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