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RISK_FACTOR_DESCRIPTION

The RISK_FACTOR_DESCRIPTION table contains the description of risk-factor, independent of the underlying.

The fields used in this table and the purpose depend on the risk-class and risk-measure. See the Implementation and Interpretation Guide for details on each risk-class.

Column Name	Type	Not Null	Cube Field	Description
AS_OF_DATE	DATE	Y	See field in joined table (SASENSITIVITIES)	Timestamp (at close of business) for the data.
RISK_FACTOR	STRING	Y	See field in joined table (SASENSITIVITIES)	The name of the risk factor.
RISK_CLASS	STRING	Y	See field in joined table (SASENSITIVITIES)	The risk-class (“GIRR”, “CSR non-Sec”, “CSR Sec non-CTP”, “CSR Sec CTP”, “Equity”, “Commodity”, “FX”, “DRC non-Sec”, “DRC Sec non-CTP”, “RRAO”)
RISK_MEASURE	STRING	Y	See field in joined table (SASENSITIVITIES)	The risk-measure (“Delta”, “Vega”, “Curvature”, “DRC”, “RRAO”)
UNDERLYING	STRING	Y	[Market Data].[Underlying]	The primary component of the risk factor. See datastore references below.
RISK_FACTOR_TYPE	STRING		[Risk].[Risk Factor Types]	The type of the risk-factor CSR Delta: “Bond” or “CDS” Equity Delta: “Spot” or “Repo”
COMMODITY_LOCATION	STRING		[Risk].[Commodity Location]	Commodity only. Commodity delivery location
UNDERLYING_FXRISK_CCY	STRING		[Risk].[FX Counter Currency]	FX only. The counter currency of the risk-factor currency pair.
SENIORITY	STRING		[Default Risk Charge].[DRC Seniority]	Seniority of the exposure
MATURITY	STRING		[Risk].[Original Maturity]	The tenor or maturity (e.g. “1D”, “2W”, “12M”, “1Y”, or date “YYYY-MM-DD”).
UNDERLYING_MATURITY	STRING		[Risk].[Original Underlying Maturity]	GIRR Vega only. Underlying residual maturity.
ZERO_RISK_WEIGHT	STRING		[Default Risk Charge].[DRC Zero Risk Weight]	Flag, ‘Y’ or ‘N’, indicating if the exposure qualifies for a zero risk-weight (default = N).

Unique Key

Columns
AS_OF_DATE
RISK_FACTOR
RISK_CLASS
RISK_MEASURE

Incoming Joins

Source Table	Source Columns	Target Columns
SASENSITIVITIES	RISK_FACTOR RISK_CLASS RISK_MEASURE AS_OF_DATE	RISK_FACTOR RISK_CLASS RISK_MEASURE AS_OF_DATE

Outgoing Joins

Target Table	Source Columns	Target Columns	Risk Class
UNDERLYING_DESCRIPTION	AS_OF_DATE UNDERLYING RISK_CLASS	AS_OF_DATE UNDERLYING RISK_CLASS	“GIRR”, “CSR non-Sec”, “CSR Sec non-CTP”, “CSR Sec CTP”, “Equity”, “Commodity”, “FX”
OBLIGOR	AS_OF_DATE UNDERLYING RISK_CLASS	AS_OF_DATE OBLIGOR RISK_CLASS	“DRC non-Sec”
TRANCHE	AS_OF_DATE UNDERLYING RISK_CLASS	AS_OF_DATE TRANCHE RISK_CLASS	“DRC Sec non-CTP”
SECURITY	AS_OF_DATE UNDERLYING RISK_CLASS	AS_OF_DATE SECURITY RISK_CLASS	“DRC Sec CTP”
RRAO	AS_OF_DATE UNDERLYING RISK_CLASS	AS_OF_DATE RRAOCATEGORY RISK_CLASS	“RRAO”
SENIORITY_DESCRIPTION	AS_OF_DATE SENIORITY	AS_OF_DATE SENIORITY	“DRC non-Sec”