Navigation : Cube reference FRTB Input File Formats Datastores - - Global Datastore Definition - Internal Models Approach Datastore Definition - Parameter Set Datastore Definition - Standardised Approach Datastore Definition -- CommodityBuckets -- CSRBucketDesc -- CSRNonSecBucket -- CSRSecCTPBucket -- CSRSecNonCTPBucket -- Curvature -- Delta -- DRCBase -- DrcSecNonCtpBuckets -- EquityBuckets -- FXBuckets -- GIRRBuckets -- Obligor -- RiskFactorDescription -- SATradeDescription -- TradeBase -- Tranche -- UnderlyingDescription -- Vega FRTB Accelerator Interpretation and Implementation of BCBS 457 Tranche Store Field Key CanBeNull Type Cube Field Description Tranche Y String [Default Risk Charge].[DRC Sec non-CTP Tranche] ID of the Tranche. Rating String [Default Risk Charge].[DRC Sec non-CTP Rating] Region String (This is an internal field) Asset Class String (This is an internal field) Attachment Double [Default Risk Charge].[DRC Sec non-CTP Attachment] Attachment point (Decimal values are expected). Detachment Double [Default Risk Charge].[DRC Sec non-CTP Detachment] Detachment point (Decimal values are expected). AsOfDate Y Date[yyyy-mm-dd] N - See field in referencing store (TradeBase) Timestamp (at close of business) for the data. TradeBase UnderlyingDescription
FRTB Accelerator Cubes Guide