FRTB Accelerator Cubes GuideCRIF
These are the CRIF file data model mappings for CSR non-Sec. For a description of the CSR non-Sec data model used in the accelerator, see CSR non-Sec Data Model (Core)
See CRIF File Formats for details of the file format.
| Column | Data Model | Description |
|---|---|---|
| Risk Factor | Risk Factor | The [MAR10.9] Risk Factor minus the tenor or maturities. This field is optional and will be generated (based on the issuer name) if not provided. |
| RiskType | CSR_NS_DELTA, CSR_NS_VEGA, CSR_NS_CURVATURE | |
| Qualifier | Issuer Name | The name of the credit issuer |
| Bucket | CSR non-Sec Bucket | 1-18 |
| Label1 | Sensitivity Tenor / Option Maturity / Risk Weight | * Delta: tenor * Vega: option maturity * Curvature: risk weight |
| Label2 | Curve Type | * Delta: risk-factor type (Bond or CDS) |
| Amount | Sensitivity / Shock Up/Down | The amount of the sensitivity, in the units of the currency specified in the “AmountCurrency” field. * Delta and Vega: sensitivity from [MAR21.4](1) * Curvature: PV shift (delta stripped) |
| AmountCurrency | Sensitivity Currency | The currency used in the “Amount” field |
| CreditQuality | Covered Bond Rating | Credit rating for covered bonds. Ratings above “AA-” are considered “high”. |
Note: To avoid cases where the same issuer name is used for multiple buckets, the bucket number is appended to the issuer name.