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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 == ESMA Residential Real Estate.Exposures.Pool Addition Date

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 == ESMA Residential Real Estate.Exposures.Pari Passu Underlying Exposures

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 == ESMA Commercial Real Estate.Exposures.Pool Addition Date

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 == ESMA Corporate.Exposures.Pool Addition Date

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 == ESMA Automobile.Exposures.Pool Addition Date

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 == ESMA Consumer.Exposures.Pool Addition Date

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 == ESMA Credit Cards.Exposures.Pool Addition Date

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 == ESMA Leasing.Exposures.Pool Addition Date

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 == ESMA Esoteric Assets.Exposures.Pool Addition Date

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