For information on Risk Factor construction, see Vectorization.
| Store Field | Key | CanBeNull | Type | Cube Field | Description |
|---|---|---|---|---|---|
| Risk Factor | Y | String | See field in referencing store (SaSensitivities) | The name of the risk factor | |
| RiskClass | Y | String | See field in referencing store (SaSensitivities) | The risk-class (“GIRR”, “CSR non-Sec”, “CSR Sec non-CTP”, “CSR Sec CTP”, “Equity”, “Commodity”, “FX”, “Crypto 2a”, “DRC non-Sec”, “DRC Sec non-CTP”, “RRAO”) | |
| Risk Measure | Y | String | See field in referencing store (SaSensitivities) | The risk-measure (“Delta”, “Vega”, “Curvature”, “DRC”, “RRAO”) | |
| Underlying | Y | String | Underlying | The primary component of the risk factor. See datastore references below. | |
| Risk Factor Type | Y | String | Risk Factor Types | The type of the risk-factor CSR Delta: “Bond” or “CDS” Equity Delta: “Spot” or “Repo” | |
| CommodityLocation | Y | String | Commodity Location | Commodity only. Commodity delivery location | |
| UnderlyingFXRiskCcy | Y | String | FX Counter Currency | FX only. The counter currency of the risk-factor currency pair. | |
| Seniority | String | DRC Seniority | Seniority of the exposure (matches values in the seniority description file). | ||
| Maturity | Y | Object | DRC Maturity | The maturity of the trade (e.g. “1D”, “2W”, “12M”, “1Y”, or date “YYYY-MM-DD”). | |
| UnderlyingMaturity | Y | Object | [Risk].[UnderlyingMaturity] Hidden hierarchy used for interpolation | ||
| Zero Risk Weight | Y/N | DRC Zero Risk Weight | Since 3.1.1 Flag indicating if the exposure qualifies for a zero risk-weight (default = N) | ||
| AsOfDate | Y | LOCALDATE[yyyy-mm-dd] | See field in referencing store (SaSensitivities) | Timestamp (at close of business) for the data. |
| Risk Class | Fields Used in Reference | Underlying Store |
|---|---|---|
| GIRR, CSR non-Sec, CSR Sec non-CTP, CSR Sec CTP, Equity, Commodity, FX, Crypto 2a | Underlying, RiskClass, and AsOfDate | UnderlyingDescription |
| DRC non-Sec | Underlying, RiskClass, and AsOfDate | Obligor |
| DRC Sec non-CTP | Underlying, RiskClass, and AsOfDate | Tranche |
| RRAO | Underlying, RiskClass, and AsOfDate | RRAO |