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Expected loss (EL) on credit asset if PD, LGD are correlated

Expected loss (EL) calculations typically assume no correlation (i.e., they assume independence) between probability of default (PD) and loss given...

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ABS Real 16 videos

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  Overcollateralization (O/C) in structured finance

  In structured finance, the two most common internal credit enhancements are subordination and overcollateralization (O/C). O/C is when the value of...

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  Unexpected loss (UL) of a portfolio of credit assets

  The unexpected loss (UL) of a portfolio of credit assets incorporate individual asset ULs and pairwise default correlations

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  Subordination in structured finance

  Subordination, along with overcollateralization, is an internal credit enhancement: the division of the liability capital structure into layers or ...

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  Mortgage prepayment metrics CPR & SMM

  You can download the spreadsheet at our website. CPR (conditional or constant prepayment rate) is the annual prepayment rate; SMM (single monthly m...

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  ABX Index to price subprime risk

  ABX introduced a means for the transparent pricing of subprime risk (where previously there was none). In the second part of this briefcast, I show...

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  Net excess spread in a securitization

  The net excess spread is a type of internal credit enhancement in a securitization. In this simple structure, $100 million in loan assets are secur...

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  Frictions in subprime securitization

  In subprime securitization, seven frictions are identified, but the key frictions are the five represented by the red line that runs from friction ...

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handsomeboyad added to a playlist 1 month ago

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Liquidity support in a securitization

Internal liquidity support includes: Liability design (e.g., time tranching) or a Liquidity Reserve. External support includes: Lines of credit (LO...

2,113 views

ABS Real 16 videos

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  Loss distribution for credit enhancement in securitization

  This continues to follow the subprime securitization case study by Aschraft. There are two steps: 1. Specify the loss distribution; and 2. Map the ...

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  Asset-backed commercial paper (ABCP) conduit to securitize r

  Notable features of the ABCP include: 1. Cash flow mismatch between receivables (without maturities, non interest bearing) and commercial paper (CP...

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  Trust versus corporation in securitization

  Under the corporation, the original credit-sensitive assets serve as collateral for the asset-backed securities issued to investors. Under the trus...

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  Credit enhancements in a securitization

  INTERNAL enhancements include subordination (a feature of tranching; a senior tranche is protected by subordinate tranches), overcollateralization ...

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  Tranches in securitization

  In a securitization, we can take a balance-sheet perspective: on the left-hand side, credit-sensitive assets (collateral) have value, create cash f...

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  Key players in securitization

  Review of key players including special originator, purpose entity, custodian, underwriter, investors, legal, and credit rating agencies

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  What is a securitization?

  A securitization is a structured finance with three ingredients: 1. Pooled credit-sensitive assets; 2. Transfer of credit risk; 3. Tranched liabili...

  14,423 views

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