Buckets - Reference credit spread

SA

Download sample file: sa-cva-buckets-reference-credit-spread.csv

Buckets configuration files contain mappings of the sensitivity fields to SA-CVA Buckets. Their content needs to be updated to translate the organization’s classifications to the ones defined in [MAR50.66].

Field Key Null FieldType Description Example
AsOfDate Y N String with format ‘YYYY-MM-DD’ Risk value date 2018-09-28
Sector Y N String Organization’s sector attribute corresponding to sectors in [MAR50.66] Manufacturing
CreditQuality Y N String Field used to map sensitivities to a bucket, must contain one of the following: ‘HY’ ‘IG’ ‘NR’ IG
BucketNumber N N String Bucket number. 4
BucketDescription N Y String Human-readable description of a bucket. Used for analytical purposes IG Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying. The field is not used at the moment.