TRANCHE
The TRANCHE table contains the description of a DRC Sec non-CTP tranche.
| Column Name | Type | Not Null | Cube Field | Description |
|---|---|---|---|---|
| AS_OF_DATE | DATE | Y | See field in joined table | Timestamp (at close of business) for the data. |
| TRANCHE | STRING | Y | [Default Risk Charge].[DRC Sec non-CTP Tranche] | ID of the tranche. |
| RISK_CLASS | STRING | Y | Set to “DRC Sec non-CTP”. | |
| BUCKET | STRING | Y | [Default Risk Charge].[DRC Sec non-CTP Bucket] | The DRC bucket. |
| SENIORITY | STRING | Y | [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). | |
| RISK_WEIGHT | DOUBLE | DRC Sec non-CTP JTD Weightings Override measure | Optional override for the DRC Sec non-CTP Tranche risk-weight. |
Unique Key
| Columns |
|---|
| AS_OF_DATE |
| TRANCHE |
| RISK_CLASS |
Incoming Joins
| Source Table | Source Columns | Target Columns |
|---|---|---|
| RISK_FACTOR_DESCRIPTION | AS_OF_DATE UNDERLYING RISK_CLASS |
AS_OF_DATE TRANCHE RISK_CLASS |