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.Documentation Index
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| 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 |