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Curve
The Curve (Underlying) refers to the relevant credit issuer spread curves (bond and CDS) [MAR21.9](1).
Field |
Key |
Description |
As-of Date |
Y |
Timestamp (at close of business) for the data (T-1) |
Curve Name (Underlying) |
Y |
Name of the issuer credit spread curve |
Risk Class |
Y |
“CSR non-Sec” |
Bucket |
|
1-18 |
Credit Quality |
|
“IG”, “HY”, or “NR” |
Sector |
|
The relevant sector of the curve |
Covered Bond Rating |
|
“high” for AA- and above covered bonds. |