The pool here is larger than the total face value of the issued notes: the extra collateral sits beneath all rated tranches, absorbs the first losses of the pool, and lifts every tranche's attachment
In this scenario, the underlying pool is itself composed of securitisation tranches — making this a re-securitisation. The regulation treats re-securitisations more conservatively than standard transa
In this scenario, 8% of the pool has unknown delinquency — the bank cannot confirm whether those exposures are current or in arrears. The regulation sets a 5% unknown-delinquency threshold: stay below
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