This file provides the overrides for SBM Underlying Descriptions.
This Underlying Description Overrides file type is identified using the pattern: **/Underlying_Desc_Overrides*.csv (as specified by underlying-desc.overrides.file-pattern).
This file is loaded using the UnderlyingDescriptionOverrides topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
Field
Key
Null
FieldType
Description
Example
Underlying
Y
N
String
The name of the underlying to override.
Matches the “Underlying” column in the Delta, Vega, and Curvature files.
Bucket number.
Replaces the Bucket in the Delta, Vega, and Curvature files.
CSRQuality
N
Y
String
CSR only
The Issuer or Tranche credit quality.
Replaces the CSRQuality in the Delta, Vega, and Curvature files.
IG, HY, NR
CSRSector
N
Y
String
CSR only
The issuer or securitisation sector.
Replaces the CSRSector in the Delta, Vega, and Curvature files.
For CSR non-Sec and CSR Sec CTP, example values:
‘Sovereign’, ‘Financials’, ‘Tech’
‘Covered Bonds’, ‘Other’
For CSR Sec non-CTP, example values:
‘RMBS-Prime’, ‘RMBS-Mid-Prime’, ‘RMBS-Sub-Prime’, ‘CMBS’, ‘ABS-Auto’, ‘Other’
CSRRating
N
Y
String
CSR non-Sec only
Set to “high” for covered bonds with rating AA- or above; otherwise set to “low” or leave blank.
Replaces the CSRRating in the Delta, Vega, and Curvature files.
“high”, “low”
EquityMarketCap
N
Y
String
Equity only
The equity issuer market cap.
Replaces the EquityMarketCap in the Delta, Vega, and Curvature files.
‘Large’ , ‘Small’, ‘Other’
EquityEconomy
N
Y
String
Equity only
The equity issuer economy.
Replaces the EquityEconomy in the Delta, Vega, and Curvature files.
‘Emerging’, ‘Advanced’, ‘Other’
EquitySector
N
Y
String
Equity only
The equity sector.
Replaces the EquitySector in the Delta, Vega, and Curvature files.
Example values are:
“CSG”
“Telecommunications-Industrials”
“Basic Materials”
“Financials”
“Other”