File format
| Field name | Description |
|---|---|
| Bucket | The CSR Sec non-CTP Bucket (e.g. 1-25). |
| 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 | Credit Quality | Sector | Date | ParameterSet |
|---|---|---|---|---|
| 1 | Senior IG | RMBS - Prime | 2016-01-01 | |
| 2 | Senior IG | RMBS - Mid-Prime | 2016-01-01 | |
| 3 | Senior IG | RMBS - Sub-Prime | 2016-01-01 | |
| 4 | Senior IG | CMBS | 2016-01-01 | |
| 5 | Senior IG | ABS - Student loans | 2016-01-01 | |
| 6 | Senior IG | ABS - Credit cards | 2016-01-01 | |
| 7 | Senior IG | ABS - Auto | 2016-01-01 | |
| 8 | Senior IG | CLO non-correlation trading portfolio | 2016-01-01 | |
| 9 | IG | RMBS - Prime | 2016-01-01 | |
| 10 | IG | RMBS - Mid-Prime | 2016-01-01 | |
| 11 | IG | RMBS - Sub-Prime | 2016-01-01 | |
| 12 | IG | CMBS | 2016-01-01 | |
| 13 | IG | ABS - Student loans | 2016-01-01 | |
| 14 | IG | ABS - Credit cards | 2016-01-01 | |
| 15 | IG | ABS - Auto | 2016-01-01 | |
| 16 | IG | CLO non-correlation trading portfolio | 2016-01-01 | |
| 17 | HY | RMBS - Prime | 2016-01-01 | |
| 18 | HY | RMBS - Mid-Prime | 2016-01-01 | |
| 19 | HY | RMBS - Sub-Prime | 2016-01-01 | |
| 20 | HY | CMBS | 2016-01-01 | |
| 21 | HY | ABS - Student loans | 2016-01-01 | |
| 22 | HY | ABS - Credit cards | 2016-01-01 | |
| 23 | HY | ABS - Auto | 2016-01-01 | |
| 24 | HY | CLO non-correlation trading portfolio | 2016-01-01 | |
| 17 | NR | RMBS - Prime | 2016-01-01 | |
| 18 | NR | RMBS - Mid-Prime | 2016-01-01 | |
| 19 | NR | RMBS - Sub-Prime | 2016-01-01 | |
| 20 | NR | CMBS | 2016-01-01 | |
| 21 | NR | ABS - Student loans | 2016-01-01 | |
| 22 | NR | ABS - Credit cards | 2016-01-01 | |
| 23 | NR | ABS - Auto | 2016-01-01 | |
| 24 | NR | CLO non-correlation trading portfolio | 2016-01-01 | |
| 25 | Other sector | Other sector | 2016-01-01 | |
| 25 | Senior IG | Other sector | 2016-01-01 | |
| 25 | IG | Other sector | 2016-01-01 | |
| 25 | NR | Other sector | 2016-01-01 | |
| 25 | HY | Other sector | 2016-01-01 |