CSR sec non-CTP buckets - Atoti Hub

When the SBM sensitivity files (Curvature, Delta, or Vega) omit the Bucket field, it is filled in from this CSR Sec non-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 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	CreditQuality	Sector	AsOfDate	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