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Underlying
The Underlying refers to the underlying credit spread curves (bond and CDS) [MAR21.11](2).
| Field |
Key |
Description |
| As-of Date |
Y |
Timestamp (at close of business) for the data (T-1) |
| Underlying Name |
Y |
Name of the underlying |
| Risk Class |
Y |
“CSR Sec CTP” |
| Bucket |
|
1-16 |
| Credit Quality |
|
“IG”, “HY”, or “NR” |
| Sector |
|
The relevant sector of the underlying |