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.