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])
|
|
| 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 |