Securities Marketability model London.mdb
• This database is intended for the general pre-processing of static data from external sources and the running of models that are to be applied across the complete db Securities dataset.
• Models that are more specific to RLCs inventories are run in separate databases (e.g. CBC database v2 Hybrid data.mdb).
• This document describes the individual queries & modules in the database under the following headings:
o Screen view (Query Design)
o Tables used
o Query Design – code
• The input table sources will described separately (with samples provided) in a separate document
• The database inputs are updated frequently, and the models are changed from time to time, according to the needs to the department
o Clive Parfitt email@example.com
o Robert Tanase RobertIulian.Tanase@unicredit.it
1 0 GMR categories query (MT: GMR categories table)
• The purpose of this query is to allocate a Category value to each ISIN in the db Securities table (and thus to any ISIN found in a CBC table), generally following ECB categorisation rules (xxxx). The categorisation allows for differing analytical, haircut treatments etc in other models.
• This is the first 0 stage query to be run in “1 Eligibility & haircuts” macro.
1 Screen view:
2 Tables used:
db Securities db Securities
db Securities AMT O/S EUR Eqv Module 1 VBA
Govt Guar Tickers GMR static data tables.xls
GMR categories mapping table GMR static data tables.xls
3 Query Design - code:
Field Table, or query text:
ISIN db Securities
DEFAULTED db Securities
GMR Category detail: IIf([db Securities]![DEFAULTED]="Y",12,IIf([GMR categories mapping table]![Category detail]=3.2 And [db Securities AMT O/S EUR Eqv]![AMT O/S EUR Eqv]>=1000000000 And [db Securities]![FMS Score] Between 1 And 4,2.2,IIf([db...