The Tranche (Underlying) refers to the tranche credit spread curves (bond and CDS) MAR21.10(2).Documentation Index
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| Key Field | Key | Description |
|---|---|---|
| As-of Date | Y | Timestamp (at close of business) for the data (T-1) |
| Tranche Name (Underlying) | Y | Name of the tranche credit spread curve |
| Risk Class | Y | “CSR Sec non-CTP” |
| Bucket | 1-25 | |
| Credit Quality | e.g. “Senior IG”, “IG”, “HY”, or “NR” | |
| Sector | The relevant sector of the asset pool | |
| Pool | The asset pool | |
| Attachment | The attachment point of the tranche in the pool | |
| Detachment | The detachment point of the tranche in the pool |