CSR non-Sec Buckets
The CSR non-Sec Buckets.csv file provides a mapping from Credit Quality and Sector to CSR non-Sec bucket. It is loaded into the CSRNonSecBucket store.
When the SBM sensitivity files (Curvature, Delta, or Vega) omit the Bucket field, it is filled in from this CSR non-Sec Buckets file. To take advantage of this, the buckets file must be loaded before (or at the same time as) the Curvature, Delta, or Vega file.
File format
| Field name | Description |
|---|---|
| Bucket | The CSR non-Sec Bucket. |
| CreditQuality | Must match “CSRQuality” in sensitivities file. |
| Sector | Must match “CSRSector” in sensitivities file. |
| AsOfDate | The start date that the bucket definition takes effect. |
| ParameterSet | The parameter set to which the parameter belongs (default = BCBS). |
File values
| Bucket | CreditQuality | Sector | AsofDate | ParameterSet |
|---|---|---|---|---|
| 1 | IG | Member State Sovereigns | 2016-01-01 | |
| 1 | IG | Sovereigns | 2016-01-01 | |
| 2 | IG | Local government | 2016-01-01 | |
| 2 | IG | Government-backed non-financials | 2016-01-01 | |
| 2 | IG | Education | 2016-01-01 | |
| 2 | IG | Public administration | 2016-01-01 | |
| 3 | IG | Financials | 2016-01-01 | |
| 4 | IG | Basic materials | 2016-01-01 | |
| 4 | IG | Energy | 2016-01-01 | |
| 4 | IG | Industrials | 2016-01-01 | |
| 4 | IG | Agriculture | 2016-01-01 | |
| 4 | IG | Manufacturing | 2016-01-01 | |
| 4 | IG | Mining and quarrying | 2016-01-01 | |
| 4 | IG | Materials | 2016-01-01 | |
| 5 | IG | Consumer goods | 2016-01-01 | |
| 5 | IG | Transportation | 2016-01-01 | |
| 5 | IG | Consumer Staples | 2016-01-01 | |
| 5 | IG | Storage | 2016-01-01 | |
| 5 | IG | Administrative and support service | 2016-01-01 | |
| 6 | IG | Technology | 2016-01-01 | |
| 6 | IG | Telecommunications | 2016-01-01 | |
| 7 | IG | Health care | 2016-01-01 | |
| 7 | IG | Healthcare | 2016-01-01 | |
| 7 | IG | Utilities | 2016-01-01 | |
| 7 | IG | Professional and technical activities | 2016-01-01 | |
| 8 | IG | Covered bonds | 2016-01-01 | |
| 8 | IG | Member State Covered bonds | 2016-01-01 | |
| 9 | HY | Sovereigns | 2016-01-01 | |
| 9 | NR | Sovereigns | 2016-01-01 | |
| 9 | HY | Member State Sovereigns | 2016-01-01 | |
| 9 | NR | Member State Sovereigns | 2016-01-01 | |
| 10 | HY | Local government | 2016-01-01 | |
| 10 | NR | Local government | 2016-01-01 | |
| 10 | HY | Government-backed non-financials | 2016-01-01 | |
| 10 | NR | Government-backed non-financials | 2016-01-01 | |
| 10 | HY | Education | 2016-01-01 | |
| 10 | NR | Education | 2016-01-01 | |
| 10 | HY | Public administration | 2016-01-01 | |
| 10 | NR | Public administration | 2016-01-01 | |
| 11 | HY | Financials | 2016-01-01 | |
| 11 | NR | Financials | 2016-01-01 | |
| 12 | HY | Basic materials | 2016-01-01 | |
| 12 | NR | Basic materials | 2016-01-01 | |
| 12 | HY | Energy | 2016-01-01 | |
| 12 | NR | Energy | 2016-01-01 | |
| 12 | HY | Industrials | 2016-01-01 | |
| 12 | NR | Industrials | 2016-01-01 | |
| 12 | HY | Agriculture | 2016-01-01 | |
| 12 | NR | Agriculture | 2016-01-01 | |
| 12 | HY | Manufacturing | 2016-01-01 | |
| 12 | NR | Manufacturing | 2016-01-01 | |
| 12 | HY | Mining and quarrying | 2016-01-01 | |
| 12 | NR | Mining and quarrying | 2016-01-01 | |
| 13 | HY | Consumer goods | 2016-01-01 | |
| 13 | NR | Consumer goods | 2016-01-01 | |
| 13 | HY | Transportation | 2016-01-01 | |
| 13 | NR | Transportation | 2016-01-01 | |
| 13 | HY | Storage | 2016-01-01 | |
| 13 | NR | Storage | 2016-01-01 | |
| 13 | HY | Administrative and support service | 2016-01-01 | |
| 13 | NR | Administrative and support service | 2016-01-01 | |
| 14 | HY | Technology | 2016-01-01 | |
| 14 | NR | Technology | 2016-01-01 | |
| 14 | HY | Telecommunications | 2016-01-01 | |
| 14 | NR | Telecommunications | 2016-01-01 | |
| 14 | HY | Telecommunications Services | 2016-01-01 | |
| 14 | NR | Telecommunications Services | 2016-01-01 | |
| 15 | HY | Health care | 2016-01-01 | |
| 15 | NR | Health care | 2016-01-01 | |
| 15 | HY | Utilities | 2016-01-01 | |
| 15 | NR | Utilities | 2016-01-01 | |
| 15 | HY | Professional and technical activities | 2016-01-01 | |
| 15 | NR | Professional and technical activities | 2016-01-01 | |
| 16 | IG | Other | 2016-01-01 | |
| 16 | HY | Other | 2016-01-01 | |
| 16 | NR | Other | 2016-01-01 | |
| 6 | IG | Information Technology | 2016-01-01 | |
| 5 | IG | Consumer Discretionary | 2016-01-01 | |
| 6 | IG | Telecommunications Services | 2016-01-01 | |
| 13 | HY | Consumer Staples | 2016-01-01 | |
| 12 | HY | Materials | 2016-01-01 | |
| 14 | HY | Information Technology | 2016-01-01 | |
| 13 | HY | Consumer Discretionary | 2016-01-01 | |
| 13 | NR | Consumer Staples | 2016-01-01 | |
| 12 | NR | Materials | 2016-01-01 | |
| 14 | NR | Information Technology | 2016-01-01 | |
| 13 | NR | Consumer Discretionary | 2016-01-01 | |
| 17 | IG | Index | 2016-01-01 | |
| 18 | HY | Index | 2016-01-01 | |
| 1 | IG | Member State Sovereigns | 2016-01-01 | CRR2 |
| 4 | IG | Financials | 2016-01-01 | CRR2 |
| 5 | IG | Energy | 2016-01-01 | CRR2 |
| 5 | IG | Industrials | 2016-01-01 | CRR2 |
| 5 | IG | Materials | 2016-01-01 | CRR2 |
| 6 | IG | Consumer Discretionary | 2016-01-01 | CRR2 |
| 6 | IG | Consumer Staples | 2016-01-01 | CRR2 |
| 7 | IG | Information Technology | 2016-01-01 | CRR2 |
| 8 | IG | Healthcare | 2016-01-01 | CRR2 |
| 9 | IG | Member State Covered bonds | 2016-01-01 | CRR2 |
| 10 | IG | Covered bonds | 2016-01-01 | CRR2 |
| 11 | HY | Member State Sovereigns | 2016-01-01 | CRR2 |
| 11 | HY | Sovereigns | 2016-01-01 | CRR2 |
| 13 | HY | Financials | 2016-01-01 | CRR2 |
| 14 | HY | Industrials | 2016-01-01 | CRR2 |
| 14 | HY | Materials | 2016-01-01 | CRR2 |
| 15 | HY | Consumer Discretionary | 2016-01-01 | CRR2 |
| 15 | HY | Consumer Staples | 2016-01-01 | CRR2 |
| 17 | HY | Utilities | 2016-01-01 | CRR2 |
| 18 | IG | Other | 2016-01-01 | CRR2 |
| 19 | IG | Index | 2016-01-01 | CRR2 |
| 20 | HY | Index | 2016-01-01 | CRR2 |