File format
| Field name | Description |
|---|---|
| FRTB SA RiskClass | The SBM risk class |
| Risk Class SubType | For “Equity”, the market cap corresponding to the Equity bucket (“Large” or “Small”) |
| FRTB SA Vega LH | The liquidity horizon used to calcualte the Vega risk weight |
| Date | The start date that the parameter takes effect |
| ParameterSet | The parameter set to which the parameter belongs (default = BCBS) |
File values
| FRTB SA RiskClass | Risk Class SubType | FRTB SA Vega LH | Date | ParameterSet |
|---|---|---|---|---|
| GIRR | 60 | 2016-01-01 | ||
| Equity | Large | 20 | 2016-01-01 | |
| Equity | Small | 60 | 2016-01-01 | |
| FX | 40 | 2016-01-01 | ||
| Commodity | 120 | 2016-01-01 | ||
| CSR non-Sec | 120 | 2016-01-01 | ||
| CSR Sec CTP | 120 | 2016-01-01 | ||
| CSR Sec non-CTP | 120 | 2016-01-01 |