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.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 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 |