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Glossary
Data Model (Core)
This section describes the data used for the CSR non-Sec calculations, including how the data is structured.
For CSR non-Sec, the Curve (Underlying) refers to the relevant issuer credit spread curves (bond and CDS) [MAR21.9](1).
Each of these curves has a Curve Name , Bucket , Credit Quality , Sector , and for covered bonds a Covered Bond Rating .
The Risk Factor is used to identify sensitivities .
However, it is not used directly in the calculations, instead the Curve , 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.