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ERBA_Risk_Weight

The ERBA_Risk_Weight.csv file provides the SEC-ERBA risk weights. It is loaded into the ERBARiskWeight store.

File format

Field name Description
Rating The credit rating. Must be uppercase in this file.
Seniority The seniority of the instrument; “senior” or not. Must be lowercase in this file.
Default risk weight The SEC-ERBA risk weight
Rating Type The type of rating “long”-term or “short”-term. Must be lowercase in this file.
Date The start date that the parameter takes effect
ParameterSet The parameter set to which the parameter belongs (default = BCBS)

File values

Rating Type Seniority Default risk weight Term Start date Parameter set
AAA senior 0.012 long 2016-01-01
AA+ senior 0.012 long 2016-01-01
AA senior 0.02 long 2016-01-01
AA- senior 0.024 long 2016-01-01
A+ senior 0.032 long 2016-01-01
A senior 0.04 long 2016-01-01
A- senior 0.048 long 2016-01-01
BBB+ senior 0.06 long 2016-01-01
BBB senior 0.072 long 2016-01-01
BBB- senior 0.096 long 2016-01-01
BB+ senior 0.112 long 2016-01-01
BB senior 0.128 long 2016-01-01
BB- senior 0.16 long 2016-01-01
B+ senior 0.2 long 2016-01-01
B senior 0.248 long 2016-01-01
B- senior 0.304 long 2016-01-01
CCC+ senior 0.368 long 2016-01-01
CCC senior 0.368 long 2016-01-01
CCC- senior 0.368 long 2016-01-01
Other senior 1 long 2016-01-01
AAA junior 0.012 long 2016-01-01
AA+ junior 0.012 long 2016-01-01
AA junior 0.024 long 2016-01-01
AA- junior 0.032 long 2016-01-01
A+ junior 0.048 long 2016-01-01
A junior 0.064 long 2016-01-01
A- junior 0.096 long 2016-01-01
BBB+ junior 0.136 long 2016-01-01
BBB junior 0.176 long 2016-01-01
BBB- junior 0.264 long 2016-01-01
BB+ junior 0.376 long 2016-01-01
BB junior 0.496 long 2016-01-01
BB- junior 0.6 long 2016-01-01
B+ junior 0.72 long 2016-01-01
B junior 0.84 long 2016-01-01
B- junior 0.904 long 2016-01-01
CCC+ junior 1 long 2016-01-01
CCC junior 1 long 2016-01-01
CCC- junior 1 long 2016-01-01
Other junior 1 long 2016-01-01
A-1 junior 0.012 short 2016-01-01
A-1 senior 0.012 short 2016-01-01
P-1 junior 0.012 short 2016-01-01
P-1 senior 0.012 short 2016-01-01
A-2 junior 0.04 short 2016-01-01
A-2 senior 0.04 short 2016-01-01
P-2 junior 0.04 short 2016-01-01
P-2 senior 0.04 short 2016-01-01
A-3 junior 0.08 short 2016-01-01
A-3 senior 0.08 short 2016-01-01
P-3 junior 0.08 short 2016-01-01
P-3 senior 0.08 short 2016-01-01
Unrated junior 1 short 2016-01-01
Unrated senior 1 short 2016-01-01
AAA STC senior 0.008 long 2016-01-01
AA+ STC senior 0.008 long 2016-01-01
AA STC senior 0.012 long 2016-01-01
AA- STC senior 0.012 long 2016-01-01
A+ STC senior 0.016 long 2016-01-01
A STC senior 0.024 long 2016-01-01
A- STC senior 0.028 long 2016-01-01
BBB+ STC senior 0.036 long 2016-01-01
BBB STC senior 0.044 long 2016-01-01
BBB- STC senior 0.056 long 2016-01-01
BB+ STC senior 0.096 long 2016-01-01
BB STC senior 0.108 long 2016-01-01
BB- STC senior 0.136 long 2016-01-01
B+ STC senior 0.18 long 2016-01-01
B STC senior 0.224 long 2016-01-01
B- STC senior 0.272 long 2016-01-01
CCC+ STC senior 0.332 long 2016-01-01
CCC STC senior 0.332 long 2016-01-01
CCC- STC senior 0.332 long 2016-01-01
Other STC senior 1 long 2016-01-01
AAA STC junior 0.012 long 2016-01-01
AA+ STC junior 0.012 long 2016-01-01
AA STC junior 0.012 long 2016-01-01
AA- STC junior 0.02 long 2016-01-01
A+ STC junior 0.028 long 2016-01-01
A STC junior 0.048 long 2016-01-01
A- STC junior 0.076 long 2016-01-01
BBB+ STC junior 0.12 long 2016-01-01
BBB STC junior 0.144 long 2016-01-01
BBB- STC junior 0.216 long 2016-01-01
BB+ STC junior 0.324 long 2016-01-01
BB STC junior 0.428 long 2016-01-01
BB- STC junior 0.516 long 2016-01-01
B+ STC junior 0.648 long 2016-01-01
B STC junior 0.756 long 2016-01-01
B- STC junior 0.812 long 2016-01-01
CCC+ STC junior 1 long 2016-01-01
CCC STC junior 1 long 2016-01-01
CCC- STC junior 1 long 2016-01-01
Other STC junior 1 long 2016-01-01
A-1 STC junior 0.008 short 2016-01-01
A-1 STC senior 0.008 short 2016-01-01
P-1 STC junior 0.008 short 2016-01-01
P-1 STC senior 0.008 short 2016-01-01
A-2 STC junior 0.024 short 2016-01-01
A-2 STC senior 0.024 short 2016-01-01
P-2 STC junior 0.024 short 2016-01-01
P-2 STC senior 0.024 short 2016-01-01
A-3 STC junior 0.048 short 2016-01-01
A-3 STC senior 0.048 short 2016-01-01
P-3 STC junior 0.048 short 2016-01-01
P-3 STC senior 0.048 short 2016-01-01
Unrated STC junior 1 short 2016-01-01
Unrated STC senior 1 short 2016-01-01
CQS1 senior 0.012 long 2016-01-01 CRR2
CQS2 senior 0.012 long 2016-01-01 CRR2
CQS3 senior 0.02 long 2016-01-01 CRR2
CQS4 senior 0.024 long 2016-01-01 CRR2
CQS5 senior 0.032 long 2016-01-01 CRR2
CQS6 senior 0.04 long 2016-01-01 CRR2
CQS7 senior 0.048 long 2016-01-01 CRR2
CQS8 senior 0.06 long 2016-01-01 CRR2
CQS9 senior 0.072 long 2016-01-01 CRR2
CQS10 senior 0.096 long 2016-01-01 CRR2
CQS11 senior 0.112 long 2016-01-01 CRR2
CQS12 senior 0.128 long 2016-01-01 CRR2
CQS13 senior 0.16 long 2016-01-01 CRR2
CQS14 senior 0.2 long 2016-01-01 CRR2
CQS15 senior 0.248 long 2016-01-01 CRR2
CQS16 senior 0.304 long 2016-01-01 CRR2
CQS17 senior 0.368 long 2016-01-01 CRR2
CQS1 junior 0.012 long 2016-01-01 CRR2
CQS2 junior 0.012 long 2016-01-01 CRR2
CQS3 junior 0.024 long 2016-01-01 CRR2
CQS4 junior 0.032 long 2016-01-01 CRR2
CQS5 junior 0.048 long 2016-01-01 CRR2
CQS6 junior 0.064 long 2016-01-01 CRR2
CQS7 junior 0.096 long 2016-01-01 CRR2
CQS8 junior 0.136 long 2016-01-01 CRR2
CQS9 junior 0.176 long 2016-01-01 CRR2
CQS10 junior 0.264 long 2016-01-01 CRR2
CQS11 junior 0.376 long 2016-01-01 CRR2
CQS12 junior 0.496 long 2016-01-01 CRR2
CQS13 junior 0.6 long 2016-01-01 CRR2
CQS14 junior 0.72 long 2016-01-01 CRR2
CQS15 junior 0.84 long 2016-01-01 CRR2
CQS16 junior 0.904 long 2016-01-01 CRR2
CQS17 junior 1 long 2016-01-01 CRR2
CQSOTHER junior 1 short 2016-01-01 CRR2
CQSOTHER senior 1 short 2016-01-01 CRR2
CQS1 SHORT junior 0.012 short 2016-01-01 CRR2
CQS1 SHORT senior 0.012 short 2016-01-01 CRR2
CQS2 SHORT junior 0.04 short 2016-01-01 CRR2
CQS2 SHORT senior 0.04 short 2016-01-01 CRR2
CQS3 SHORT junior 0.08 short 2016-01-01 CRR2
CQS3 SHORT senior 0.08 short 2016-01-01 CRR2
CQSOTHER SHORT junior 1 short 2016-01-01 CRR2
CQSOTHER SHORT senior 1 short 2016-01-01 CRR2
CQS1 STC senior 0.008 long 2016-01-01 CRR2
CQS2 STC senior 0.008 long 2016-01-01 CRR2
CQS3 STC senior 0.012 long 2016-01-01 CRR2
CQS4 STC senior 0.012 long 2016-01-01 CRR2
CQS5 STC senior 0.016 long 2016-01-01 CRR2
CQS6 STC senior 0.024 long 2016-01-01 CRR2
CQS7 STC senior 0.028 long 2016-01-01 CRR2
CQS8 STC senior 0.036 long 2016-01-01 CRR2
CQS9 STC senior 0.044 long 2016-01-01 CRR2
CQS10 STC senior 0.056 long 2016-01-01 CRR2
CQS11 STC senior 0.096 long 2016-01-01 CRR2
CQS12 STC senior 0.108 long 2016-01-01 CRR2
CQS13 STC senior 0.136 long 2016-01-01 CRR2
CQS14 STC senior 0.18 long 2016-01-01 CRR2
CQS15 STC senior 0.224 long 2016-01-01 CRR2
CQS16 STC senior 0.272 long 2016-01-01 CRR2
CQS17 STC senior 0.332 long 2016-01-01 CRR2
CQS1 STC junior 0.012 long 2016-01-01 CRR2
CQS2 STC junior 0.012 long 2016-01-01 CRR2
CQS3 STC junior 0.012 long 2016-01-01 CRR2
CQS4 STC junior 0.02 long 2016-01-01 CRR2
CQS5 STC junior 0.028 long 2016-01-01 CRR2
CQS6 STC junior 0.048 long 2016-01-01 CRR2
CQS7 STC junior 0.076 long 2016-01-01 CRR2
CQS8 STC junior 0.12 long 2016-01-01 CRR2
CQS9 STC junior 0.144 long 2016-01-01 CRR2
CQS10 STC junior 0.216 long 2016-01-01 CRR2
CQS11 STC junior 0.324 long 2016-01-01 CRR2
CQS12 STC junior 0.428 long 2016-01-01 CRR2
CQS13 STC junior 0.516 long 2016-01-01 CRR2
CQS14 STC junior 0.648 long 2016-01-01 CRR2
CQS15 STC junior 0.756 long 2016-01-01 CRR2
CQS16 STC junior 0.812 long 2016-01-01 CRR2
CQS17 STC junior 1 long 2016-01-01 CRR2
CQSOTHER STC senior 1 long 2016-01-01 CRR2
CQSOTHER STC junior 1 long 2016-01-01 CRR2
CQS1 SHORT STC junior 0.008 short 2016-01-01 CRR2
CQS1 SHORT STC senior 0.008 short 2016-01-01 CRR2
CQS2 SHORT STC junior 0.024 short 2016-01-01 CRR2
CQS2 SHORT STC senior 0.024 short 2016-01-01 CRR2
CQS3 SHORT STC junior 0.048 short 2016-01-01 CRR2
CQS3 SHORT STC senior 0.048 short 2016-01-01 CRR2
CQSOTHER SHORT STC junior 1 short 2016-01-01 CRR2
CQSOTHER SHORT STC senior 1 short 2016-01-01 CRR2
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