Data Model (Core)

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

For CSR Sec CTP, the Underlying refers to the underlying credit spread curves (bond and CDS) [MAR21.11](2).

Each of these underlyings has an Underlying Name, Bucket, Credit Quality, and Sector.

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.