The first thing you need is a use case. With Coverity (If I understand what it does) I assume it will be something like...
A Configuration Manager runs Coverity and finds potential security problems with the code.
Coverity automatically submits each detected threat into SBM as an Issue to be tracked.
A developer delivers code into the main development stream. (For the sake of argument, assume Dimensions is the CM repository.) At that time, Coverity is run against the code to determine if there are any threats. Dimensions submits a SBM task to run Coverity.
SBM runs Coverity using Coverity web services. For each threat found, SBM creates an Issue for a developer to investigate and address the threat.
There may be many others.
You need to figure out whether Coverity will push issues to SBM or whether SBM will pull issues from Coverity. In the first case Coverity will need to call SBM web services to submit issues. In the second, SBM will need to access Coverity web services to pull potential threats into SBM.
If you want SBM to manage the process, you will need to import the Coverity wsdl into SBM to make sure you have the necessary services.
If you want Coverity to manage the process, you will need to import the SBM wsdl into Coverity. I don't know how you can do that. You will need to consult with your Coverity documentation.
So figure that out your use case(s) first or you will probably be spinning your wheels for a while.
If you've never done a SBM integration with a 3rd party tool before, you should consider engaging professional services. Especially if you have a deadline.