Standardised Approach Database Definition

The SA Cube Schema starts with the TRADE_BASE table, which is an index to all the facts in the SA Cube.

Trade Description

The TRADE_MAPPING table places each trade in the organizational hierarchy. See Global section for more details.

The SA_TRADE_DESCRIPTION table provides trade-level data.

Risk Factor Descriptions

The TRADE_BASE table references the risk-factor descriptions for all SA facts.

The risk-factor description starts with the RISK_FACTOR_DESCRIPTION table, which contains the description of risk-factor (independent of the underlying).

The RISK_FACTOR_DESCRIPTION contains references to the follow tables:

Risk Class	Underlying Store
GIRR, CSR non-Sec, CSR Sec non-CTP, CSR Sec CTP, Equity, Commodity, FX	UNDERLYING_DESCRIPTION
DRC non-Sec	OBLIGOR
DRC Sec non-CTP	TRANCHE
RRAO	RRAO

Sensitivities

The TRADE_BASE store references trade-level sensitivities stores for all SA facts (except RRAO).

RISK_MEASURE	Sensitivity Store
Delta	DELTA
Vega	VEGA
Curvature	CURVATURE
DRC	DRC_BASE