SASENSITIVITIES - Atoti Hub

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, Shift_Up_PV, Shift_Down_PV, 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 (“Derivative” or “Non-Derivative”).
GROSS_JTD_OVERRIDDEN	STRING			DRC
TRANSLATION_RISK_CCY	STRING			Delta	FX only. Indicates the sensitivity represents translation risk; set to the reporting currency.
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

​Unique Key

​Outgoing Joins

Unique Key

Outgoing Joins