The FinancialPosition table

The rows in this table correspond to financial positions. These positions should be
at the lowest level of granularity that is desired for reporting. One use of the table is
as an index to the DEAFs, which are stored in the LinearSensitivities table described
in the following subsection. For this purpose, the FinancialPosition table will need
columns such as:
mnemonicDescription A mnemonic identifier for the position.
positionID This is the primary key for the table. It binds this table to the
LinearSensitivities table entries.
A second use of the FinancialPosition table is to support the selection of subportfolios.
For example, it will generally be desirable to support limit setting and reporting for
institutional subunits. For this purpose, one might include columns such as:
book A string used to identify subportfolios within an institution.
counterparty Counterparty institution for the position. For bonds, this will be the
issuer. For exchange-traded instruments, this will be the exchange.
currency The ISO code for currency in which presentValue is denominated, e.g.
‘USD’ or ‘GBP’.
dealStatus An integer flag that describes that execution status of the position.
Typically statuses might include analysis, executed, confirmed, etc.
entity The legal entity within an institution that is party to the position, i.e. the
internal counterpart of counterparty.
instrumentType The type of instrument (e.g. swap, bond option, etc.).
notional The notional value of the position. The currency units are determined by
the contents of the currency column (above).
Third, the FinancialPosition table would likely be used for operational purposes.
Entries for such purpose might include:
linearity An integer flag that describes qualitatively ‘how linear’ the position is. A
simple example is described in Table 6.5. Such information might be useful in
updating the table. The DEAFs for non-linear instruments will change with market
conditions and therefore need to be updated frequently. The DEAFs for linear instruments remain constant between instrument lifecycle events such as resets and
settlements.
lastUpdated Date and time at which the FinancialPosition and LinearSensitivities
table entries for this position were last updated.
presentValue The present value (PV) of the position (as of the last update). The
currency units for presentValue are determined by the contents of the currency
column (above).
source Indicates the source system for the position.
unwindingPeriod An estimate of the unwinding period for the instrument in business
days. (The unwinding period is the number of days it would take to complete
that sale of the instrument after the decision to sell has been made.) A discussion of
the use of this field is given later in this chapter.
validUntil The corresponding entries in the LinearSensitivities table (as of the most
recent update) remain valid on or before this date. This data could be used to support
as-needed processing for LinearSensitivities table updates. An abbreviated example
is shown.