Navigation :
test ../ test user-ref.html
User & Reference Guide
test ../ test getting-started.html
Getting started
test ../ test getting-started/using-this-guide.html
- Using this guide
test ../ test getting-started/whats-new.html
- What's New
test ../ test getting-started/frtb-data-model.html
- FRTB Data Model
test ../ test tutorials.html
Tutorials
test ../ test tutorials/data-health-check.html
- Data Health Check
test ../ test tutorials/tips-for-validating-the-calculations.html
- Tips for Validating the Calculations
test ../ test tutorials/viewing-qis-numbers.html
- Viewing QIS Numbers
test ../ test tutorials/workaround-for-deadlock-issue-when-attempting-to-create-partitions-for-reference-stores.html
- Workaround for deadlock issue when attempting to create partitions for reference stores
test ../ test configuration.html
Configuration files
test ../ test configuration/signoff-export-properties.html
- signoff.export.properties
test ../ test configuration/front-template.html
-
test ../ test configuration/calendars.html
- Calendars
test ../ test configuration/commodity_bucketriskweights.html
- Commodity_BucketRiskWeights
test ../ test configuration/commodity_intrabucketcorrelations.html
- Commodity_IntraBucketCorrelations
test ../ test configuration/csr-non-sec-buckets.html
- CSR non-Sec Buckets
test ../ test configuration/csr-sec-ctp-buckets.html
- CSR Sec CTP Buckets
test ../ test configuration/csr-sec-non-ctp-buckets.html
- CSR Sec non-CTP Buckets
test ../ test configuration/csr_bucketsriskweights_nonsec.html
- CSR_BucketsRiskWeights_NONSEC
test ../ test configuration/csr_bucketsriskweights_secctp.html
- CSR_BucketsRiskWeights_SECCTP
test ../ test configuration/csr_bucketsriskweights_secnonctp.html
- CSR_BucketsRiskWeights_SECNONCTP
test ../ test configuration/csrns_bucket_correlations.html
- CSRNS_Bucket_Correlations
test ../ test configuration/default_risk_weights.html
- Default_Risk_Weights
test ../ test configuration/eqty_bucketsriskweights.html
- EQTY_BucketsRiskWeights
test ../ test configuration/erba_risk_weight.html
- ERBA_Risk_Weight
test ../ test configuration/frtb-cloud_properties.html
- frtb-cloud.properties
test ../ test configuration/frtb-config_properties.html
- frtb-config.properties
test ../ test configuration/frtb-data-load-properties.html
- frtb-data-load.properties
test ../ test configuration/frtb-properties.html
- frtb.properties
test ../ test configuration/frtbparameters.html
- FRTBParameters
test ../ test configuration/fx_risk_weight_overrides.html
- FX Risk-Weight Overrides
test ../ test configuration/fx_special_crosses.html
- FX_Special_Crosses
test ../ test configuration/girr_correlation_overrides.html
- GIRR Correlation Overrides
test ../ test configuration/girr_delta_weightings.html
- GIRR_Delta_Weightings
test ../ test configuration/girr_major_currency.html
- GIRR_Major_Currency
test ../ test configuration/instrument_lgd.html
- Instrument_LGD
test ../ test configuration/liquidityhorizons.html
- LiquidityHorizons
test ../ test configuration/obligor_risk_weights.html
- Obligor_Risk_Weights
test ../ test configuration/option_residual_maturity_vertices.html
- Option_Residual_Maturity_Vertices
test ../ test configuration/parameterset.html
- ParameterSet
test ../ test configuration/sensitivity_scaling.html
- Sensitivity Scaling
test ../ test configuration/signoff-properties.html
- signoff.properties
test ../ test configuration/user-detail.html
- User detail
test ../ test configuration/vega_liquidity_horizons.html
- Vega_Liquidity_Horizons
test ../ test configuration/vertices.html
- Vertices
test ../ test limits.html
Limit monitoring
test ../ test sign-off.html
Sign-Off Approvals
test ../ test cube.html
Data Cubes
test ../ test what-if.html
What-If Analysis
test ../ test datastore.html
Data Stores
test ../ test input-files.html
Input Files
test ../ test dev.html
Developer Guide
test ../ test dev/dev-release.html
-
Release and migration notes
test ../ test dev/dev-getting-started.html
-
Getting Started
test ../ test dev/dev-ref-impl.html
-
FRTB Reference Implementation
test ../ test dev/dev-core.html
-
FRTB Core
test ../ test dev/dev-extensions.html
-
Extending the Accelerator
test ../ test dev/dev-tools.html
-
Configuring Accelerator tools and methodologies
test ../ test dev/dev-sign-off.html
-
Sign-Off
test ../ test interpret-impl.html
FRTB Accelerator Interpretation and Implementation of BCBS 457
test ../ test pdf-guides.html
PDF Guides
test ../ test glossary.html
Glossary
CSR Sec non-CTP Buckets
The CSR Sec non-CTP Buckets.csv file provides a mapping from Credit Quality and Sector to CSR Sec non-CTP bucket. It is loaded into the CSRSecNonCTPBucket store.
When the SBM sensitivity files (Curvature , Delta , or Vega ) omit the Bucket field, it is filled in from this CSR Sec non-CTP 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.
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
Credit Quality
Sector
Date
ParameterSet
1
Senior IG
RMBS - Prime
2016-01-01
2
Senior IG
RMBS - Mid-Prime
2016-01-01
3
Senior IG
RMBS - Sub-Prime
2016-01-01
4
Senior IG
CMBS
2016-01-01
5
Senior IG
ABS - Student loans
2016-01-01
6
Senior IG
ABS - Credit cards
2016-01-01
7
Senior IG
ABS - Auto
2016-01-01
8
Senior IG
CLO non-correlation trading portfolio
2016-01-01
9
IG
RMBS - Prime
2016-01-01
10
IG
RMBS - Mid-Prime
2016-01-01
11
IG
RMBS - Sub-Prime
2016-01-01
12
IG
CMBS
2016-01-01
13
IG
ABS - Student loans
2016-01-01
14
IG
ABS - Credit cards
2016-01-01
15
IG
ABS - Auto
2016-01-01
16
IG
CLO non-correlation trading portfolio
2016-01-01
17
HY
RMBS - Prime
2016-01-01
18
HY
RMBS - Mid-Prime
2016-01-01
19
HY
RMBS - Sub-Prime
2016-01-01
20
HY
CMBS
2016-01-01
21
HY
ABS - Student loans
2016-01-01
22
HY
ABS - Credit cards
2016-01-01
23
HY
ABS - Auto
2016-01-01
24
HY
CLO non-correlation trading portfolio
2016-01-01
17
NR
RMBS - Prime
2016-01-01
18
NR
RMBS - Mid-Prime
2016-01-01
19
NR
RMBS - Sub-Prime
2016-01-01
20
NR
CMBS
2016-01-01
21
NR
ABS - Student loans
2016-01-01
22
NR
ABS - Credit cards
2016-01-01
23
NR
ABS - Auto
2016-01-01
24
NR
CLO non-correlation trading portfolio
2016-01-01
25
Other sector
Other sector
2016-01-01
25
Senior IG
Other sector
2016-01-01
25
IG
Other sector
2016-01-01
25
NR
Other sector
2016-01-01
25
HY
Other sector
2016-01-01