SBM_Curvature_Sensitivities*.csv

The Curvature Sensitivity Data is loaded from the Curvature files.

The following table lists the fields in the file format that are used for the Commodity risk-class. See the Curvature file format documentation for details on the file format. See Data Model (Core) for a description of the data model.

Data Model Field File Column Notes
As-Of Date AsOfDate
Trade ID TradeID
Risk Class RiskClass “Commodity”
Risk Factor Name RiskFactor (Optional) If not present, generated during ETL.
Shock Up Shift_Up_PV
Shock Down Shift_Down_PV
Sensitivity Currency CurvatureCcy
Risk Weight RiskWeight (Optional)
PV Applied PV Applied Has the Trade PV already been subtracted from the shocked PVs (‘Y’) or not (‘N’)?
Commodity Underlying
Bucket Bucket 1-11