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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 |