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Tranche

The Tranche is identified by:

Key Field Description
As-of Date Timestamp (at close of business) for the data (T-1)
Tranche Name (Underlying) Name of the asset pool and tranche
Risk Class “CSR Sec non-CTP”

The Tranche has the following properties:

Property Field Description
Credit Quality e.g. “Senior IG”, “IG”, “HY”, or “NR”
Sector The relevant sector of the asset pool
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