UNDERLYING_DESCRIPTION

The UNDERLYING_DESCRIPTION table contains the description of the principal component of the SBM risk-factors.

Each row in the table describes one of the following depending on the risk class:

Risk Class Underlying
(link to risk-class specific documentation) (link to risk-class specific underlying)
GIRR yield, inflation, or cross-currency basis curve
FX FX rate
Equity equity or equity issuer
CSR non-Sec relevant issuer credit spread curve
CSR Sec non-CTP tranche credit spread curves
CSR Sec CTP underlying credit spread curves
Commodity distinct commodity
Column Name Type Not Null Cube Field Description
AS_OF_DATE DATE Y See field in joined table (SASENSITIVITIES) Timestamp (at close of business) for the data.
UNDERLYING STRING Y See field in joined table (RISK_FACTOR_DESCRIPTION) The primary component of the SBM risk factor.
RISK_CLASS STRING Y See field in joined table (SASENSITIVITIES) The risk-class (“GIRR”, “CSR non-Sec”, “CSR Sec non-CTP”, “CSR Sec CTP”, “Equity”, “Commodity”, “FX”).
BUCKET STRING The Bucket the Underlying belongs to.
GIRR_CURVE_TYPE STRING [Market Data].[GIRR Curve Types] GIRR Delta and Vega only. The Curve type (“Yield”, “Basis”, or “Inflation”).
GIRR_CCY STRING [Risk].[Currencies] GIRR only. The currency of the curve. This is also the Bucket.
CSRQUALITY STRING [Market Data].[CSR Quality] CSR only. The credit quality of the curve (“Senior IG”, IG", “HY”, or “NR”).
CSRSECTOR STRING [Market Data].[CSR Sector] CSR only. The relevant sector of the curve.
CSRRATING STRING [Market Data].[CSR Rating] CSR non-Sec only. “high” for AA- and above covered bonds.
EQUITY_MARKET_CAP STRING [Market Data].[Equity Market Cap] Equity only. The equity issuer market cap (“Large”, “Small”, “Other”).
EQUITY_ECONOMY STRING [Market Data].[Equity Issuer Economy] Equity only. The equity issuer economy (“Emerging”, “Advanced”, “Other”).
EQUITY_SECTOR STRING [Market Data].[Equity Sector] Equity only. The equity issuer sector.
POOL STRING [Market Data].[CSR Sec non-CTP Pool] CSR Sec non-CTP only. The underlying pool for the tranche.
ATTACHMENT DOUBLE [Market Data].[CSR Sec non-CTP Attachment] CSR Sec non-CTP only. Attachment point for the tranche.
DETACHMENT DOUBLE [Market Data].[CSR Sec non-CTP Detachment] CSR Sec non-CTP only. Detachment point for the tranche.
UNDERLYING_FXORIGINAL_CCY STRING FX only. Set to the same as UNDERLYING.

Unique Key

Columns
AS_OF_DATE
UNDERLYING
RISK_CLASS

Incoming Joins

Source Table Source Columns Target Columns
RISK_FACTOR_DESCRIPTION AS_OF_DATE
UNDERLYING
RISK_CLASS
AS_OF_DATE
UNDERLYING
RISK_CLASS

Outgoing Joins

Target Table Source Columns Target Columns Risk Class
CSRBUCKET_DESC AS_OF_DATE
RISK_CLASS
BUCKET
AS_OF_DATE
RISK_CLASS
BUCKET
“CSR non-Sec”, “CSR Sec non-CTP”, “CSR Sec CTP”
EQUITY_BUCKET_DESC AS_OF_DATE
RISK_CLASS
BUCKET
AS_OF_DATE
RISK_CLASS
BUCKET
“Equity”