Tranche
The Tranche store contains the description of a DRC Sec non-CTP tranche.
It is indexed by Tranche, RiskClass, and AsOfDate and referenced from the DRCBase store by these three fields.
This store references the DrcSecNonCtpBuckets store by Region, Asset Class, and AsOfDate.
| Store Field | Key | CanBeNull | Type | Cube Field | Description |
|---|---|---|---|---|---|
| Tranche | Y | String | [Default Risk Charge].[DRC Sec non-CTP Tranche] | ID of the Tranche | |
| RiskClass | Y | String | Set to “DRC Sec non-CTP” | ||
| Bucket | String | [Default Risk Charge].[DRC Sec non-CTP Bucket] | The DRC bucket. | ||
| Seniority | String | [Default Risk Charge].[DRC Sec non-CTP Seniority] | Seniority of the tranche. | ||
| Rating | String | [Default Risk Charge].[DRC Sec non-CTP Rating] | The credit rating of the Tranche | ||
| Type | String | [Default Risk Charge].[DRC Sec non-CTP Rating Type] | The rating type used alongside the rating to determine the SEC-ERBA risk-weight | ||
| Region | String | [Default Risk Charge].[DRC Sec non-CTP Region] | The region used to determine the Bucket | ||
| Asset Class | String | [Default Risk Charge].[DRC Sec non-CTP Asset Class] | The asset class used to determine the Bucket | ||
| Attachment | Double | [Default Risk Charge].[DRC Sec non-CTP Attachment] | Attachment point (Decimal values are expected) | ||
| Detachment | Double | [Default Risk Charge].[DRC Sec non-CTP Detachment] | Detachment point (Decimal values are expected) | ||
| RiskWeight | Y | Double | DRC Sec non-CTP JTD Weightings Override measure | Optional override for the DRC Sec non-CTP Tranche risk-weight | |
| AsOfDate | Y | Date[yyyy-mm-dd] | See field in referencing store | Timestamp (at close of business) for the data |