FRTB Accelerator User & Developer Guide 2.1.0

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FRTB Combined Cube Schema

In a Nutshell...

The FRTB Combined Cube is a query node that is built from the other cubes.  As such, it contains the union of all their hierarchies and measures but is not backed by any of the datastores.

For details of the other cubes, refer to the following cube pages:

This page defines the FRTB Combined Cube, and describes its dimensions, hierarchies, and levels.


ClosedBooking Dimension

Dimension


Hierarchy

Level ('Y' or 'N' indicates whether or not the Level is backed by a Datastore Field)

(Use links to jump to the Page: "The Standardised Approach Cube Schema")

Booking

The Default Hierarchy for this Dimension is Desks.



Books

Books is an Aggregatable Hierarchy.

N - Book (See The Standarised Approach Cube Schema)

The book to which the trades have been assigned.

Categories

Categories is an Aggregatable Hierarchy.

N - Category (See The Standarised Approach Cube Schema)

The desk category that is the grouping for the desk.

Desks

Desks is an Aggregatable Hierarchy.

N - Desk (See The Standarised Approach Cube Schema)

The name of the desk.

FRTB Model

FRTB Model is an Aggregatable Hierarchy.

N - FRTB Model (See The Standarised Approach Cube Schema)

An acronym determining whether a desk is SA or IMA.

Trades

Trades is an Aggregatable Hierarchy.

N - TradeId (See The Standarised Approach Cube Schema)

The unique identifier for a trade/position.

 

ClosedBuckets Dimension

Dimension

Hierarchy

Level('Y' or 'N' indicates whether or not the Level is backed by a Datastore Field)

(Use links to jump to the Page: "The Standardised Approach Cube Schema")

Buckets

The Default Hierarchy for this Dimension is GIRR Buckets.







Commodity Buckets

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • Commodity Curvature Risk Position
  • Commodity Delta Risk Position (High, Low)
  • Commodity Vega Risk Position (High, Low)

Commodity Buckets is an Aggregatable Hierarchy.

N - Commodity Bucket (See The Standarised Approach Cube Schema)

Numerical value to represent the bucket of the Commodity

CSR non-Sec Buckets

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • CSR non-Sec Curvature Risk Position
  • CSR non-Sec Delta Risk Position (High, Low)
  • CSR non-Sec Vega Risk Position (High, Low)

CSR non-Sec Buckets is an Aggregatable Hierarchy.

N - CSR non-Sec Bucket (See The Standarised Approach Cube Schema)

Numerical value to represent the bucket of the CSR

CSR Sec CTP Buckets

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • CSR Sec CTP Curvature Risk Position
  • CSR Sec CTP Delta Risk Position (High, Low)
  • CSR Sec CTP Vega Risk Position (High, Low)

CSR Sec CTP Buckets is an Aggregatable Hierarchy.

N - CSR Sec CTP Bucket (See The Standarised Approach Cube Schema)

Numerical value to represent the bucket of the CSR

CSR Sec non-CTP Buckets

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • CSR Sec non-CTP Curvature Risk Position
  • CSR Sec non-CTP Delta Risk Position (High, Low)
  • CSR Sec non-CTP Vega Risk Position (High, Low)

CSR Sec non-CTP Buckets is an Aggregatable Hierarchy.

N - CSR Sec non-CTP Bucket (See The Standarised Approach Cube Schema)

Numerical value to represent the bucket of the CSR

Equity Buckets

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • Equity Curvature Risk Position
  • Equity Delta Risk Position (High, Low)
  • Equity Vega Risk Position (High, Low)

Equity Buckets is an Aggregatable Hierarchy.

N - Equity Bucket (See The Standarised Approach Cube Schema)

Numerical value to represent the bucket of the equity

FX Buckets

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • FX Curvature Risk Position
  • FX Delta Risk Position (High, Low)
  • FX Vega Risk Position (High, Low)

FX Buckets is an Aggregatable Hierarchy.


N - FX Bucket (See The Standarised Approach Cube Schema)

Single currency

GIRR Buckets

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • GIRR Curvature Risk Position
  • GIRR Delta Risk Position (High, Low)
  • GIRR Vega Risk Position (High, Low)

GIRR Buckets is an Aggregatable Hierarchy.

N - GIRR Bucket (See The Standarised Approach Cube Schema)

Currency of the curve

 

ClosedCommodity Attributes Dimension

Dimension

Hierarchy


Level('Y' or 'N' indicates whether or not the Level is backed by a Datastore Field)

(Use links to jump to the Page: "The Standardised Approach Cube Schema")

Commodity Attributes

The Default Hierarchy for this Dimension is Commodity Location.

Commodity Grade

Commodity Grade is an Aggregatable Hierarchy.

N - Commodity Grade (See The Standarised Approach Cube Schema)

Grade of the commodity

Commodity Location

Commodity Location is an Aggregatable Hierarchy.

N - Commodity Location (See The Standarised Approach Cube Schema)

Delivery location of the commodity

Commodity Route

Commodity Route is an Aggregatable Hierarchy.

N - Commodity Route (See The Standarised Approach Cube Schema)

Freight route

Commodity Time

Commodity Location is an Aggregatable Hierarchy.

N - Commodity Time (See The Standarised Approach Cube Schema)

Delivery time of the commodity


ClosedCurrencies Dimension

Dimension


Hierarchy


Level('Y' or 'N' indicates whether or not the Level is backed by a Datastore Field)

(Use links to jump to the Page: "The Internal Models Approach Cube Schema")

Currencies

The Default Hierarchy for this Dimension is Currency.

Currency

Currency is an Aggregatable Hierarchy.

N - Ccy

The currency of the risk factor (See The Internal Models Approach Cube Schema)

FX Counter Currency

FX Counter Currency is an Aggregatable Hierarchy.

N - FX Counter Currency (See The Internal Models Approach Cube Schema)

Counter currency of the FX risk factors


ClosedDates Dimension

Dimension


Hierarchy

Level('Y' or 'N' indicates whether or not the Level is backed by a Datastore Field)

(Use links to jump to the Page: "The Internal Models Approach Cube Schema")

Dates

Date

Slicing Hierarchy

Please note that this Hierarchy is a Slicing Hierarchy, containing a single type Time Level.

N - AsOfDate (See The Internal Models Approach Cube Schema)


ClosedDefault Risk Charge Dimension

Dimension

(Use links to jump to a diagram of the Dimension, showing its Hierarchies and Levels)

Hierarchy

(Use links to jump to a diagram of the Hierarchy, showing its Levels)

Level('Y' or 'N' indicates whether or not the Level is backed by a Datastore Field)

(Use links to jump to the Page: "The Standardised Approach Cube Schema")

Default Risk Charge

The Default Hierarchy for this Dimension is DRC Maturity.

DRC Direction

This is an Aggregatable Hierarchy.

N - DRC Direction(See The Standarised Approach Cube Schema)

Direction of JTD (long or short)

DRC Instrument LGD Type

This is an Aggregatable Hierarchy.

N - DRC Instrument LGD Type(See The Standarised Approach Cube Schema)

LGD type assigned to the instrument

DRC Maturity

This is an Aggregatable Hierarchy.

N - DRC Maturity(See The Standarised Approach Cube Schema)

Maturity used for the DRC JTD scaling

DRC non-Sec Rating

This is an Aggregatable Hierarchy.

N - DRC non-Sec Rating(See The Standarised Approach Cube Schema)

Rating for DRC non-Sec weighting

DRC non-Sec Bucket

This is an Aggregatable Hierarchy.

N - DRC non-Sec Bucket(See The Standarised Approach Cube Schema)

Bucket for the DRC non-Sec obligor

DRC Obligor

This is an Aggregatable Hierarchy.

N - DRC Obligor(See The Standarised Approach Cube Schema)

Obligor for DRC netting

DRC Sec non-CTP Attachment

This is an Aggregatable Hierarchy.

N - DRC Sec non-CTP Attachment(See The Standarised Approach Cube Schema)

Attachment point of the tranche for DRC Sec non-CTP

DRC Sec non-CTP Bucket

This is an Aggregatable Hierarchy.

N - DRC Sec non-CTP Bucket(See The Standarised Approach Cube Schema)

Bucket for the DRC Sec non-CTP bucket

DRC Sec non-CTP Detachment

This is an Aggregatable Hierarchy.

N - DRC Sec non-CTP Detachment(See The Standarised Approach Cube Schema)

Detachment point of the tranche for DRC Sec non-CTP

DRC Sec non-CTP Rating

This is an Aggregatable Hierarchy.

N - DRC Sec non-CTP Rating(See The Standarised Approach Cube Schema)

Rating for the DRC Sec non-CTP rating

DRC Sec non-CTP Tranche

This is an Aggregatable Hierarchy.

N - DRC Sec non-CTP Tranche(See The Standarised Approach Cube Schema)

Tranche ID for DRC Sec non-CTP

DRC Seniority

This is an Aggregatable Hierarchy.

N - DRC Seniority(See The Standarised Approach Cube Schema)

Seniority for DRC netting

 

ClosedDouble Sums Dimension

Dimension

(Use links to jump to a diagram of the Dimension, showing its Hierarchies and Levels)

Hierarchy

(Use links to jump to a diagram of the Hierarchy, showing its Levels)

Level('Y' or 'N' indicates whether or not the Level is backed by a Datastore Field)

(Use links to jump to the Page: "The Standardised Approach Cube Schema")

Double Sums

The Default Hierarchy for this Dimension is GIRR Delta Double Sums.







































































Commodity Curvature Double Sums

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • Commodity Curvature Risk Position Double Sums
  • Commodity Curvature Risk Position Correlations (High, Low)

This is an Aggregatable Hierarchy.

N - Commodity (See The Standarised Approach Cube Schema)
N - Basis (See The Standarised Approach Cube Schema)

Commodity Delta Double Sums

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • Commodity Delta Risk Position Double Sums
  • Commodity Delta Risk Position Correlations (High, Low)

This is an Aggregatable Hierarchy.

N - Commodity(See The Standarised Approach Cube Schema)
N - Tenor(See The Standarised Approach Cube Schema)
N - Basis(See The Standarised Approach Cube Schema)

Commodity Vega Double Sums

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • Commodity Vega Risk Position Double Sums
  • Commodity Vega Risk Position Correlations (High, Low)

This is an Aggregatable Hierarchy.

N - Commodity(See The Standarised Approach Cube Schema)
N - Maturity1(See The Standarised Approach Cube Schema)
N - Maturity2(See The Standarised Approach Cube Schema)

CSR non-Sec Delta Double Sums

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • CSR non-Sec Delta Risk Position Double Sums
  • CSR non-Sec Delta Risk Position Correlations (High, Low)

This is an Aggregatable Hierarchy.

N - Name(See The Standarised Approach Cube Schema)
N - Tenor(See The Standarised Approach Cube Schema)
N - Basis(See The Standarised Approach Cube Schema)

CSR non-Sec Vega Double Sums

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • CSR non-Sec Vega Risk Position Double Sums
  • CSR non-Sec Vega Risk Position Correlations (High, Low)

This is an Aggregatable Hierarchy.

N - Name(See The Standarised Approach Cube Schema)
N - Basis(See The Standarised Approach Cube Schema)
N - Maturity1(See The Standarised Approach Cube Schema)
N - Maturity2(See The Standarised Approach Cube Schema)

CSR Sec CTP Delta Double Sums

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • CSR Sec CTP Delta Risk Position Double Sums
  • CSR Sec CTP Delta Risk Position Correlations (High, Low)

This is an Aggregatable Hierarchy.

N - Name(See The Standarised Approach Cube Schema)
N - Tenor(See The Standarised Approach Cube Schema)
N - Basis(See The Standarised Approach Cube Schema)

CSR Sec CTP Vega Double Sums

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • CSR Sec CTP Vega Risk Position Double Sums
  • CSR Sec CTP Vega Risk Position Correlations (High, Low)

This is an Aggregatable Hierarchy.


N - Name(See The Standarised Approach Cube Schema)
N - Basis(See The Standarised Approach Cube Schema)
N - Maturity1(See The Standarised Approach Cube Schema)
N - Maturity2(See The Standarised Approach Cube Schema)

CSR Sec non-CTP Delta Double Sums

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • CSR Sec non-CTP Delta Risk Position Double Sums
  • CSR Sec non-CTP Delta Risk Position Correlations (High, Low)

This is an Aggregatable Hierarchy.

N - Tranche(See The Standarised Approach Cube Schema)
N - Tenor(See The Standarised Approach Cube Schema)
N - Basis(See The Standarised Approach Cube Schema)

CSR Sec non-CTP Vega Double Sums

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • CSR Sec non-CTP Vega Risk Position Double Sums
  • CSR Sec non-CTP Vega Risk Position Correlations (High, Low)

This is an Aggregatable Hierarchy.

N - Tranche(See The Standarised Approach Cube Schema)
N - Basis(See The Standarised Approach Cube Schema)
N - Maturity1(See The Standarised Approach Cube Schema)
N - Maturity2(See The Standarised Approach Cube Schema)

Equity Delta Double Sums

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • Delta Risk Position Double Sums
  • CSR non-Sec Delta Risk Position Correlations (High, Low)

This is an Aggregatable Hierarchy.

N - Issuer(See The Standarised Approach Cube Schema)
N - Type(See The Standarised Approach Cube Schema)

Equity Vega Double Sums

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • Equity Vega Risk Position Double Sums
  • Equity Vega Risk Position Correlations (High, Low)

This is an Aggregatable Hierarchy.

N - Issuer(See The Standarised Approach Cube Schema)
N - Maturity1(See The Standarised Approach Cube Schema)
N - Maturity2(See The Standarised Approach Cube Schema)

FX Delta Double Sums

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • FX Delta Risk Position Double Sums
  • FX Delta Risk Position Correlations (High, Low)

This is an Aggregatable Hierarchy.

N - Ccy(See The Standarised Approach Cube Schema)

FX Vega Double Sums

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • FX Vega Risk Position Double Sums
  • FX Vega Risk Position Correlations (High, Low)

This is an Aggregatable Hierarchy.

N - Ccy(See The Standarised Approach Cube Schema)
N - Maturity1(See The Standarised Approach Cube Schema)
N - Maturity2(See The Standarised Approach Cube Schema)

GIRR Delta Double Sums

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • GIRR Delta Risk Position Double Sums
  • GIRR Delta Risk Position Correlations (High, Low)

This is an Aggregatable Hierarchy.

N - Vertex1(See The Standarised Approach Cube Schema)
N - Vertex2(See The Standarised Approach Cube Schema)
N - Curve(See The Standarised Approach Cube Schema)

GIRR Vega Double Sums

It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures:

  • GIRR Vega Risk Position Double Sums
  • GIRR Vega Risk Position Correlations (High, Low)

This is an Aggregatable Hierarchy.

N - OptionMaturity1(See The Standarised Approach Cube Schema)
N - OptionMaturity2(See The Standarised Approach Cube Schema)
N - UnderlyingMaturity1(See The Standarised Approach Cube Schema)
N - UnderlyingMaturity2(See The Standarised Approach Cube Schema)


ClosedEpoch Dimension

Dimension


Hierarchy

Level('Y' or 'N' indicates whether or not the Level is backed by a Datastore Field)

(Use links to jump to the Page: "The Internal Models Approach Cube Schema")

Epoch

The Default Hierarchy for this Dimension is Epoch.



Epoch

Slicing Hierarchy

Please note that this Hierarchy is a Slicing Hierarchy.

N - What-If: Native Level in ActivePivot (See The Internal Models Approach Cube Schema)

N - Epoch: Native Level in ActivePivot (See The Internal Models Approach Cube Schema)


ClosedLookback Dimension

Dimension


Hierarchy

Level('Y' or 'N' indicates whether or not the Level is backed by a Datastore Field)

(Use links to jump to the Page: "The Internal Models Approach Cube Schema")

Lookback



Lookback

Lookback is an Aggregatable Hierarchy.

N - Lookback (See The Internal Models Approach Cube Schema)


ClosedMarket Data Dimension

Dimension

(Use links to jump to a diagram of the Dimension, showing its Hierarchies and Levels)

Hierarchy

(Use links to jump to a diagram of the Hierarchy, showing its Levels)

Level('Y' or 'N' indicates whether or not the Level is backed by a Datastore Field)

(Use links to jump to the Page: "The Standardised Approach Cube Schema")

Market Data

The Default Hierarchy for this Dimension is Market Types.












Market Types

N - Market Type(See The Standarised Approach Cube Schema)

Additional information on the risk factor such as curve type, basis type, equity type or commodity type
Underlying

N - Underlying(See The Standarised Approach Cube Schema)

Represents the primary component of the risk factor, this could be the name of the curve, the issuer of the equity or the name of the commodity
Equity Market Cap

N - Equity Market Cap(See The Standarised Approach Cube Schema)

Indicates whether the market cap of the equity issuer is large or small
Equity Issuer Economy

N - Equity Issuer Economy(See The Standarised Approach Cube Schema)

If the equity issuer part of an emerging market economy or large economy
Equity Sector

N - Equity Sector(See The Standarised Approach Cube Schema)

Sector of the equity issuer
CSR Quality

N - CSR Quality(See The Standarised Approach Cube Schema)

Quality of the CSR
CSR Sector

N - CSR Sector(See The Standarised Approach Cube Schema)

Sector of the CSR
CSR Tranche

N - CSR Tranche(See The Standarised Approach Cube Schema)

Tranche ID of the CSR
CSR non-Sec Rating Category

N - CSR non-Sec Rating Category(See The Standarised Approach Cube Schema)

Rating category used to determine the bucket
CSR non-Sec Sector Category

N - CSR non-Sec Sector Category(See The Standarised Approach Cube Schema)

Sector category used to determine the bucket
CSR Sec CTP Rating Category

N - CSR Sec CTP Rating Category(See The Standarised Approach Cube Schema)

Rating category used to determine the bucket

CSR Sec CTP Sector Category

N - CSR Sec CTP Sector Category(See The Standarised Approach Cube Schema)
Sector category used to determine the bucket
CSR Sec non-CTP Rating Category

N - CSR Sec non-CTP Rating Category(See The Standarised Approach Cube Schema)

Rating category used to determine the bucket
CSR Sec non-CTP Sector Category

N - CSR Sec non-CTP Sector Category(See The Standarised Approach Cube Schema)

Sector category used to determine the bucket


ClosedOrganization Dimension

Dimension


Hierarchy

Level('Y' or 'N' indicates whether or not the Level is backed by a Datastore Field)

(Use links to jump to the Page: "The Standardised Approach Cube Schema")

Organization

The Default Hierarchy for this Dimension is BookHierarchy.





















BookHierarchy

Organization hierarchy where book is the leaf level.

BookHierarchy is an Aggregatable Hierarchy.

N - Level 1(See The Standarised Approach Cube Schema)

N - Level 2(See The Standarised Approach Cube Schema)

...

...

N - Level 15(See The Standarised Approach Cube Schema)

Legal Entities

Single leveled hierarchy with all the nodes from the LegalEntityHierarchy.

Legal Entities is an Aggregatable Hierarchy.

N - Legal Entity(See The Standarised Approach Cube Schema)

LegalEntityHierarchy

Organization hierarchy where any legal entity node matches the legal entity of a trade.

LegalEntityHierarchy is an Aggregatable Hierarchy.

N - Level 1(See The Standarised Approach Cube Schema)
N - Level 2(See The Standarised Approach Cube Schema)
...
...
N - Level 5(See The Standarised Approach Cube Schema)


ClosedParameter Sets Dimension

Dimension


Hierarchy

Level('Y' or 'N' indicates whether or not the Level is backed by a Datastore Field)

(Use links to jump to the Page: "The Standardised Approach Cube Schema")

Parameter Sets

Parameter Set

Slicing Hierarchy

Please note that this Hierarchy is a Slicing Hierarchy.

 N - Parameter Set(See The Standarised Approach Cube Schema)

The parameter set used in the calculations.


ClosedRisk Dimension

Dimension


Hierarchy

Level('Y' or 'N' indicates whether or not the Level is backed by a Datastore Field)

(Use links to jump to the Page: "The Internal Models Approach Cube Schema")

Risk

The Default Hierarchy for this Dimension is Currencies.






Currencies

Currencies is an Aggregatable Hierarchy.

N - Currency (See The Internal Models Approach Cube Schema)

Data Sets

Data Sets is an Aggregatable Hierarchy.

N - Data Set(See The Internal Models Approach Cube Schema)

Idiosyncratic

Idiosyncratic is an Aggregatable Hierarchy.

N - Idiosyncratic(See The Internal Models Approach Cube Schema)

Liquidity Horizons

Liquidity is an Aggregatable Hierarchy.

N - Liquidity Horizon(See The Internal Models Approach Cube Schema)

Model

Model is an Aggregatable Hierarchy.

N - NMRF(See The Internal Models Approach Cube Schema)

Risk Classes

Risk Classes is an Aggregatable Hierarchy.

N - RiskClass(See The Internal Models Approach Cube Schema)

The specification of the risk class to which the risk belongs. This can be any one of the following:

  • GIRR
  • CSR non-Sec
  • CSR Sec CTP
  • CSR Sec non-CTP
  • Equity
  • Commodity
  • FX

Risk Factors

Risk Factors is an Aggregatable Hierarchy.

N - Risk Factor(See The Internal Models Approach Cube Schema)

Scenarios

Scenarios is an Aggregatable Hierarchy.

N - Scenario(See The Internal Models Approach Cube Schema)

The risk weight used to compute the provided curvature shocks.

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