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CSR Sec CTP Buckets

The CSR Sec CTP Buckets.csv file provides a mapping from Credit Quality and Sector to CSR Sec CTP bucket. It is loaded into the CSRSecCTPBucket store.

When the SBM sensitivity files (Curvature, Delta, or Vega) omit the Bucket field, it is filled in from this CSR Sec 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 sec CTP Bucket (e.g. 1-16).
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 CreditQuality Sector AsofDate ParameterSet
1 IG Member State Sovereigns 2016-01-01
1 IG Sovereigns 2016-01-01
2 IG Local government 2016-01-01
2 IG Government-backed non-financials 2016-01-01
2 IG Education 2016-01-01
2 IG Public administration 2016-01-01
3 IG Financials 2016-01-01
4 IG Basic materials 2016-01-01
4 IG Materials 2016-01-01
4 IG Energy 2016-01-01
4 IG Industrials 2016-01-01
4 IG Agriculture 2016-01-01
4 IG Manufacturing 2016-01-01
4 IG Mining and quarrying 2016-01-01
5 IG Consumer goods 2016-01-01
5 IG Consumer Discretionary 2016-01-01
5 IG Consumer Staples 2016-01-01
5 IG Transportation 2016-01-01
5 IG Storage 2016-01-01
5 IG Administrative and support service 2016-01-01
6 IG Technology 2016-01-01
6 IG Information Technology 2016-01-01
6 IG Telecommunications 2016-01-01
7 IG Health care 2016-01-01
7 IG Utilities 2016-01-01
7 IG Professional and technical activities 2016-01-01
8 IG Covered bonds 2016-01-01
8 IG Member State Covered bonds 2016-01-01
9 HY Sovereigns 2016-01-01
9 NR Sovereigns 2016-01-01
9 HY Member State Sovereigns 2016-01-01
9 NR Member State Sovereigns 2016-01-01
10 HY Local government 2016-01-01
10 NR Local government 2016-01-01
10 HY Government-backed non-financials 2016-01-01
10 NR Government-backed non-financials 2016-01-01
10 HY Education 2016-01-01
10 NR Education 2016-01-01
10 HY Public administration 2016-01-01
10 NR Public administration 2016-01-01
11 HY Financials 2016-01-01
11 NR Financials 2016-01-01
12 HY Basic materials 2016-01-01
12 NR Basic materials 2016-01-01
12 HY Energy 2016-01-01
12 NR Energy 2016-01-01
12 HY Industrials 2016-01-01
12 NR Industrials 2016-01-01
12 HY Agriculture 2016-01-01
12 NR Agriculture 2016-01-01
12 HY Manufacturing 2016-01-01
12 NR Manufacturing 2016-01-01
12 HY Mining and quarrying 2016-01-01
12 NR Mining and quarrying 2016-01-01
13 HY Consumer goods 2016-01-01
13 HY Consumer Discretionary 2016-01-01
13 NR Consumer goods 2016-01-01
13 NR Consumer Discretionary 2016-01-01
13 HY Transportation 2016-01-01
13 NR Transportation 2016-01-01
13 HY Storage 2016-01-01
13 NR Storage 2016-01-01
13 HY Administrative and support service 2016-01-01
13 NR Administrative and support service 2016-01-01
14 HY Technology 2016-01-01
14 HY Information Technology 2016-01-01
14 NR Technology 2016-01-01
14 NR Information Technology 2016-01-01
14 HY Telecommunications 2016-01-01
14 NR Telecommunications 2016-01-01
14 HY Telecommunications Services 2016-01-01
14 NR Telecommunications Services 2016-01-01
15 HY Health care 2016-01-01
15 NR Health care 2016-01-01
15 HY Utilities 2016-01-01
15 NR Utilities 2016-01-01
15 HY Professional and technical activities 2016-01-01
15 NR Professional and technical activities 2016-01-01
16 IG Other 2016-01-01
16 HY Other 2016-01-01
16 NR Other 2016-01-01
1 IG Member State Sovereigns 2016-01-01 CRR2
2 IG Sovereigns 2016-01-01 CRR2
4 IG Financials 2016-01-01 CRR2
5 IG Energy 2016-01-01 CRR2
5 IG Industrials 2016-01-01 CRR2
5 IG Materials 2016-01-01 CRR2
6 IG Consumer Discretionary 2016-01-01 CRR2
6 IG Consumer Staples 2016-01-01 CRR2
7 IG Information Technology 2016-01-01 CRR2
11 HY Member State Sovereigns 2016-01-01 CRR2
13 HY Financials 2016-01-01 CRR2
14 HY Industrials 2016-01-01 CRR2
16 HY Telecommunications Services 2016-01-01 CRR2
18 IG Other 2016-01-01 CRR2