CSR_BucketsRiskWeights_NONSEC

The CSR_BucketsRiskWeights_NONSEC.csv file provides the risk weights for CSR non-Sec Delta. It is loaded into the CSRBucketsRiskWeight store.

File format

Field name Description
Bucket The CSR non-Sec Bucket (e.g. 1-18)
Risk Weight The Delta Risk Weight for the bucket
Start Date The start date that the parameter takes effect
ParameterSet The parameter set to which the parameter belongs (default = BCBS)

 

File values

Bucket Risk Weight Start Date ParameterSet
1 0.005 2016-01-01
2 0.01 2016-01-01
3 0.05 2016-01-01
4 0.03 2016-01-01
5 0.03 2016-01-01
6 0.02 2016-01-01
7 0.015 2016-01-01
8 0.025 2016-01-01
9 0.02 2016-01-01
10 0.04 2016-01-01
11 0.12 2016-01-01
12 0.07 2016-01-01
13 0.085 2016-01-01
14 0.055 2016-01-01
15 0.05 2016-01-01
16 0.12 2016-01-01
17 0.015 2016-01-01
18 0.05 2016-01-01

CRR2 values

Bucket Risk Weight Start Date ParameterSet
1 0.005 2016-01-01 CRR2
2 0.005 2016-01-01 CRR2
3 0.01 2016-01-01 CRR2
4 0.05 2016-01-01 CRR2
5 0.03 2016-01-01 CRR2
6 0.03 2016-01-01 CRR2
7 0.02 2016-01-01 CRR2
8 0.015 2016-01-01 CRR2
9 0.01 2016-01-01 CRR2
10 0.025 2016-01-01 CRR2
11 0.02 2016-01-01 CRR2
12 0.04 2016-01-01 CRR2
13 0.12 2016-01-01 CRR2
14 0.07 2016-01-01 CRR2
15 0.085 2016-01-01 CRR2
16 0.055 2016-01-01 CRR2
17 0.05 2016-01-01 CRR2
18 0.12 2016-01-01 CRR2
19 0.015 2016-01-01 CRR2
20 0.05 2016-01-01 CRR2