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 non-Sec 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 non-Sec”
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”
Curve Name	Underlying
Bucket	Bucket	1-18
Credit Quality	CSRQuality
Sector	CSRSector
Optionality	Optionality	Should this sensitivity be included in the Curvature calculations (‘Y’) or no (‘N’)
Covered Bond Rating	CSRRating	(Optional) For covered bonds, “high” for rating AA- or above; otherwise “low”