Implementation Note

The data and calculations for the CSR Sec CTP risk class are specified in [MAR21.58]–[MAR21.61] in relation to their differences from CSR non-Sec.

In the FRTB accelerator, these two risk classes share a lot of configuration and the CSR Sec CTP calculations will depend on the CSR non-Sec configuration. For example, the configuration for $\rho_{kl}^{(name)}$ and $\rho_{kl}^{(tenor)}$ are inherited from the CSR non-Sec risk class and not specified separately for CSR Sec CTP.