SECURITY
The SECURITY table
| 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. | |
| SECURITY | STRING | Y | [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). |
| RISK_CLASS | STRING | Y | Always “DRC Sec CTP” | |
| BUCKET | STRING | Y | [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. | |
| RISK_WEIGHT | DOUBLE | Optional risk-weight, to override value. |
Unique Key
| Columns |
|---|
| AS_OF_DATE |
| SECURITY |
| RISK_CLASS |
Incoming Joins
| Source Table | Source Columns | Target Columns |
|---|---|---|
| RISK_FACTOR_DESCRIPTION | AS_OF_DATE UNDERLYING RISK_CLASS |
AS_OF_DATE SECURITY RISK_CLASS |