Data Model (Core)

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

For CSR Sec non-CTP, the Tranche (Underlying) refers to the tranche credit spread curves (bond and CDS) [MAR21.10](2).

Each of these tranches has an Tranche 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 Tranche, 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.