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TrancheOverrides
The TrancheOverrides store contains alternative descriptions of the tranche. See Tranche store.
It is an isolated store indexed by Tranche, RiskClass, ParameterSet, and AsOfDate.
Store Field |
Key |
CanBeNull |
Type |
Description |
Tranche |
Y |
|
String |
ID of the Tranche. |
RiskClass |
Y |
|
String |
Set to “DRC Sec non-CTP” |
ParameterSet |
Y |
|
String |
The Parameter Set for which the overrides apply. |
Bucket |
|
|
String |
The DRC bucket. Replaces Bucket in the Tranche store. |
Seniority |
|
|
String |
Seniority of the tranche. Replaces Seniority in the Tranche store. |
Rating |
|
|
String |
The credit rating of the Tranche. Replaces Rating in the Tranche store. |
Type |
|
|
String |
The rating type used alongside the rating to determine the SEC-ERBA risk-weight. Replaces Type in the Tranche store. |
Region |
|
|
String |
The region used to determine the Bucket. Replaces Region in the Tranche store. |
Asset Class |
|
|
String |
The asset class used to determine the Bucket. Replaces Asset Class in the Tranche store. |
Attachment |
|
|
Double |
Attachment point (Decimal values are expected). Replaces Attachment in the Tranche store. |
Detachment |
|
|
Double |
Detachment point (Decimal values are expected). Replaces Detachment in the Tranche store. |
RiskWeight |
|
Y |
Double |
Optional override for the DRC Sec non-CTP Tranche risk-weight. Replaces RiskWeight in the Tranche store. |
AsOfDate |
Y |
|
Date[yyyy-mm-dd] |
Timestamp (at close of business) for the data. |