Security
The Security store
| Store Field | Key | CanBeNull | Type | Cube Field | Description |
|---|---|---|---|---|---|
| Security | Y | String | [Default Risk Charge].[DRC Sec CTP Security] | The underlying product of the trade that could be an obligor or a fully qualified tranche (with the series, attachment and detachment) | |
| RiskClass | Y | String | Always “DRC Sec CTP” | ||
| Bucket | String | [Default Risk Charge].[DRC Sec CTP Bucket] | Obligor or Index the underlying relies on (see BCBS 457, MRA22.40) | ||
| Seniority | String | [Default Risk Charge].[DRC Sec CTP Seniority] | “Senior” or “Junior” | ||
| Rating | String | [Default Risk Charge].[DRC Sec CTP Rating] | From AAA to Default | ||
| Type | String | [Default Risk Charge].[DRC Sec CTP Rating Type] | Rating type : STC or empty for non-STC | ||
| Attachment | Double | [Default Risk Charge].[DRC Sec CTP Attachment] | The start of the tranche or empty if non-tranched product | ||
| Detachment | Double | [Default Risk Charge].[DRC Sec CTP Detachment] | The end of the tranche or empty if non-tranched product | ||
| Instrument Type | String | [Default Risk Charge].[DRC Sec CTP Instrument Type] | Tranche or Non-tranched, depending on the Attachement and Detachment fields | ||
| RiskWeight | Double | Optional risk-weight, to override value | |||
| AsOfDate | Y | Date[yyyy-mm-dd] | See field in referencing store (TradeBase) Timestamp (at close of business) for the data. |