Sensitivities - Atoti Hub

The following table describes the Sensitivities data model for the CSR non-Sec risk class.

Field	Key	Risk Measure	Description
As-of Date	Y	All	Timestamp (at close of business) for the data (T-1)
Trade ID	Y	All	A unique identifier for the trade (or position)
Risk Factor Name	Y	All	A unique identifier for the risk-factor
Risk Class	Y	All	“CSR non-Sec”
Risk Measure	Y	All	“Delta”, “Vega”, or “Curvature”
Sensitivity Tenor	Y	Delta	The tenor in the credit spread curve
Option Maturity	Y	Vega	The maturity of the option
Sensitivity		Delta & Vega	The sensitivity value $s_k$
Shock Up/Down		Curvature	The up and down shocked prices.
Sensitivity Currency		All	Currency in which the sensitivity or shocked price is expressed.
Risk Weight		Curvature	Risk weight used for the shocked prices
PV Applied		Curvature	Has the PV been subtracted from the shocked prices?
Optionality		Delta	Should the Delta sensitivity be included in the Curvature Calculation?
Interpolated Sensitivities		Delta & Vega	Sensitivities interpolated to the prescribed vertices