Implementation note

The data and calculations for the CSR Sec CTP risk class are specified in —. These paragraphs define the risk class in relation to its differences from CSR non-Sec. In Atoti FRTB, these two risk classes share a lot of configuration and the CSR Sec CTP calculations will depend on the CSR non-Sec configuration. For example, the configuration for

\rho\_{kl}^{(name)}

and

\rho\_{kl}^{(tenor)}

are inherited from the CSR non-Sec risk class and not specified separately for CSR Sec CTP.