Data Model (Core)

This section describes the data used for the CSR non-Sec calculations, including how the data is structured.

For CSR non-Sec, the Curve (Underlying) refers to the relevant issuer credit spread curves (bond and CDS) [MAR21.9](1).

Each of these curves has a Curve Name, Bucket, Credit Quality, Sector, and for covered bonds a Covered Bond Rating.

The Risk Factor is used to identify sensitivities. However, it is not used directly in the calculations, instead the Curve, Curve Type, and tenor fields are used (as appropriate for the risk-measure). This means that multiple Risk Factor Names may be used for the same risk-factor.

Additionally, for each Bucket a canonical Credit Quality Category and Sector Category are identified.