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Tranche
The Tranche (Underlying) refers to the tranche credit spread curves (bond and CDS) [MAR21.10](2).
| Key Field |
Key |
Description |
| As-of Date |
Y |
Timestamp (at close of business) for the data (T-1) |
| Tranche Name (Underlying) |
Y |
Name of the tranche credit spread curve |
| Risk Class |
Y |
“CSR Sec non-CTP” |
| Bucket |
|
1-25 |
| Credit Quality |
|
e.g. “Senior IG”, “IG”, “HY”, or “NR” |
| Sector |
|
The relevant sector of the asset pool |