CSR sec CTP buckets

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

​File format

​File values

File format

File values