RiskFactorDescription

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.

Store Field

Key

CanBeNull

Type

Cube Field

Description

Risk Factor

String

See field in referencing store (SaSensitivities)

The name of the risk factor

RiskClass

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

String

See field in referencing store (SaSensitivities)

The risk-measure (“Delta”, “Vega”, “Curvature”, “DRC”, “RRAO”)

Underlying

String

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”

CommodityLocation

String

Commodity Location

Commodity only.
Commodity delivery location

UnderlyingFXRiskCcy

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

Object

DRC Maturity

The maturity of the trade (e.g. “1D”, “2W”, “12M”, “1Y”, or date “YYYY-MM-DD”).

UnderlyingMaturity

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

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

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