| Data Model Field | File Column | Notes |
|---|---|---|
| As-Of Date | AsOfDate | |
| Trade ID | TradeID | |
| Risk Class | RiskClass | “CSR non-Sec” |
| Option Maturity | OptionMaturity | May be single value, vector, or empty; if empty, treated as the prescribed maturities: 0.5;1;3;5;10 |
| Sensitivities | VegaSensitivities | May be single value or vector, with the same number of entries as maturities |
| Sensitivity Currency | VegaCcy | |
| 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 |
SBM_Vega_Sensitivities*.csv
The Vega Sensitivity Data is loaded from the Vega files.
The following table lists the fields in the file format that is used for the CSR non-Sec risk-class.
See the Vega file format documentation for details on the file format.
See Data Model (Core) for a description of the data model.