SaSensitivities

The SaSensitivities store is the base store in the SA Cube Schema and holds all the sensitivities. Each row in this table represents a fact in the SA Cube.

Store Field Key Type Cube Field Risk Measure Description
TradeId Y String TradeId Unique Trade (or Position) ID
TradeKey Y String This field is for internal usage only Contains the tradeID for full data or Book#LegalEntity for summary data
Underlying Y String String Underlying The primary component of the risk factor. See datastore references below.
Risk Factor Y String RiskFactor Risk-factor identifier (unique per risk-class and risk-measure).
RiskClass Y String RiskClass “Commodity”, “CSR non-Sec”, “CSR Sec non-CTP”, “CSR Sec CTP”, “Equity”, “FX”, “GIRR”, “DRC non-Sec”, “DRC Sec non-CTP”, “RRAO”
Risk Measure Y String Measure “Delta”, “Vega”, “Curvature”, “RRAO”, “DRC”
Ccy String Currency Currency used in the Sensitivity, Shift_Up_PV, Shift_Down_PV, PresentValue, Notional, GrossJTD, and Adjustment fields.
Sensitivity Double A measure in the cube Delta and Vega The sensitivity
PresentValue Double PV DRC (This field is a measure) Curvature and DRC The unshifted PV for Curvature, or the bond-equivalent market value for DRC
Notional Double Notional (This field is a measure) DRC The bond-equivalent notional for DRC
Shift_Up_PV Double This is a measure Curvature PV resulting from parallel shocks up.
Shift_Down_PV Double This is a measure Curvature PV resulting from parallel shocks down.
GrossJTD Double DRC non-Sec Gross JTD (This field is a measure) DRC (optional) Gross JTD value (alternative to calculating it from the market value and notional).
Adjustment Double DRC Adjustment (measure) DRC The adjustment added to the Gross JTD (when sa.drc.adjustment.apply=true)
FXComplexTrade String(“Y”) Delta FX Only.
FXOtherCcy String Delta FX Only.
FXDividerEligibility String(“N”) Curvature FX Only.
Optionality String(“N”) Delta Optionality Delta Indicates whether the instrument has optionality (See BCBS 457 [MAR21.2]).
_ Set to ‘Y’ for instruments with optionality (and hence with Vega and Curvature risk)
_ Set to ‘N’ for trades without optionality (with no Vega and Curvature risk).
RiskWeight Double Curvature Risk Weight Curvature Optional field to allow clients to send the risk weight to apply for curvature. If the field is null, the default value (most severe Delta weight) should be applied.
PVApplied String(“N”) PVApplied Curvature Boolean ‘Y’ or ‘N’ to indicate if PV has been removed from sensitivities or not. Default value = ‘N’
PVLadder String Curvature The cube leaf level (along with the RiskFactor and AsOfDate) to use when interpolating shocked PV ladders.
Instrument LGD Type String [DRC Instrument LGD Type] DRC Instrument type for LGD (BCBS 457, [MAR22.12])
  • equity
  • junior debt
  • senior debt
  • covered bond
Direction String [DRC Direction] DRC ‘long’ or ‘short’.
Instrument Type String [DRC non-Sec Instrument Type] DRC DRC non-Sec only. Reported Instrument Type (“Derivative” or “Non-Derivative”)
GrossJtdOverridden String(“N”) DRC Flag to indicate whether or not to use provided GrossJTD value (“Y”), or (“N”) to calculate it from the market value and notional.
FXOriginalDividerEligibility String(“N”) Delta FX Only.
OriginalOptionality String(“N”) Delta FX Only.
AsOfDate Y LOCALDATE[yyyy-mm-dd] AsOfDate Timestamp (at close of business) for the data.

References:

Fields Used in Reference Underlying Store
Risk Factor, RiskClass, Risk Measure, Underlying, and AsOfDate RiskFactorDescription
TradeId and AsOfDate SATradeDescription
TradeId and AsOfDate TradeMapping