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Glossary
Data Model (Core)
This section describes the data used for the CSR Sec non-CTP calculations, including how the data is structured.
For CSR Sec non-CTP, the Tranche (Underlying) refers to the tranche credit spread curves (bond and CDS) [MAR21.10](2).
Each of these tranches has an Tranche Name , Bucket , Credit Quality , and Sector .
The Risk Factor is used to identify sensitivities .
However, it is not used directly in the calculations, instead the Tranche , Curve Type , and tenor fields are used (as appropriate for the risk-measure).
This means that multiple Risk Factor Names may be used for the same risk-factor.
Additionally, for each Bucket a canonical Credit Quality Category and Sector Category are identified.