SBM_Delta_Sensitivities*.csv

This page describes the file format used to load GIRR Delta sensitivities. 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 GIRR 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	“GIRR”
Sensitivity Tenor	SensitivityDates	May be single value, vector, or empty. If empty, treated as the prescribed tenors: 0.25;0.5;1;2;3;5;10;15;20;30.
Risk Factor Name	RiskFactor	(Optional) If not present, generated during ETL.
Curve Type	RiskFactorType	“Yield”, “Inflation”, or “Basis”
Curve Name	Underlying
Optionality	Optionality	Should this sensitivity be included in the Curvature calculations (‘Y’) or not (‘N’)?
Covered Bond Rating	CSRRating	(Optional) For covered bonds, “high” for rating AA- or above; otherwise “low”
Curve Currency	GIRRCcy