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Underlying Description Overrides

Download sample file: Underlying_Desc_Overrides.csv

This file provides the overrides for SBM Underlying Descriptions.

This Underlying Description Overrides file type is identified using the pattern: **/Underlying_Desc_Overrides*.csv (as specified by underlying-desc.overrides.file-pattern). This file is loaded using the UnderlyingDescriptionOverrides topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.

Field	Key	Null	FieldType	Description	Example
Underlying	Y	N	String	The name of the underlying to override. Matches the “Underlying” column in the Delta, Vega, and Curvature files. CSR non-Sec: Name of credit issuer. CSR Sec CTP: The name underlying the securitisation. CSR Sec non-CTP: Name of the asset pool and tranche. Equity: Name of equity issuer. Commodity: Name of Commodity.
RiskClass	Y	N	String	Defines the risk class for the underlying.	“CSR non-Sec”, “CSR Sec non-CTP”, “CSR Sec CTP”, “Equity”, “Commodity”
Parameter Set	Y	N	String	The parameter set for which the override applies.	CRR2
Bucket	N	Y	String	Bucket number. Replaces the Bucket in the Delta, Vega, and Curvature files.
CSRQuality	N	Y	String	CSR only The Issuer or Tranche credit quality. Replaces the CSRQuality in the Delta, Vega, and Curvature files.	IG, HY, NR
CSRSector	N	Y	String	CSR only The issuer or securitisation sector. Replaces the CSRSector in the Delta, Vega, and Curvature files.	For CSR non-Sec and CSR Sec CTP, example values: ‘Sovereign’, ‘Financials’, ‘Tech’ ‘Covered Bonds’, ‘Other’ For CSR Sec non-CTP, example values: ‘RMBS-Prime’, ‘RMBS-Mid-Prime’, ‘RMBS-Sub-Prime’, ‘CMBS’, ‘ABS-Auto’, ‘Other’
CSRRating	N	Y	String	CSR non-Sec only Set to “high” for covered bonds with rating AA- or above; otherwise set to “low” or leave blank. Replaces the CSRRating in the Delta, Vega, and Curvature files.	“high”, “low”
EquityMarketCap	N	Y	String	Equity only The equity issuer market cap. Replaces the EquityMarketCap in the Delta, Vega, and Curvature files.	‘Large’ , ‘Small’, ‘Other’
EquityEconomy	N	Y	String	Equity only The equity issuer economy. Replaces the EquityEconomy in the Delta, Vega, and Curvature files.	‘Emerging’, ‘Advanced’, ‘Other’
EquitySector	N	Y	String	Equity only The equity sector. Replaces the EquitySector in the Delta, Vega, and Curvature files.	Example values are: “CSG” “Telecommunications-Industrials” “Basic Materials” “Financials” “Other”
Pool	N	Y	String	CSR Sec non-CTP only Pool for tranche. If empty, copied from Underlying.
Attachment	N	Y	Double	CSR Sec non-CTP only Tranche attachement point. Values between 0.0 and 1.0. If empty, defaults to 0.0.
Detachment	N	Y	Double	CSR Sec non-CTP only Tranche detachment point. Values between 0.0 and 1.0. If empty, defaults to 0.0.
AsOfDate	Y	N	Date ‘YYYY-MM-DD’	Timestamp (at close of business) for the data.