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.