The RISK_FACTOR_DESCRIPTION table contains the description of risk-factor, independent of the underlying. The fields used in this table and the purpose depend on the risk-class and risk-measure. See the Implementation and Interpretation Guide for details on each risk-class.Documentation Index
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| 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. |
| RISK_FACTOR | STRING | Y | See field in joined table (SASENSITIVITIES) | The name of the risk factor. |
| RISK_CLASS | STRING | Y | See field in joined table (SASENSITIVITIES) | The risk-class (“GIRR”, “CSR non-Sec”, “CSR Sec non-CTP”, “CSR Sec CTP”, “Equity”, “Commodity”, “FX”, “DRC non-Sec”, “DRC Sec non-CTP”, “RRAO”) |
| RISK_MEASURE | STRING | Y | See field in joined table (SASENSITIVITIES) | The risk-measure (“Delta”, “Vega”, “Curvature”, “DRC”, “RRAO”) |
| UNDERLYING | STRING | Y | Underlying | The primary component of the risk factor. See datastore references below. |
| RISK_FACTOR_TYPE | STRING | Risk Factor Types | The type of the risk-factor CSR Delta: “Bond” or “CDS” Equity Delta: “Spot” or “Repo” | |
| COMMODITY_LOCATION | STRING | Commodity Location | Commodity only. Commodity delivery location | |
| UNDERLYING_FXRISK_CCY | STRING | FX Counter Currency | FX only. The counter currency of the risk-factor currency pair. | |
| SENIORITY | STRING | DRC Seniority | Seniority of the exposure | |
| MATURITY | STRING | Original Maturity | The tenor or maturity (e.g. “1D”, “2W”, “12M”, “1Y”, or date “YYYY-MM-DD”). | |
| UNDERLYING_MATURITY | STRING | Original Underlying Maturity | GIRR Vega only. Underlying residual maturity. | |
| ZERO_RISK_WEIGHT | STRING | DRC Zero Risk Weight | Flag, ‘Y’ or ‘N’, indicating if the exposure qualifies for a zero risk-weight (default = N). |
Unique Key
| Columns |
|---|
| AS_OF_DATE |
| RISK_FACTOR |
| RISK_CLASS |
| RISK_MEASURE |
Incoming Joins
| Source Table | Source Columns | Target Columns |
|---|---|---|
| SASENSITIVITIES | RISK_FACTOR RISK_CLASS RISK_MEASURE AS_OF_DATE | RISK_FACTOR RISK_CLASS RISK_MEASURE AS_OF_DATE |
Outgoing Joins
| Target Table | Source Columns | Target Columns | Risk Class |
|---|---|---|---|
| UNDERLYING_DESCRIPTION | AS_OF_DATE UNDERLYING RISK_CLASS | AS_OF_DATE UNDERLYING RISK_CLASS | “GIRR”, “CSR non-Sec”, “CSR Sec non-CTP”, “CSR Sec CTP”, “Equity”, “Commodity”, “FX” |
| OBLIGOR | AS_OF_DATE UNDERLYING RISK_CLASS | AS_OF_DATE OBLIGOR RISK_CLASS | “DRC non-Sec” |
| TRANCHE | AS_OF_DATE UNDERLYING RISK_CLASS | AS_OF_DATE TRANCHE RISK_CLASS | “DRC Sec non-CTP” |
| SECURITY | AS_OF_DATE UNDERLYING RISK_CLASS | AS_OF_DATE SECURITY RISK_CLASS | “DRC Sec CTP” |
| RRAO | AS_OF_DATE UNDERLYING RISK_CLASS | AS_OF_DATE RRAOCATEGORY RISK_CLASS | “RRAO” |