CSRSecCTPBucket

The CSRSecCTPBucket store identifies the CSR Sec CTP buckets.

It is an isolated store indexed by CSRQuality, CSRSector, RiskClass, AsOfDate, and ParameterSet.

Store Field Key CanBeNull Type Description
Bucket String Bucket number (e.g. 1-16).
CSRQuality Y String The credit quality of the tranche credit spread curve (“Senior IG”, IG", “HY”, or “NR”)
CSRSector Y String The relevant sector of the tranche credit spread curve
RiskClass Y String The risk class, must be “CSR Sec CTP”
AsOfDate Y LOCALDATE[yyyy-mm-dd] The start date that the bucket definition takes effect.
ParameterSet Y String The parameter set to which the parameter belongs (default = BCBS).