GrossJTDY
PnL_UpY
PnL_DownY
SensitivitySpotY
Sensitivity_025YY
Sensitivity_05YYFor Vega used as Option Maturity Tenor. For Delta as Risk Factor Tenor
Sensitivity_1YYFor Vega used as Option Maturity Tenor. For Delta as Risk Factor Tenor
Sensitivity_2YY
Sensitivity_3YYFor Vega used as Option Maturity Tenor. For Delta as Risk Factor Tenor
Sensitivity_5YYFor Vega used as Option Maturity Tenor. For Delta as Risk Factor Tenor
Sensitivity_10YYFor Vega used as Option Maturity Tenor. For Delta as Risk Factor Tenor
Sensitivity_15YY
Sensitivity_20YY
Sensitivity_30YY
CoveredBondReducedWeightY(if you opted in via config)NY or N
FxCurvDivEligibilityYY or N

Expected Columns Explanation - Trade attributes

ColumnNameExpected for Weights AssignmentsExpected for Calculation (past weights/scailing assignments)Restrictions on valuesWhere usedExplanation
TradeIdNYNRRAO
BookIdNNNot required. We use it to join hms.csv
EXOTIC_RRAONYRRAO
OTHER_RRAONYRRAO
NotionalNYRRAO

DRC Sec nonCTP - CreditQiality+_+RiskFactorType Weights

CreditQuality+_+RiskFactorTypeDRC Sec nonCTP Weight
AAA_SENIOR1.2
AA+_SENIOR1.2
AA_SENIOR2
AA-_SENIOR2.4
A+_SENIOR3.2
A_SENIOR4
A-_SENIOR4.8
BBB+_SENIOR6
BBB_SENIOR7.2
BBB-_SENIOR9.6
BB+_SENIOR11.2
BB_SENIOR12.8
BB-_SENIOR16
B+_SENIOR20
B_SENIOR24.8
B-_SENIOR30.4
CCC+_SENIOR36.8
CCC_SENIOR36.8
CCC-_SENIOR36.8
D_SENIOR100
UNDERATD_SENIOR100
OTHER_SENIOR100
AAA_JUNIOR1.2
AA+_JUNIOR1.2
AA_JUNIOR2.4
AA-_JUNIOR3.2
A+_JUNIOR4.8
A_JUNIOR6.4
A-_JUNIOR9.6
BBB+_JUNIOR13.6
BBB_JUNIOR17.6
BBB-_JUNIOR26.4
BB+_JUNIOR37.6
BB_JUNIOR49.6
BB-_JUNIOR60
B+_JUNIOR  72
B_JUNIOR84
B-_JUNIOR90.4
CCC+_JUNIOR100
CCC_JUNIOR100
CCC-_JUNIOR100
D_JUNIOR100
UNDERATD_JUNIOR100
OTHER_JUNIOR100
A-1_JUNIOR1.2
A-1_SENIOR1.2
P-1_JUNIOR1.2
P-1_SENIOR1.2
A-2_JUNIOR4
A-2_SENIOR4
P-2_JUNIOR4
P-2_SENIOR4
A-3_JUNIOR8
A-3_SENIOR8
P-3_JUNIOR8
P-3_SENIOR8
UNDERATD_JUNIOR100
UNDERATD_SENIOR100
AAA_NONSENIOR1.2
AA+_NONSENIOR1.2
AA_NONSENIOR2.4
AA-_NONSENIOR3.2
A+_NONSENIOR4.8
A_NONSENIOR6.4
A-_NONSENIOR9.6
BBB+_NONSENIOR13.6
BBB_NONSENIOR17.6
BBB-_NONSENIOR26.4
BB+_NONSENIOR37.6
BB_NONSENIOR49.6
BB-_NONSENIOR60
B+_NONSENIOR72
B_NONSENIOR84
B-_NONSENIOR90.4
CCC+_NONSENIOR100
CCC_NONSENIOR100
CCC-_NONSENIOR100
D_NONSENIOR100
UNDERATD_NONSENIOR100
OTHER_NONSENIOR100
A-1_NONSENIOR1.2
P-1_NONSENIOR1.2
A-2_NONSENIOR4
P-2_NONSENIOR4
A-3_NONSENIOR8
P-3_NONSENIOR8
UNDERATD_NONSENIOR100
D_NONSENIOR100
AAA_SUBORDINATE1.2
AA+_SUBORDINATE1.2
AA_SUBORDINATE2.4
AA-_SUBORDINATE3.2
A+_SUBORDINATE4.8
A_SUBORDINATE6.4
A-_SUBORDINATE9.6
BBB+_SUBORDINATE13.6
BBB_SUBORDINATE17.6
BBB-_SUBORDINATE26.4
BB+_SUBORDINATE37.6
BB_SUBORDINATE49.6
BB-_SUBORDINATE60
B+_SUBORDINATE72
B_SUBORDINATE84
B-_SUBORDINATE90.4
CC+_SUBORDINATE100
CC_SUBORDINATE100
CC-_SUBORDINATE100
D_SUBORDINATE100
UNDERATD_SUBORDINATE100
OTHER_SUBORDINATE100
A-1_SUBORDINATE1.2
P-1_SUBORDINATE1.2
A-2_SUBORDINATE4
P-2_SUBORDINATE4
A-3_SUBORDINATE8
P-3_SUBORDINATE8
UNDERATD_SUBORDINATE100
D_SUBORDINATE100

DRC nonSec - BCBS CreditQiality Weights

CreditQualityWeightBCBS
AAA0.005
AA0.02
A0.03
BBB0.06
BAA0.06
BB0.15
BA0.15
B0.3
CCC0.5
CAA0.5
CA0.5
UNRATED0.15
NORATING0.15
DEFAULTED1
CreditQualityWeightCRR2
AAA0.005
AA0.005
A0.03
BBB0.06
BAA0.06
BB0.15
BA0.15
B0.3
CCC0.5
CAA0.5
CA0.5
UNRATED0.15
NORATING0.15
DEFAULTED1