| Data Model Field | Cube Level | Notes |
|---|---|---|
| As-Of Date | AsOfDate | Slicing Hierarchy |
| Trade ID | TradeId | |
| Risk Class | Risk Class | ”CSR Sec non-CTP” |
| Risk Measure | Risk Measure | ”Delta”, “Vega”, “Curvature” |
| Bucket | CSR Sec non-CTP Bucket | |
| Risk Factor Name | Risk Factor | |
| Sensitivity Tenor / Option Maturity | Vertex | Analysis Hierarchy |
| Tranche Name | Underlying | |
| Curve Type | Risk Factor Type | |
| Credit Quality | CSR Quality | |
| Sector | CSR Sector | |
| Credit Quality Category | CSR Sec non-CTP Rating Category | |
| Sector Category | CSR Sec non-CTP Sector Category | |
| Pool | CSR Sec non-CTP Pool | |
| Attachment | CSR Sec non-CTP Attachment | |
| Detachment | CSR Sec non-CTP Detachment | |
| Levels for the Delta Double Sums and Correlations | ||
| 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 Sec non-CTP data model.