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.Documentation Index
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
Use this file to discover all available pages before exploring further.
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 |