FRTB Accelerator Cubes GuideSBM_Curvature_Sensitivities*.csv
The Curvature Sensitivity Data is loaded into the SBM_Curvature_Sensitivities*.csv files using the following fields:
| Data Model Field | File Column | Notes |
|---|---|---|
| As-Of Date | AsOfDate | |
| Trade ID | TradeID | |
| Risk Class | RiskClass | “CSR Sec non-CTP” |
| Risk Factor Name | RiskFactor | (Optional) If not present, generated during ETL. |
| Shock Up | Shift_Up_PV | |
| Shock Down | Shift_Down_PV | |
| Sensitivity Currency | CurvatureCcy | |
| Risk Weight | RiskWeight | (Optional) |
| PV Applied | PV Applied | Has the Trade PV already been subtracted from the shocked PVs (‘Y’) or not (‘N’)? |
| Tranche Name | Underlying | |
| Credit Quality | CSRQuality | |
| Sector | CSRSector |