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Curvature

Store Field	Key	Type (+Default Value - if applicable)	Cube Field	Description
TradeId	Y	String	See field in referencing store (TradeBase)	(e.g. “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc.) – if coming from multiple systems may need to prepend source system to the id for uniqueness.
RiskFactor	Y	String	See field in referencing store (TradeBase)	The underlying risk factor (may be more than one) of the risk class. It is expected that the risk factor name encompasses the definition of the risk factor per the FRTB specification ([MAR21.3] to [MAR21.14]). This field is optional. If not provided, it must be generated from the ‘Underlying’ column.
RiskClass	Y	String	See field in referencing store (TradeBase)	Defines which risk class this file represents. Valid values are expected to be: GIRR CSR non-Sec CSR Sec CTP CSR Sec non-CTP Equity Commodity FX .
RiskMeasure	Y	String	See field in referencing store (TradeBase)
ShiftUpPV		Double[]	This is a measure	Valuation resulting from parallel shocks up.
ShiftDownPV		Double[]	This is a measure	Valuation resulting from parallel shocks down.
Ccy		String	Scenario Currency	The currency code of sensitivities
RiskWeight		Double	Curvature Risk Weight	Optional field to allow clients to send the risk weight to apply for curvature. If the field is null, the default value (most severe Delta weight) should be applied.
PVApplied		String	PVApplied	Boolean ‘Y’ or ‘N’ to indicate if PV has been removed from sensitivities or not. Default value = ‘N’
AsOfDate	Y	LOCALDATE[yyyy-mm-dd]	See field in referencing store (TradeBase)	Timestamp (at close of business) for the data.