To investigate the impact of moving a trade between the Trading and Banking Books, it is possible to add a Regulatory Book classification to the cubes.
When the property regulatory-book.classification.enabled=true is set, the “Regulatory Book” field is added to the cube and Book description file.
This field can take the values “Trading Book” and “Banking Book”.
Additionally, the “Switch Regulatory Book” what-if simulation is added to allow users to see the impact of switching the regulatory book in a what-if branch.
Regulatory Book Filter
It is also possible to filter SA sensitivities according to which regulatory book and risk-class they belong.
Regulatory Book
Risk Classes
Filter
Trading Book
All
Include
Banking Book
FX and Commodity
Include
Banking Book
GIRR, CSR, Equity, DRC, RRAO
Exclude
To enable this filtering set the property regulatory-book.filter.enabled=true.
Reference Data
The details in this section may be changed in the configuration.
The field “Regulatory Book” is appended to the BookDescription store. It has a default value of “Trading Book”.
Similarly, the field is also appended to the BOOK_DESCRIPTION table used by DirectQuery.
Regulatory Book Hierarchy
The “Regulatory Book” hierarchy is added to the “Booking” dimension. This hierarchy has a single level: “Regulatory Book”.
Regulatory Book Filter Hierarchy
The hidden hierarchy “Regulatory Book Filter” is also added to the “Booking” dimension. This hierarchy has a single level: “Regulatory Book Filter”.
The level takes two values “Y” (include) and “N” (exclude) according to the table above.
It is a slicing hierarchy with the default member “Y”, so only sensitivities included in the above table will be used in the calculations.
Startup Properties
See Startup Properties for details on where the properties can be set to fine-tune the behaviour of this feature.