| Data Model Field | Cube Level/Hierarchy | Notes |
|---|---|---|
| As-Of Date | AsOfDate | Slicing Hierarchy |
| Trade ID | TradeId | |
| Risk Class | Risk Class | ”CSR non-Sec” |
| Risk Measure | Risk Measure | ”Delta”, “Vega”, “Curvature” |
| Bucket | CSR non-Sec Bucket | |
| Risk Factor Name | Risk Factor | |
| Sensitivity Tenor / Option Maturity | Vertex | Analysis Hierarchy |
| Curve Name | Underlying | |
| Curve Type | Risk Factor Type | |
| Credit Quality | CSR Quality | |
| Sector | CSR Sector | |
| Covered Bond Rating | CSR Rating | |
| CSR non-Sec Delta Double Sums | Levels for the Delta Double Sums and Correlations | |
| CSR non-Sec Vega Double Sums | Levels for the Vega Double Sums and Correlations |
Cube schema (reference implementation)
The following table lists the levels and hierarchies in the Cube schema that are used in the CSR non-Sec data model.