Calculation Guide

Calculation Guide

Calculation Guide:


Conventions

Actual/360: actual number of days between previous and current payment date divided by 360



90/360: quarters are treated as always having 90 days; calculation is 90 divided by 360


Replines



,


Default Rate (%) is determined by the selected rating scenario’s K-PAT default %, and Default Curve is a vector determined by the selected default curve scenario.

Refer to the sample calculation workbook for a numerical example of Replines calculations.


 ,

 

 

 

 

 

 

 


Refer to the sample calculation workbook for a numerical example of Replines calculations.


Fees

For floating type:


For fixed type:


If Fees accrue interest:


Liabilities

 


Coverage Tests

OC Test, Reinvestment OC Test




Overcollateralization tests compare an adjusted collateral principal amount to the outstanding notional balance of cumulative liabilities.

When creating an OC or Reinvestment OC Test, the user has the option for a “Standard” or “Custom” calculation.

  1. The “Standard” calculation is defined: the tranches included in the denominator are based on the input ‘Tranche Name’ in the Coverage Tests. Based on the order in the Liabilities screen, the denominator includes the tranche specified in ‘Tranche Name’ and all tranches that sit above it in the Liabilities table.
  2. The “Custom” calculation follows the “Standard” calculation for the numerator, but the denominator is a static value for every period, as specified by the user, and does not include any deferred interest.

 

OC Test Cure Calculation

If the OC test is failing, or OC Test Ratio < OC Test Threshold, then use available proceeds to pay down tranche notional amount by the amount necessary to cure the test.  Calculate the required cure amount by solving for x.

If curing with Interest Proceeds,





If curing with Principal Proceeds,


Refer to the sample calculation workbook for a numerical example of OC ratio and cure calculations.

  

Reinvestment OC Test Cure

If the Reinvestment OC test is failing, or Reinvestment OC Test Ratio < Reinvestment OC Test Threshold, then use available proceeds to reinvest in the amount necessary to cure the test.  Calculate the required cure amount by solving for x.



IC Test






The tranches included in the denominator are based on the input ‘Tranche Name’ in the Coverage Tests. Based on the order in the Liabilities screen, the denominator includes the tranche specified in ‘Tranche Name’ and all tranches that sit above it in the Liabilities table.

 

IC Test Cure Calculation

If the IC test is failing, or IC Test Ratio < IC Test Threshold, then use available proceeds to pay down tranche notional amount by the amount necessary to sufficiently reduce IC denominator to cure the test.  The calculation of IC cure amounts follows a multi-step process and is best demonstrated via a numerical example. The test cure can follow either the standard calculation or the user-defined note payment sequence.

Refer to the sample calculation workbook for a numerical example of IC ratio and cure calculations.