Credit
Loan pools and structured credit: what a pool collects, and what reaches a note holder.
What it models
A pool amortizing to schedule while prepaying and defaulting against market-standard curves — CPR, SMM, PSA and SDA — with recoveries arriving on a lag and a servicing fee taken off the top. Fixed and floating coupons, the latter reset off a series-shaped assumption.
Contracts
Declare a contract and the pack expands it into the streams those terms imply, each classified so it lands on the right line of a statement.
| Contract | Terms it reads | Streams it emits |
|---|---|---|
credit.loan | abs_speed, age_months, cdr, cpr, index, interest_rate, make_whole_floor, make_whole_rate, margin, name, payment_frequency, prepay_penalty_rate, principal, psa_speed, rate_cap, rate_floor, sda_speed, servicing_fee, severity, subject | credit.loan.interest[.suffix], credit.loan.defaults[.suffix], credit.loan.sched_principal[.suffix], credit.loan.prepay[.suffix], credit.loan.recoveries[.suffix], credit.loan.servicing[.suffix], credit.loan.penalty[.suffix], credit.loan.bullet[.suffix], credit.loan.zero_balance[.suffix], credit.loan.advance[.suffix] |
credit.servicing | advance_rate, fee_account, fee_rate, reimbursement_account, subject | credit.servicing.advance_interest[.suffix] |
credit.guarantee | fee, limit | credit.guarantee.fee[.suffix] |
credit.purchase | price | credit.purchase.price[.suffix] |
credit.participation | share | credit.participation.interest[.suffix], credit.participation.principal[.suffix] |
credit.note | coupon, face, index, interest_account, margin, payment_frequency, principal_account, rate_cap, rate_floor, subject |
A contract can be declared more than once by giving it a suffix, so the pieces stay separable in the results.
Reporting
Three views of one pool, because the asset class has more than one convention: a collections statement, an agency-style remittance report splitting principal scheduled from unscheduled, and a statement of operations reporting total and net investment income.
Related
- Statements — the pro forma this pack produces
- Metrics — what it reports over the whole model
- Validation — the reference models it is gated against