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Curve
The Curve (Underlying) refers to the relevant credit issuer spread curves (bond and CDS) [MAR21.9](1).
| Field |
Key |
Description |
| As-of Date |
Y |
Timestamp (at close of business) for the data (T-1) |
| Curve Name (Underlying) |
Y |
Name of the issuer credit spread curve |
| Risk Class |
Y |
“CSR non-Sec” |
| Bucket |
|
1-18 |
| Credit Quality |
|
“IG”, “HY”, or “NR” |
| Sector |
|
The relevant sector of the curve |
| Covered Bond Rating |
|
“high” for AA- and above covered bonds. |