Standardised Approach Datastore Definition

The SA Cube Schema starts with the TradeBase store, which is an index to all the facts in the SA Cube.

Trade Description

The TradeMapping store places each trade in the organisational hierarchy. See Global section for more details.

The SATradeDescription store provides trade-level data.

Risk Factor Descriptions

The TradeBase store references the risk-factor descriptions for all SA facts.

The risk-factor description starts with the RiskFactorDescription store which contains the description of risk-factor (independent of the underlying).

The RiskFactorDescription contains references to the follow stores:

Risk Class	Underlying Store
GIRR, CSR non-Sec, CSR Sec non-CTP, CSR Sec CTP, Equity, Commodity, FX	UnderlyingDescription
DRC non-Sec	Obligor
DRC Sec non-CTP	Tranche
RRAO	RRAO

Buckets

The isolated bucket stores allow the bucket to be determined in the ETL if it is not provided. These stores are:

Risk Class	Bucket Store
Equity	EquityBuckets
CSR non-Sec	CSRNonSecBucket
CSR Sec non-CTP	CSRSecNonCTPBucket
CSR Sec CTP	CSRSecCTPBucket
Commodity	CommodityBuckets

Sensitivities

The TradeBase store references trade-level sensitivities stores for all SA facts (except RRAO).

Risk Measure	Sensitivity Store
Delta	Delta
Vega	Vega
Curvature	Curvature
DRC	DRCBase

Imports

The isolated Legal Entity Imports store contains pre-calculated values that are imported by date, legal entity, parameter set, and measure name.

Overrides

The underlying description stores reference by the RiskFactorDescription store have counterparts that allow the descriptions to be overridden per parameter set. These stores are:

Risk Class	Underlying Store	Override Store
CSR non-Sec, CSR Sec non-CTP, CSR Sec CTP, Equity, Commodity	UnderlyingDescription	UnderlyingDescriptionOverride
DRC non-Sec	Obligor	ObligorOverride
DRC Sec non-CTP	Tranche	TrancheOverride
RRAO	RRAO	RRAOOveride