Standardised Approach Cube Schema

In a Nutshell...

This section defines the FRTB Standardised Approach Cube, and describes its dimensions, hierarchies, and levels.

Booking Dimension

Dimension	Hierarchy	Level *(Use links to jump to the correct table in the Page:* *"The Standardised Approach Datastore Definition")*
Booking	Trades It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measure: DRC non-Sec LGD	TradeId The unique identifier for a trade/position
	Books	Book The book to which the trades have been assigned
	FRTB Model	FRTB Model This specifies if a desk is SA or IMA
	Desks	Desk The name of the desk
	Categories	Category The desk category, which is the grouping for the desk

Organization Dimension

Dimension	Hierarchy	Level (Use links to jump to the correct table in the Page: *"The Standardised Approach Datastore Definition", or the Page: "The Global* *Datastore* *Definition")*
Organization	BookHierarchy Organization hierarchy where book is the leaf level	Level 1
		Level 2
		...
		...
		Level 15
	LegalEntityHierarchy Organization hierarchy where any legal entity node matches the legal entity of a trade	Level 1
		Level 2
		...
		...
		Level 5
	Legal Entities Single leveled hierarchy with all the nodes from the LegalEntityHierarchy	Legal Entity

Risk Dimension

Dimension	Hierarchy	Level (Use links to jump to the correct table in the Page: *"The Standardised Approach Datastore Definition")*
Risk	Risk Classes	RiskClass All of the different risk classes such as GIRR, Equity, etc…
	Risk Measures	Risk Measure The type of the risk measure such as Delta, Vega, Curvature, etc…
	Risk Factors	Risk Factor Different risk factors across all the risk classes
	Vertices	Vertex The vertex which is used to define the maturity
	Maturities	Maturity The underlying maturity used in GIRR Delta
	Residual Risk Add On	Exotic Underlying Indicates whether the trade has an exotic underlying
	Residual Risk Add On	Other Residual Risk Type Different residual risk types such as Gap, Correlation and Behavioural
	Optionality	Delta Optionality If the trade has any optioniality - Will determine if the delta should be subject to curvature exposure
	Curvature Risk Weights	Curvature Risk Weight The risk weight used to compute the provided curvature shocks

Market Data Dimension

Dimension	Hierarchy	Level (Use links to jump to the correct table in the Page: *"The Standardised Approach Datastore Definition")*
Market Data	Market Types	Market Type Additional information on the risk factor such as curve type, basis type, equity type or commodity type
	Underlying	Underlying 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	Equity Market Cap Indicates whether the market cap of the equity issuer is large or small
	Equity Issuer Economy	Equity Issuer Economy If the equity issuer part of an emerging market economy or large economy
	Equity Sector	Equity Sector Sector of the equity issuer
	CSR Quality	CSR Quality Quality of the CSR
	CSR Sector	CSR Sector Sector of the CSR
	CSR Tranche	CSR Tranche Tranche ID of the CSR
	CSR non-Sec Rating Category	CSR non-Sec Rating Category Rating category used to determine the bucket
	CSR non-Sec Sector Category	CSR non-Sec Sector Category Sector category used to determine the bucket
	CSR Sec CTP Rating Category	CSR Sec CTP Rating Category Rating category used to determine the bucket
	CSR Sec CTP Sector Category	CSR Sec CTP Sector Category Sector category used to determine the bucket
	CSR Sec non-CTP Rating Category	CSR Sec non-CTP Rating Category Rating category used to determine the bucket
	CSR Sec non-CTP Sector Category	CSR Sec non-CTP Sector Category Sector category used to determine the bucket

Commodity Attributes Dimension

Dimension	Hierarchy	Level (Use links to jump to the correct table in the Page: *"The Standardised Approach Datastore Definition")*
Dimension	Hierarchy	Level (Use links to jump to the correct table in the Page: *"The Standardised Approach Datastore Definition")*
	Commodity Location	Commodity Location Delivery location of the commodity
	Commodity Time	Commodity Time Delivery time of the commodity
	Commodity Grade	Commodity Grade Grade of the commodity
	Commodity Route	Commodity Route Freight route

Buckets Dimension

Dimension	Hierarchy	Level (Use links to jump to the correct table in the Page: *"The Standardised Approach Datastore Definition")*
Buckets	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 Bucket Ccy of the curve
	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 Bucket Numerical value to represent the bucket of the equity
	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 Bucket 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 Bucket 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 Bucket Numerical value to represent the bucket of the CSR
	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 Bucket Single currency
	FX Original Buckets	FX Original Bucket Original currency of the FX risk factor before conversion
	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 Bucket Numerical value to represent the bucket of the Commodity

Double Sums Dimension

Dimension

Hierarchy

Level

(Use links to jump to the correct table in the Page: "The Standardised Approach Datastore Definition")

Double Sums

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)

Vertex1

Corresponds to the "Vertex_1" field in the "GIRRDeltaDoubleSums" Store

Vertex2

Corresponds to the "Vertex_2" field in the "GIRRDeltaDoubleSums" Store

Curve

Corresponds to the "Curve" field in the "GIRRDeltaDoubleSums" Store

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)

Name

Corresponds to the "CSRName" field in the "CsrNsDeltaDoubleSums" Store

Tenor

Corresponds to the "Tenor" field in the "CsrNsDeltaDoubleSums" Store

Basis

Corresponds to the "Basis" field in the "CsrNsDeltaDoubleSums" Store

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)

Tranche

Corresponds to the "CSRName" field in the "CsrSecCtpDeltaDoubleSums" Store

Tenor

Corresponds to the "Tenor" field in the "CsrSecCtpDeltaDoubleSums" Store

Basis

Corresponds to the "Basis" field in the "CsrSecCtpDeltaDoubleSums" Store

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)

Tranche

Corresponds to the "CSRTranche" field in the "CsrSecNonCtpDeltaDoubleSums" Store

Tenor

Corresponds to the "Tenor" field in the "CsrSecNonCtpDeltaDoubleSums" Store

Basis

Corresponds to the "Basis" field in the "CsrSecNonCtpDeltaDoubleSums" Store

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)

Issuer

Corresponds to the "Issuer" field in the "EquityDeltaDoubleSums" Store

Type

Corresponds to the "Type" field in the "EquityDeltaDoubleSums" Store

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)

Cty

Corresponds to the "Cty" field in the "CommodityDeltaDoubleSums" Store

Tenor

Corresponds to the "Tenor" field in the "CommodityDeltaDoubleSums" Store

Basis

Corresponds to the "Basis" field in the "CommodityDeltaDoubleSums" Store

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)

Ccy

Corresponds to the "Ccy" field in the "FXDeltaDoubleSums" Store

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)

OptionMaturity1

Corresponds to the "OptionMaturity_1" field in the "GIRRVegaDoubleSums" Store

OptionMaturity2

Corresponds to the "OptionMaturity_2" field in the "GIRRVegaDoubleSums" Store

UnderlyingMaturity1

Corresponds to the "UnderlyingMaturity_1" field in the "GIRRVegaDoubleSums" Store

UnderlyingMaturity2

Corresponds to the "UnderlyingMaturity_2" field in the "GIRRVegaDoubleSums" Store

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)

Name

Corresponds to the "CSRName" field in the "CsrNsVegaDoubleSums" Store

Basis

Corresponds to the "Basis" field in the "CsrNsVegaDoubleSums" Store

Maturity1

Corresponds to the "Vertex_1" field in the "CsrNsVegaDoubleSums" Store

Maturity2

Corresponds to the "Vertex_2" field in the "CsrNsVegaDoubleSums" Store

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)

Name

Corresponds to the "CSRName" field in the "CsrSecCtpVegaDoubleSums" Store

Basis

Corresponds to the "Basis" field in the "CsrSecCtpVegaDoubleSums" Store

Maturity1

Corresponds to the "Vertex_1" field in the "CsrSecCtpVegaDoubleSums" Store

Maturity2

Corresponds to the "Vertex_2" field in the "CsrSecCtpVegaDoubleSums" Store

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)

Tranche

Corresponds to the "CSRTranche" field in the "CsrSecNonCtpVegaDoubleSums" Store

Basis

Corresponds to the "Basis" field in the "CsrSecNonCtpVegaDoubleSums" Store

Maturity1

Corresponds to the "Vertex_1" field in the "CsrSecNonCtpVegaDoubleSums" Store

Maturity2

Corresponds to the "Vertex_2" field in the "CsrSecNonCtpVegaDoubleSums" Store

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)

Issuer

Corresponds to the "Issuer" field in the "EquityVegaDoubleSums" Store

Maturity1

Corresponds to the "Vertex_1" field in the "EquityVegaDoubleSums" Store

Maturity2

Corresponds to the "Vertex_2" field in the "EquityVegaDoubleSums" Store

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)

Cty

Corresponds to the "Cty" field in the "CommodityVegaDoubleSums" Store

Maturity1

Corresponds to the "Vertex_1" field in the "CommodityVegaDoubleSums" Store

Maturity2

Corresponds to the "Vertex_2" field in the "CommodityVegaDoubleSums" Store

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)

Ccy

Corresponds to the "Ccy" field in the "FXVegaDoubleSums" Store

Maturity1

Corresponds to the "Vertex_1" field in the "FXVegaDoubleSums" Store

Maturity2

Corresponds to the "Vertex_2" field in the "FXVegaDoubleSums" Store

Currencies Dimension

Dimension	Hierarchy	Level (Use links to jump to the correct table in the Page: *"The Standardised Approach Datastore Definition")*
Currencies	Currency	Ccy Currency of the risk factor
	Delta Currency	Delta Currency Currency of the delta sensitivity
	Vega Currency	Vega Currency Currency of the vega sensitivity
	Scenario Currency	Scenario Currency Currency of the curvature shocks
	PVApplied	PVApplied Indicates whether the PV has been subtracted from the curvature shocks
	Trade PV Currency	Trade PV Currency PV of the trade
	Trade Notional Currency	Trade Notional Currency Currency of the trade notional
	FX Counter Currency	FX Counter Currency Counter currency of the FX risk factors
	DRC Gross JTD Currency	DRC Gross JTD Currency Currency of the DRC Gross JTD supplied

Dates Dimension

Dimension

Hierarchy

Level

(Use links to jump to the correct table in the Page: "The Standardised Approach Datastore Definition")

Dates

Date

Slicing Hierarchy

Please note that this Hierarchy is a Slicing Hierarchy.

AsOfDate

Default Risk Charge Dimension

Dimension	Hierarchy	Level (Use links to jump to the correct table in the Page: *"The Standardised Approach Datastore Definition")*
Default Risk Charge	DRC Maturity	DRC Maturity Maturity used for the DRC JTD scaling
	DRC Obligor	DRC Obligor Obligor for DRC netting
	DRC Seniority	DRC Seniority Seniority for DRC netting
	DRC non-Sec Rating It is necessary to include this Hierarchy (in either a row or a column) in order to display the following Measures: DRC non-Sec JTD Weightings	DRC non-Sec Rating Rating for DRC non-Sec weighting
	DRC non-Sec Bucket	DRC non-Sec Bucket Bucket for the DRC non-Sec obligor
	DRC Direction	DRC Direction Direction of JTD (long or short)
	DRC Instrument LGD Type	DRC Instrument LGD Type LGD type assigned to the instrument
	DRC Sec non-CTP Tranche	DRC Sec non-CTP Tranche Tranche ID for DRC Sec non-CTP
	DRC Sec non-CTP Attachment	DRC Sec non-CTP Attachment Attachment point of the tranche for DRC Sec non-CTP
	DRC Sec non-CTP Detachment	DRC Sec non-CTP Detachment Detachment point of the tranche for DRC Sec non-CTP
	DRC Sec non-CTP Rating	DRC Sec non-CTP Rating Rating for the DRC Sec non-CTP rating
	DRC Sec non-CTP Bucket	DRC Sec non-CTP Bucket Bucket for the DRC Sec non-CTP bucket

Parameter Sets Dimension

Dimension

Hierarchy

Level

(Use links to jump to the correct table in the Page: "The Standardised Approach Datastore Definition")

Parameter Sets

Parameter Set

Slicing Hierarchy

Please note that this Hierarchy is a Slicing Hierarchy.

Parameter Set

Parameter set used in the calculations - Slicing hierarchy