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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 |
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 |
DRC Sec CTP Bucket |
Obligor or Index the underlying relies on (see BCBS 457, MRA22.40) |
| SENIORITY |
STRING |
|
DRC Sec CTP Seniority |
“Senior” or “Junior”. |
| RATING |
STRING |
|
DRC Sec CTP Rating |
From AAA to Default. |
| TYPE |
STRING |
|
DRC Sec CTP Rating Type |
Rating type : STC or empty for non-STC. |
| ATTACHMENT |
DOUBLE |
|
DRC Sec CTP Attachment |
The start of the tranche or empty if non-tranched product. |
| DETACHMENT |
DOUBLE |
|
DRC Sec CTP Detachment |
The end of the tranche or empty if non-tranched product. |
| INSTRUMENT_TYPE |
STRING |
|
DRC Sec CTP Instrument Type |
Tranche or non-tranched, depending on the Attachment 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 |