| 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 |
Tranche
The Tranche (Underlying) object describes the tranche. A tranche is specific to an underlying asset pool.