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
The pool is 1,000,000 of performing residential real estate mortgages. However, delinquency data is missing for 40,000 of these exposures — 4% of the pool. The pool is structured into three tranches —
Comments