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SASENSITIVITIES

The SASENSITIVITIES table is the base in the SA Cube star schema and holds all the sensitivities. Each row in this table represents a fact in the SA Cube.

Column Name Type Not Null Cube Field Risk Measure Description
AS_OF_DATE DATE Y [Dates].[AsOfDate] Timestamp (at close of business) for the data.
TRADE_KEY STRING Y This field is for internal usage only Contains the tradeID for full data or Book#LegalEntity for summary data
UNDERLYING STRING Y [Market Data].[Underlying] The primary component of the risk factor. See datastore references below.
TRADE_ID STRING Y [Booking].[TradeId] Unique Trade (or Position) ID
RISK_FACTOR STRING Y [Risk].[RiskFactor] Risk-factor identifier (unique per risk-class and risk-measure).
RISK_CLASS STRING Y [Risk].[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 STRING Y [Risk].[Measure] “Delta”, “Vega”, “Curvature”, “RRAO”, “DRC”
CCY STRING Y Currency Currency used in the Sensitivity, ShiftUpPV, ShiftDownPV, PresentValue, Notional, GrossJTD, and Adjustment fields.
SENSITIVITY DOUBLE This is a measure Delta and Vega The sensitivity.
PRESENT_VALUE DOUBLE This is a measure Curvature and DRC The unshifted PV for Curvature, or the bond-equivalent market value for DRC.
NOTIONAL DOUBLE This 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.
GROSS_JTD DOUBLE This is a measure DRC (optional) Gross JTD value (alternative to calculating it from the market value and notional).
ADJUSTMENT DOUBLE This is a measure DRC The adjustment added to the Gross JTD (when sa.drc.adjustment.apply=true)
FXCOMPLEX_TRADE STRING Delta FX Only. Boolean ‘Y’ or ‘N’ to indicate if the sensitivity can be converted from one reporting currency to another.
FXOTHER_CCY STRING Delta FX Only.
FX_DIVIDER_ELIGIBILITY STRING Curvature FX Only. Boolean ‘Y’ or ‘N’ to indicate if the CVR qualifies for dividing by 1.5.
OPTIONALITY STRING Delta Optionality Delta Indicates whether the instrument has optionality (See BCBS 457 [MAR21.2]). It is 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).
RISK_WEIGHT DOUBLE 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.
PV_APPLIED STRING Curvature Boolean ‘Y’ or ‘N’ to indicate if PV has been removed from sensitivities or not.
PV_LADDER STRING Present Value Ladder Curvature The cube leaf level (along with the RiskFactor and AsOfDate) to use when interpolating shocked PV ladders.
INSTRUMENT_LGD_TYPE STRING [Default Risk Charge].[DRC Instrument LGD Type] DRC Instrument type for LGD (BCBS 457, [MAR22.12])
  • equity
  • junior debt
  • senior debt
  • covered bond
DIRECTION STRING [Default Risk Charge].[DRC Direction] DRC ‘long’ or ‘short’.
INSTRUMENT_TYPE STRING [DRC non-Sec Instrument Type] DRC Reported Instrument Type (“Equity” or “Debt”).
GROSS_JTD_OVERRIDDEN STRING DRC
FXORIGINAL_DIVIDER_ELIGIBILITY STRING Delta FX Only. Boolean ‘Y’ or ‘N’ to indicate if the CVR qualifies for dividing by 1.5.
ORIGINAL_OPTIONALITY STRING Delta Set to same value as OPTIONALITY

Unique Key

Columns
AS_OF_DATE
TRADE_ID
TRADE_KEY
UNDERLYING
RISK_FACTOR
RISK_CLASS
RISK_MEASURE

Outgoing Joins

Target Table Source Columns Target Columns
SA_TRADE_DESCRIPTION AS_OF_DATE
TRADE_ID		 AS_OF_DATE
TRADE_ID
RISK_FACTOR_DESCRIPTION AS_OF_DATE
RISK_FACTOR
RISK_CLASS
RISK_MEASURE		 AS_OF_DATE
RISK_FACTOR
RISK_CLASS
RISK_MEASURE