CSR_BucketsRiskWeights_SECNONCTP

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

File format

Field name Description
Bucket The CSR Sec non-CTP Bucket (e.g. 1-25)
Risk Weight The Delta Risk Weight for the bucket
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 Date ParameterSet
1 0.009 2016-01-01
2 0.015 2016-01-01
3 0.02 2016-01-01
4 0.02 2016-01-01
5 0.008 2016-01-01
6 0.012 2016-01-01
7 0.012 2016-01-01
8 0.014 2016-01-01
9 0.01125 2016-01-01
10 0.01875 2016-01-01
11 0.025 2016-01-01
12 0.025 2016-01-01
13 0.01 2016-01-01
14 0.015 2016-01-01
15 0.015 2016-01-01
16 0.0175 2016-01-01
17 0.01575 2016-01-01
18 0.02625 2016-01-01
19 0.035 2016-01-01
20 0.035 2016-01-01
21 0.014 2016-01-01
22 0.021 2016-01-01
23 0.021 2016-01-01
24 0.0245 2016-01-01
25 0.035 2016-01-01