☰
Navigation :

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.

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 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