Navigation :
test ../ test user-ref.html
User & Reference Guide
test ../ test getting-started.html
Getting started
test ../ test getting-started/using-this-guide.html
- Using this guide
test ../ test getting-started/whats-new.html
- What's New
test ../ test getting-started/frtb-data-model.html
- FRTB Data Model
test ../ test getting-started/directquery.html
- DirectQuery
test ../ test configuration.html
Configuration files
test ../ test datastore.html
Data Stores
test ../ test database.html
Database
test ../ test input-files.html
Input Data
test ../ test input-files/configuration.html
-
Core Configuration Files
test ../ test input-files/crif.html
-
CRIF Files
test ../ test input-files/reference-booking.html
-
Reference and Booking Files
test ../ test input-files/sa_input_files.html
-
SA Input File Formats
test ../ test input-files/sa_input_files/buckets.html
--
Bucket Files
test ../ test input-files/sa_input_files/drc_trade_level.html
--
DRC Trade Level Files
test ../ test input-files/sa_input_files/overrides.html
--
Overrides
test ../ test input-files/legal-entity-imports.html
--- Legal Entity Imports
test ../ test input-files/obligor-overrides.html
--- Obligor Overrides
test ../ test input-files/risk-factor-description-overrides.html
--- Risk-Factor Description Overrides
test ../ test input-files/rrao-overrides.html
--- RRAO Overrides
test ../ test input-files/tranche-overrides.html
--- Tranche Overrides
test ../ test input-files/underlying-description-overrides.html
--- Underlying Description Overrides
test ../ test input-files/sa_input_files/sbm_sensitivity-specific.html
--
SBM Sensitivity-specific Files
test ../ test input-files/stress-calibration.html
-
Stress Calibration Input Files
test ../ test tutorials.html
Tutorials
test ../ test tutorials/data-sanity-check.html
- Data Sanity Check
test ../ test tutorials/tips-for-validating-the-calculations.html
- Tips for Validating the Calculations
test ../ test tutorials/viewing-qis-numbers.html
- Viewing QIS Numbers
test ../ test interpret-impl.html
Interpretation and Implementation of the MAR standard
test ../ test cube.html
Analytics Reference
test ../ test dev.html
Developer Guide
test ../ test dev/dev-release.html
-
Release and migration notes
test ../ test dev/dev-getting-started.html
-
Getting Started
test ../ test dev/dev-ref-impl.html
-
FRTB Reference Implementation
test ../ test dev/dev-core.html
-
FRTB Core
test ../ test dev/dev-extensions.html
-
Extending the Accelerator
test ../ test dev/dev-tools.html
-
Configuring Accelerator tools and methodologies
test ../ test dev/dev-sign-off.html
-
Sign-Off
test ../ test limits.html
Limit monitoring
test ../ test sign-off.html
Sign-Off Approvals
test ../ test what-if.html
What-If Analysis
test ../ test pdf-guides.html
PDF Guides
test ../ test glossary.html
Glossary
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(2)(b) .
Replaces the Region in the DRC Trade Level file.
AssetClass
N
Y
String
Asset class for Bucket MAR22.31(2)(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.