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modeling structured finance cash flows with microsoft excel a step by step guide phần 5

các đường cong tính toán trả trước chỉ nên được sử dụng cho các khoản vay thế chấp lãi suất cố định từ công ty đó. Sự khác biệt này thậm chí nên được như dạng hạt như các loại chính xác thế chấp, vì tỷ lệ thanh toán trước cho khoản thế chấp là rất đặc biệt đối với các loại sản phẩm. | Delinquency Default and LossAnalysis 69 ANALYZING HISTORICAL LOSS CURVES Vintage loss curves created using a static methodology have two important characteristics that should be identified severity and timing. The severity is the final cumulative loss percent per vintage. This is how much of the original balance of a particular vintage is assumed to be defaulted and uncollectible. The timing is how much loss has been taken by a certain point in time ending at the final maturity of the assets. If the assets in the Model Builder example had final maturities of 24 months then the timing of loss for any period can be determined by dividing the cumulative loss percentage in that period by the final cumulative loss percentage period 24 . Loss timing is important to understand because it can have profound effects on structured transactions. If the loss timing is front loaded which means that losses take place quickly the assets will erode quickly. This directly impacts excess spread in a transaction which is the first source of protection against loss. A transaction modeled with a front-loaded curve versus a regular curve will require more enhancement since there is less time for excess spread to generate. Back-loaded curves where losses take place near the end of the tenor of the assets also have special effects on structured transactions. If loss does not take place until late in the transaction enhancement needs to be sized and kept for those periods. If a transaction was modeled with a regular loss curve and losses were actually back-loaded important structural features such as triggers and reserve accounts might be inadequate to protect against the back-loaded loss. MODEL BUILDER 4.2 CONTINUED 1. Label cell AC38 Weighted Avg Curve. To get a summary of the severity of the historical loss curves a weighted average curve needs to be created. This is done using the following formula starting in AC39 SUMPRODUCT C39 OFFSET B39 0 A39 C 38 OFFSET B 38 0 A39 SUM C 38 OFFSET B