Tranche Overrides

Download sample file: Tranche_Overrides.csv

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. STC
Region N Y String Region for Bucket (MAR22.31(b)). Replaces the Region in the DRC Trade Level file.
AssetClass N Y String Asset class for Bucket (MAR22.31(b)). Replaces the AssetClass in the DRC Trade Level file.
Attachment N Y Double Attachment point (Decimal values are expected). Replaces the Attachment in the DRC Trade Level file.
Detachment N Y Double Detachment point (Decimal values are expected). Replaces the Detachment in the DRC Trade Level file.
Risk Weight N Y Double Override the risk-weight for this obligor, instead of looking up the risk-weight by rating. Replaces the Risk Weight in the DRC Trade Level file.
AsOfDate Y N Date ‘YYYY-MM-DD’ Timestamp (at close of business) for the data.
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