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TrancheOverrides
The TrancheOverrides store contains alternative descriptions of the tranche. See Tranche store.
It is an isolated store indexed by Tranche, RiskClass, ParameterSet, and AsOfDate.
| Store Field |
Key |
CanBeNull |
Type |
Description |
| Tranche |
Y |
|
String |
ID of the Tranche. |
| RiskClass |
Y |
|
String |
Set to “DRC Sec non-CTP” |
| ParameterSet |
Y |
|
String |
The Parameter Set for which the overrides apply. |
| Bucket |
|
|
String |
The DRC bucket.
Replaces Bucket in the Tranche store. |
| Seniority |
|
|
String |
Seniority of the tranche.
Replaces Seniority in the Tranche store. |
| Rating |
|
|
String |
The credit rating of the Tranche.
Replaces Rating in the Tranche store. |
| Type |
|
|
String |
The rating type used alongside the rating to determine the SEC-ERBA risk-weight.
Replaces Type in the Tranche store. |
| Region |
|
|
String |
The region used to determine the Bucket.
Replaces Region in the Tranche store. |
| Asset Class |
|
|
String |
The asset class used to determine the Bucket.
Replaces Asset Class in the Tranche store. |
| Attachment |
|
|
Double |
Attachment point (Decimal values are expected).
Replaces Attachment in the Tranche store. |
| Detachment |
|
|
Double |
Detachment point (Decimal values are expected).
Replaces Detachment in the Tranche store. |
| RiskWeight |
|
Y |
Double |
Optional override for the DRC Sec non-CTP Tranche risk-weight.
Replaces RiskWeight in the Tranche store. |
| AsOfDate |
Y |
|
Date[yyyy-mm-dd] |
Timestamp (at close of business) for the data. |