SBM_Delta_Sensitivities*.csv

The Delta Sensitivity Data is loaded from the Delta files.

The following table lists the fields in the file format that is used for the CSR Sec non-CTP risk-class. See the Delta 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
Sensitivity Currency DeltaCcy
Sensitivities DeltaSensitivities May be single value or vector, with the same number of entries as Tenors.
Risk Class RiskClass “CSR Sec non-CTP”
Sensitivity Tenor SensitivityDates May be single value, vector, or empty. If empty, treated as the prescribed tenors: 0.5;1;3;5;10.
Risk Factor Name RiskFactor (Optional) If not present, generated during ETL.
Curve Type RiskFactorType “Bond” or “CDS”
Tranche Name Underlying
Bucket Bucket 1-25
Credit Quality CSRQuality
Sector CSRSector
Optionality Optionality Should this sensitivity be included in the Curvature calculations (‘Y’) or not (‘N’)?
Pool Pool
Attachment Attachment 0.0 - 1.0
Detachment Detachment 0.0 - 1.0