This file provides the overrides for SA DRC Sec non-CTP tranche descriptions.
This Tranche Overrides file type is identified using the pattern: **/Tranche_Overrides*.csv (as specified by drc.tranche.overrides.file-pattern).
This file is loaded using the TrancheOverrides topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
Field
Key
Null
FieldType
Description
Example
Tranche
Y
N
String
The name of the tranche to override.
Matches the “Underlying” column in the DRC Trade Level file
RiskClass
Y
N
String
Set to “DRC Sec non-CTP”.
“DRC Sec non-CTP”
Parameter Set
Y
N
String
The parameter set for which the override applies.
CRR2
Bucket
N
Y
String
Tranche Bucket [MAR22.31].
Seniority
N
Y
String
Seniority of the exposure. This is “senior” or not for calculating the SEC-ERBA risk-weights.
Replaces the Seniority in the DRC Trade Level file.
senior
Rating
N
Y
String
The rating used when looking up SEC-ERBA risk-weights.
Replaces the Rating in the DRC Trade Level file.
Rating type
N
Y
String
The rating type used when looking up SEC-ERBA risk-weights (and when applying flooring logic).
Replaces the Rating Type in the DRC Trade Level file.