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 |