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• Roll Rates
  * The underlying assumption of Roll Rate Analysis is that future accounts will continue to ...[[Risk Metric]]. It must be complemented with further tools e.g. [[Static Pool Analysis | vintage analysis]] to reveal other dimensions of the evolution o
  4 KB (658 words) - 12:17, 7 September 2020
• EBA 2018 Credit Risk Stress Test
  ...sted to project impairments based on the risk parameters of the underlying pool. For the estimation of REA, a fixed risk weight increase will be applied to
  12 KB (1,891 words) - 18:43, 4 May 2018
• Risk Diversification
  ...s comprising the ''pool'' of risks will typically have multiple causes and underlying reasons (will have some measure of independence). Therefore the outcomes /
  5 KB (678 words) - 16:31, 25 September 2021
• Credit Servicing
  ...ents for high quality transactions is that the underlying exposures in the pool need to be serviced according to similar servicing procedures
  1 KB (223 words) - 18:15, 2 March 2023
• Credit Rating Scale
  ...rthiness]]. The assessment may be absolute or relative in nature (among a pool of borrowers). A grade or pool is the subset of obligors or facilities to which the same PD is applied for
  6 KB (932 words) - 16:06, 22 February 2021
• Credit Rating Philosophy
  Although the time horizon used in PD estimation is one year the rating/grade/pool assignment process should also adequately anticipate and * all relevant information should be included in the rating/grade/pool assignment process, giving an appropriate balance between drivers that are
  5 KB (700 words) - 10:27, 22 February 2021
• Long-run Loss Given Default
  ...facilities of the same obligor are assigned to the same facility grade or pool, two options are seen as compliant for calculating the average. * Provide evidence that the assumptions underlying the specification of the formula being used for the LGD estimation hold tru
  9 KB (1,396 words) - 18:07, 7 November 2019
• ESMA Residential Real Estate.Exposures.Pool Addition Date
  == Definition of ESMA Residential Real Estate.Exposures.Pool Addition Date == <b>ESMA Residential Real Estate.Exposures.Pool Addition Date</b>
  2 KB (255 words) - 20:14, 12 February 2019
• ESMA Residential Real Estate.Exposures.Date Of Repurchase
  Date on which the underlying exposure was repurchased from the pool. | ND2|| Data collected on underlying exposure application but not loaded into the originator’s reporting syste
  1 KB (207 words) - 20:14, 12 February 2019
• ESMA Residential Real Estate.Exposures.Pari Passu Underlying Exposures
  == Definition of ESMA Residential Real Estate.Exposures.Pari Passu Underlying Exposures == <b>ESMA Residential Real Estate.Exposures.Pari Passu Underlying Exposures</b>
  2 KB (243 words) - 20:15, 12 February 2019
• ESMA Residential Real Estate.Exposures.Deposit Amount
  ...mount at the obligor-level (i.e. not underlying exposure-level) within the pool. Use the same currency denomination as that used for this underlying exposure.
  3 KB (433 words) - 20:15, 12 February 2019
• ESMA Commercial Real Estate.Exposures.Pool Addition Date
  == Definition of ESMA Commercial Real Estate.Exposures.Pool Addition Date == <b>ESMA Commercial Real Estate.Exposures.Pool Addition Date</b>
  2 KB (255 words) - 20:16, 12 February 2019
• ESMA Commercial Real Estate.Exposures.Date Of Repurchase
  Date on which the underlying exposure was repurchased from the pool. | ND2|| Data collected on underlying exposure application but not loaded into the originator’s reporting syste
  1 KB (207 words) - 20:16, 12 February 2019
• ESMA Corporate.Exposures.Pool Addition Date
  == Definition of ESMA Corporate.Exposures.Pool Addition Date == <b>ESMA Corporate.Exposures.Pool Addition Date</b>
  2 KB (247 words) - 20:21, 12 February 2019
• ESMA Corporate.Exposures.Date Of Repurchase
  Date on which the underlying exposure was repurchased from the pool. | ND2|| Data collected on underlying exposure application but not loaded into the originator’s reporting syste
  1 KB (199 words) - 20:21, 12 February 2019
• ESMA Corporate.Exposures.Deposit Amount
  ...mount at the obligor-level (i.e. not underlying exposure-level) within the pool. Use the same currency denomination as that used for this underlying exposure.
  3 KB (425 words) - 20:23, 12 February 2019
• ESMA Automobile.Exposures.Pool Addition Date
  == Definition of ESMA Automobile.Exposures.Pool Addition Date == <b>ESMA Automobile.Exposures.Pool Addition Date</b>
  2 KB (247 words) - 20:24, 12 February 2019
• ESMA Automobile.Exposures.Date Of Repurchase
  Date on which the underlying exposure was repurchased from the pool. | ND2|| Data collected on underlying exposure application but not loaded into the originator’s reporting syste
  1 KB (199 words) - 20:24, 12 February 2019
• ESMA Automobile.Exposures.Deposit Amount
  ...mount at the obligor-level (i.e. not underlying exposure-level) within the pool. Use the same currency denomination as that used for this underlying exposure.
  3 KB (425 words) - 20:25, 12 February 2019
• ESMA Consumer.Exposures.Pool Addition Date
  == Definition of ESMA Consumer.Exposures.Pool Addition Date == <b>ESMA Consumer.Exposures.Pool Addition Date</b>
  2 KB (247 words) - 20:26, 12 February 2019
• ESMA Consumer.Exposures.Date Of Repurchase
  Date on which the underlying exposure was repurchased from the pool. | ND2|| Data collected on underlying exposure application but not loaded into the originator’s reporting syste
  1 KB (199 words) - 20:26, 12 February 2019
• ESMA Consumer.Exposures.Deposit Amount
  ...mount at the obligor-level (i.e. not underlying exposure-level) within the pool. Use the same currency denomination as that used for this underlying exposure.
  3 KB (425 words) - 20:27, 12 February 2019
• ESMA Credit Cards.Exposures.Pool Addition Date
  == Definition of ESMA Credit Cards.Exposures.Pool Addition Date == <b>ESMA Credit Cards.Exposures.Pool Addition Date</b>
  2 KB (251 words) - 20:27, 12 February 2019
• ESMA Credit Cards.Exposures.Date Of Repurchase
  Date on which the underlying exposure was repurchased from the pool. | ND2|| Data collected on underlying exposure application but not loaded into the originator’s reporting syste
  1 KB (203 words) - 20:27, 12 February 2019
• ESMA Leasing.Exposures.Pool Addition Date
  == Definition of ESMA Leasing.Exposures.Pool Addition Date == <b>ESMA Leasing.Exposures.Pool Addition Date</b>
  2 KB (247 words) - 20:28, 12 February 2019
• ESMA Leasing.Exposures.Date Of Repurchase
  Date on which the underlying exposure was repurchased from the pool. | ND2|| Data collected on underlying exposure application but not loaded into the originator’s reporting syste
  1 KB (199 words) - 20:28, 12 February 2019
• ESMA Leasing.Exposures.Deposit Amount
  ...mount at the obligor-level (i.e. not underlying exposure-level) within the pool. Use the same currency denomination as that used for this underlying exposure.
  3 KB (425 words) - 20:29, 12 February 2019
• ESMA Esoteric Assets.Exposures.Pool Addition Date
  == Definition of ESMA Esoteric Assets.Exposures.Pool Addition Date == <b>ESMA Esoteric Assets.Exposures.Pool Addition Date</b>
  2 KB (251 words) - 20:30, 12 February 2019
• ESMA Esoteric Assets.Exposures.Date Of Repurchase
  Date on which the underlying exposure was repurchased from the pool. | ND2|| Data collected on underlying exposure application but not loaded into the originator’s reporting syste
  1 KB (203 words) - 20:30, 12 February 2019
• ESMA ABCP.Exposures.Repurchased Exposures
  ...res of this type that have been repurchased (i.e. removed from the pool of underlying exposures by being bought back) by the originator/sponsor between the immed | ND2|| Data collected on underlying exposure application but not loaded into the originator’s reporting syste
  2 KB (240 words) - 20:34, 12 February 2019
• ESMA Leasing Exposures Table
  ...ures.Original Underlying Exposure Identifier]] || ALPHANUM-1000 || Unique underlying exposure identifier. The identifier must be different from any external ide ...ng.Exposures.New Underlying Exposure Identifier|ESMA Leasing.Exposures.New Underlying Exposure Identifier]] || ALPHANUM-1000 || If the original identifier in fi
  26 KB (3,745 words) - 20:58, 12 February 2019
• ESMA ABCP Exposures Table
  ...ures.Original Underlying Exposure Identifier]] || ALPHANUM-1000 || Unique underlying exposure type identifier. The reporting entity shall not amend this unique ...ABCP.Exposures.New Underlying Exposure Identifier|ESMA ABCP.Exposures.New Underlying Exposure Identifier]] || ALPHANUM-1000 || If the original identifier in fi
  26 KB (3,882 words) - 21:02, 12 February 2019
• ESMA Consumer Exposures Table
  ...ures.Original Underlying Exposure Identifier]] || ALPHANUM-1000 || Unique underlying exposure identifier. The identifier must be different from any external ide ...r.Exposures.New Underlying Exposure Identifier|ESMA Consumer.Exposures.New Underlying Exposure Identifier]] || ALPHANUM-1000 || If the original identifier in fi
  24 KB (3,380 words) - 21:23, 12 February 2019
• ESMA Corporate Exposures Table
  ...ures.Original Underlying Exposure Identifier]] || ALPHANUM-1000 || Unique underlying exposure identifier. The identifier must be different from any external ide ....Exposures.New Underlying Exposure Identifier|ESMA Corporate.Exposures.New Underlying Exposure Identifier]] || ALPHANUM-1000 || If the original identifier in fi
  33 KB (4,716 words) - 21:22, 12 February 2019
• ESMA Commercial Real Estate Exposures Table
  ...ures.Original Underlying Exposure Identifier]] || ALPHANUM-1000 || Unique underlying exposure identifier. The identifier must be different from any external ide ...w Underlying Exposure Identifier|ESMA Commercial Real Estate.Exposures.New Underlying Exposure Identifier]] || ALPHANUM-1000 || If the original identifier in fi
  61 KB (8,609 words) - 21:22, 12 February 2019
• ESMA Residential Real Estate Exposures Table
  ...ures.Original Underlying Exposure Identifier]] || ALPHANUM-1000 || Unique underlying exposure identifier. The identifier must be different from any external ide ...Underlying Exposure Identifier|ESMA Residential Real Estate.Exposures.New Underlying Exposure Identifier]] || ALPHANUM-1000 || If the original identifier in fi
  32 KB (4,544 words) - 21:15, 12 February 2019
• ESMA Esoteric Assets Exposures Table
  ...ures.Original Underlying Exposure Identifier]] || ALPHANUM-1000 || Unique underlying exposure identifier. The identifier must be different from any external ide ...ures.New Underlying Exposure Identifier|ESMA Esoteric Assets.Exposures.New Underlying Exposure Identifier]] || ALPHANUM-1000 || If the original identifier in fi
  23 KB (3,212 words) - 21:24, 12 February 2019
• ESMA Automobile Exposures Table
  ...ures.Original Underlying Exposure Identifier]] || ALPHANUM-1000 || Unique underlying exposure identifier. The identifier must be different from any external ide ...Exposures.New Underlying Exposure Identifier|ESMA Automobile.Exposures.New Underlying Exposure Identifier]] || ALPHANUM-1000 || If the original identifier in fi
  27 KB (3,842 words) - 21:04, 12 February 2019
• ESMA Credit Cards Exposures Table
  ...ures.Original Underlying Exposure Identifier]] || ALPHANUM-1000 || Unique underlying exposure identifier. The identifier must be different from any external ide ...posures.New Underlying Exposure Identifier|ESMA Credit Cards.Exposures.New Underlying Exposure Identifier]] || ALPHANUM-1000 || If the original identifier in fi
  16 KB (2,342 words) - 21:23, 12 February 2019
• Risk Factor Disclosure
  ...inancial condition of the issuer or the credit quality of a pool of assets underlying a series of notes.
  8 KB (1,144 words) - 14:26, 29 March 2021
• Average Life
  ...orten the Average Life. For Student Loans, Credit Card, Loan etc, i.e. all Pool Backed (any bond that has securitized debt). Other bonds: Sinking Funds etc
  2 KB (396 words) - 11:08, 8 October 2019
• Weighted Average Coupon
  ...Average Coupon'''. (WAC). The weighted-average gross interest rates of the pool of mortgages that underlie a mortgage-backed security (MBS) at the time the ...speeds. In the weighted-average calculation, the principal balance of each underlying mortgage is used as the weighting factor
  1 KB (187 words) - 11:22, 14 November 2019
• Cash Asset Backed Security Instrument
  ...estments worthwhile, while also reducing various risks by diversifying the underlying assets.
  1 KB (145 words) - 13:43, 1 December 2022
• Promised Cash Flow Asset
  ...ic Cash ABS instruments may be created where the underlying asset is not a pool of securities or debt but a promised cash flow. People have securitized the
  1,005 bytes (146 words) - 11:09, 8 October 2019
• Subordinated CDO Equity
  ...not a tranche of the debt in the CDO but an equity interest in the pool of underlying. There is a very bottom piece, not a tranche, but rather called the preferr
  1 KB (210 words) - 11:09, 8 October 2019
• Agency MBS Pool
  '''Agency MBS Pool'''. A pool investment consisting of a collection of Agency MBS instruments. This pool may be used as the underlying for an agency CMO. Non agency CMOs do not exist.
  798 bytes (115 words) - 11:09, 8 October 2019
• Pass Through MBS Deal
  ...An issue of Mortgage Backed Security instruments in which payments on the pool are passed through to investors ...inds of Deal which are Tranched and Pass Thtrough, just below the level of Pool Backed Securities Deal. Investigaiton of various SMOs and REMICs and the li
  1 KB (215 words) - 11:09, 8 October 2019
• Cash Structured Finance Instrument
  ...d Finance Instrument'''. A structured finance instrument with a real asset underlying. [[Category:Pool Backed Securities]]
  710 bytes (96 words) - 11:09, 8 October 2019
• Structured Finance Instrument
  ...bank or investment company. These are traded. This is based on tranches of underlying asset pools. These are defined by the issuing bank or investment company. [[Category:Pool Backed Securities]]
  1 KB (158 words) - 11:09, 8 October 2019
• Pool Backed Security Instrument
  ...have an underlying pool of debt securities, as distinct from an underlying pool of loan products such as mortgages, credit cards or loans. [[Category:Pool Backed Securities]]
  1 KB (155 words) - 11:09, 8 October 2019
• Pass Through MBS Instrument
  ...nstrument'''. A security in which the cash flows from the underlying asset pool are passed through to the investor by way of redemption payments. A servici
  952 bytes (136 words) - 16:44, 1 December 2022
• Residential MBS
  ...gages. The performance of the security is linked to the performance of the underlying loans in potentially quite intricate ways. ...hat is distinct investable bond instruments whose access to the underlying pool cashflows is defined in a non-linear way.
  2 KB (255 words) - 13:12, 1 December 2022
• Retail Asset Pool Creation Process
  ...may then be used in the issue of securities based on those asset pools as underlying.
  764 bytes (112 words) - 11:11, 8 October 2019
• FFIEC Down Prepay Speed
  ...''' denotes the [[Public Securities Association]] (PSA) speed used for the underlying collateral for cash-flow calculations in the "down 300" scenario. ...ayment models, so each of these will refer to a sub-type of the term "Loan Pool Prepayment Model".
  994 bytes (140 words) - 16:41, 1 December 2022
• Pool Paydown Rate
  '''Pool Paydown Rate'''. The rate at which the pool is paying down. ...he case of default but for non agency these mortgages are removed from the pool if and when a mortgagee defualts.
  1 KB (181 words) - 13:45, 1 December 2022
• CBO Instrument
  ...l. The organization creating and promoting the structure usually holds the underlying equity and may also collect a fee. Junk bonds are typically not investment grade, but because they pool several types of credit quality bonds together, they offer enough diversifi
  1 KB (198 words) - 11:22, 8 October 2019
• CDO Pool
  ...Pool'''. A pool of CDO securities. The underlying of the CDO Squared is a pool of CDO instruments.
  678 bytes (100 words) - 11:22, 8 October 2019
• ABSCDO Instrument
  '''ABSCDO Instrument'''. CDO where the underlying asset pool is ABS.
  641 bytes (91 words) - 11:22, 8 October 2019
• CDO Squared Instrument
  '''CDO Squared Instrument'''. CDOs where the underlying asset pool is CDOs.
  648 bytes (92 words) - 11:22, 8 October 2019
• Hybrid CDO
  ...So for example an issiue of $550 million may have $500 million in an asset pool and an additional $50 million created via a synthetic asset.
  893 bytes (134 words) - 11:22, 8 October 2019
• Commercial MBS
  ...rtgage-Backed Securities, which are trust certificates (bonds) backed by a pool of commercial mortgage loans. ...loan). The performance of the security is linked to the performance of the underlying loans in potentially quite intricate ways.
  1 KB (163 words) - 00:02, 28 January 2020
• STS Criterion 3. Eligibility criteria no active portfolio management
  The underlying exposures should at all times be subject to predetermined, clear and well d ...ria that are no less strict than those applied in the initial selection of underlying exposures at the closing date.
  4 KB (532 words) - 20:45, 12 November 2019
• STS Criterion 4. Homogeneity enforceable obligations full recourse to obligors period payment streams
  The underlying exposures should meet the following criteria: * The synthetic securitisation should be backed by a pool of underlying exposures that are homogeneous in terms of asset type, subject to condition
  2 KB (218 words) - 20:46, 12 November 2019
• STS Criterion 8. Self-certified loans
  ...securitisations where the underlying exposures are residential loans, the pool of loans should not include any loan that was marketed and underwritten on
  607 bytes (80 words) - 20:46, 12 November 2019
• Loan or Advance against Inventory
  ...into a financing agreement and a security agreement covering title to the underlying inventory and covering warehouse receipts (evidencing storage of the goods ...d, a ‘borrowing base’ may be established whereby an ongoing collateral pool is established against which a maximum advance is computed
  7 KB (1,087 words) - 12:41, 8 February 2020
• BCBS 269
  ...h to determine the capital requirement based on the risk of the underlying pool of exposures, including expected losses.</li> ...an be used, a standardised approach would be applied. This is based on the underlying capital requirement that would apply under the standardised approach for cr
  4 KB (630 words) - 14:25, 9 April 2021
• BCBS D303
  * Keywords: [[Underlying Pool]], [[SEC-IRBA]], [[Tranche]], [[SEC-SA]], [[SEC-ERBA]], [[Credit Risk]]
  3 KB (490 words) - 11:47, 26 March 2021
• BCBS D304
  <p>Criteria promoting <strong>simplicity</strong> refer to the homogeneity of underlying assets with simple characteristics, and a transaction structure that is not ...transparency</strong> provide investors with sufficient information on the underlying assets, the structure of the transaction and the parties involved in the tr
  4 KB (550 words) - 12:38, 9 June 2021
• BCBS WP22
  ...rity for the underlying pool of securitised loans, the MSFA is based on an underlying Expected Shortfall, mark-to-market framework for setting regulatory capital * Keywords: [[Credit Risk]], [[Underlying Pool]], [[Attachment Point]], [[Seniority]], [[Expected Loss]], [[Tranche]], [[B
  2 KB (292 words) - 11:50, 26 March 2021
• BCBS WP23
  ...oss rate (EL). Given an assumed risk profile for an underlying homogeneous pool of exposures - characterised by maturity, probability of default, loss give
  3 KB (359 words) - 11:50, 26 March 2021
• FM SFLP Template
  ...D|Reference Pool ID]] || POOL_ID || A unique identifier for the reference pool. ...paid principal balance of the loan as of the cut-off date of the reference pool.
  30 KB (4,662 words) - 12:30, 13 May 2024