SBM_Delta_Sensitivities*.csv

The Delta Sensitivity Data is loaded from the Delta files.

The following table lists the fields in the file format that is used for the CSR non-Sec risk-class. See the Delta file format documentation for details on the file format. See Data Model (Core) for a description of the data model.

Data Model Field File Column Notes
As-Of Date AsOfDate
Trade ID TradeID
Sensitivity Currency DeltaCcy
Sensitivities DeltaSensitivities May be single value or vector, with the same number of entries as Tenors
Risk Class RiskClass “CSR non-Sec”
Sensitivity Tenor SensitivityDates May be single value, vector, or empty; if empty, treated as the prescribed tenors: 0.5;1;3;5;10
Risk Factor Name RiskFactor (Optional) If not present, generated during ETL
Curve Type RiskFactorType “Bond” or “CDS”
Curve Name Underlying
Bucket Bucket 1-18
Credit Quality CSRQuality
Sector CSRSector
Optionality Optionality Should this sensitivity be included in the Curvature calculations (‘Y’) or no (‘N’)
Covered Bond Rating CSRRating (Optional) For covered bonds, “high” for rating AA- or above; otherwise “low”