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
Crypto 2a	crypto 2a underlying

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”, “Crypto 2a”)
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.
Crypto2aExchange		Y	String	Crypto 2a Exchange	Optional field. Disabled by default. See Crypto 2a UnderlyingDescription.

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

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