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Tranche
The Tranche (Underlying) object describes the tranche. A tranche is specific to an underlying asset pool.
| Field |
Key |
Description |
| As-of Date |
Y |
Timestamp (at close of business) for the data (T-1) |
| Tranche (Underlying) |
Y |
Name of the tranche |
| Risk Class |
Y |
“DRC Sec non-CTP” |
| Bucket |
|
“corporates” or asset class and region |
| Seniority |
|
“senior” or not, for calculating the SEC-ERBA risk-weight |
| Rating |
|
Credit rating of the tranche |
| Rating Type |
|
The rating type used alongside the rating to determine the SEC-ERBA risk-weight |
| Region |
|
The region used to determine the bucket |
| Asset Class |
|
The asset class used to determine the bucket |
| Attachment Point |
|
Attachment point of the tranche within the pool |
| Detachment Point |
|
Detachment point of the tranche within the pool |
| Risk Weight |
|
Optional override of the obligor’s risk-weight |