SaSensitivities - Atoti Hub

The SaSensitivities store is the base store in the SA Cube Schema and holds all the sensitivities. Each row in this table represents a fact in the SA Cube.

Store Field	Key	Type	Cube Field	Risk Measure	Description
TradeId	Y	String	TradeId		Unique Trade (or Position) ID
TradeKey	Y		String	This field is for internal usage only	Contains the `tradeID` for full data or `Book#LegalEntity` for summary data
Underlying	Y	String	String	Underlying	The primary component of the risk factor. See datastore references below.
Risk Factor	Y	String	RiskFactor		Risk-factor identifier (unique per risk-class and risk-measure).
RiskClass	Y	String	RiskClass		”Commodity”, “CSR non-Sec”, “CSR Sec non-CTP”, “CSR Sec CTP”, “Equity”, “FX”, “GIRR”, “Crypto 2a”, “DRC non-Sec”, “DRC Sec non-CTP”, “RRAO”
Risk Measure	Y	String	Measure		”Delta”, “Vega”, “Curvature”, “RRAO”, “DRC”
Ccy		String	Currency		Currency used in the Sensitivity, Shift_Up_PV, Shift_Down_PV, PresentValue, Notional, GrossJTD, and Adjustment fields.
Sensitivity		Double	A measure in the cube	Delta and Vega	The sensitivity
PresentValue		Double	PV DRC (This field is a measure)	Curvature and DRC	The unshifted PV for Curvature, or the bond-equivalent market value for DRC
Notional		Double	Notional (This field 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.
GrossJTD		Double	DRC non-Sec Gross JTD (This field is a measure)	DRC	(optional) Gross JTD value (alternative to calculating it from the market value and notional).
Adjustment		Double	DRC Adjustment (measure)	DRC	The adjustment added to the Gross JTD (when `sa.drc.adjustment.apply=true`)
FXComplexTrade		String(“Y”)		Delta	FX Only.
FXOtherCcy		String		Delta	FX Only.
FXDividerEligibility		String(“N”)		Curvature	FX Only.
Optionality		String(“N”)	Delta Optionality	Delta	Indicates whether the instrument has optionality (See BCBS 457 MAR21.2). _ 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).
RiskWeight		Double	Curvature Risk Weight	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.
PVApplied		String(“N”)	PVApplied	Curvature	Boolean ‘Y’ or ‘N’ to indicate if PV has been removed from sensitivities or not. Default value = ‘N’
PVLadder		String		Curvature	The cube leaf level (along with the RiskFactor and AsOfDate) to use when interpolating shocked PV ladders.
Instrument LGD Type		String	[DRC Instrument LGD Type]	DRC	Instrument type for LGD (BCBS 457, MAR22.12) equity, junior debt, senior debt, covered bond
Direction		String	[DRC Direction]	DRC	‘long’ or ‘short’.
Instrument Type		String	[DRC non-Sec Instrument Type]	DRC	DRC non-Sec only. Reported Instrument Type (“Derivative” or “Non-Derivative”)
GrossJtdOverridden		String(“N”)		DRC	Flag to indicate whether or not to use provided GrossJTD value (“Y”), or (“N”) to calculate it from the market value and notional.
Translation Risk Ccy		String		Delta	FX only. Indicates the sensitivity represents translation risk; set to the reporting currency.
FXOriginalDividerEligibility		String(“N”)		Delta	FX Only.
OriginalOptionality		String(“N”)		Delta	FX Only.
AsOfDate	Y	LOCALDATE[yyyy-mm-dd]	AsOfDate		Timestamp (at close of business) for the data.

References:

Fields Used in Reference	Underlying Store
Risk Factor, RiskClass, Risk Measure, Underlying, and AsOfDate	RiskFactorDescription
TradeId and AsOfDate	SATradeDescription
TradeId and AsOfDate	TradeMapping