UnderlyingDescription

The UnderlyingDescription store contains the description of the principal component of the risk-factors.

It is indexed by Underlying, RiskClass, and AsOfDate and referenced from the RiskFactorDescription store by these three fields.

The fields used in this store, and their purpose, depends on the risk-class. See the Implementation and Interpretation Guide for details on each risk-class.

Each row in the store will describe one of the following depending on the risk class:

Risk Class Underlying
(link to risk-class specific use of this store) (link to risk-class specific data model)
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
Store Field Key CanBeNull Type Cube Field Description
Underlying Y String Underlying The primary component of the risk factor.
RiskClass Y String See field in referencing store (RiskFactorDescription) The risk-class (“GIRR”, “CSR non-Sec”, “CSR Sec non-CTP”, “CSR Sec CTP”, “Equity”, “Commodity”, “FX”)
Bucket Y String [Buckets].[<SBM risk class> Buckets]
For example Equity Buckets
The Bucket the Underlying belongs to.
GIRR Curve Type Y String GIRR Curve Types GIRR Delta and Vega only. The Curve type (“Yield”, “Basis”, or “Inflation”)
GIRR Ccy Y String Currencies GIRR only. The currency of the curve. This is also the Bucket.
CSRQuality Y String CSR Quality CSR only. The credit quality of the curve (“Senior IG”, IG", “HY”, or “NR”)
CSRSector Y String CSR Sector CSR only. The relevant sector of the curve
CSRRating Y String CSR Rating CSR non-Sec only. “high” for AA- and above covered bonds.
Pool Y String CSR Sec non-CTP Pool CSR Sec non-CTP only. Underlying pool for the tranche
Attachment Y Double CSR Sec non-CTP Attachment CSR Sec non-CTP only. Attachment point for the tranche.
Detachment Y Double CSR Sec non-CTP Detachment CSR Sec non-CTP only. Detachment point for the tranche
EquityMarketCap Y String Equity Market Cap Equity only. The equity issuer market cap (“Large”, “Small”, “Other”)
EquityEconomy Y String Equity Issuer Economy Equity only. The equity issuer economy (“Emerging”, “Advanced”, “Other”)
EquitySector Y String Equity Sector Equity only. The equity issuer sector.
UnderlyingFXOriginalCcy Y String FX Original Bucket (This is an internal field)
GIRR Basis Ccy Y String Girr Basis Ccy GIRR only. The counter currency for GIRR cross-currency basis curves (USD or EUR).
AsOfDate Y LOCALDATE[yyyy-mm-dd] See field in referencing store (SaSensitivities) Timestamp (at close of business) for the data.

References to bucket description stores:

Risk Class Fields Used in Reference Bucket Store
Equity AsOfDate, Bucket, RiskClass EquityBucketDesc
CSR non-Sec, CSR Sec non-CTP, CSR Sec CTP AsOfDate, Bucket, RiskClass CSRBucketDesc