Credit
Loan pools and structured credit: what a pool collects, and what reaches a note holder.
What it models
A pool amortising 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 declared curve.
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.pool_level_pay | abs_speed, age_months, balance, cdr, cpr, payment_frequency, prepay_penalty_rate, psa_speed, rate, sda_speed, servicing_fee, severity | credit.pool.interest[.suffix], credit.pool.sched_principal[.suffix], credit.pool.prepay[.suffix], credit.pool.recoveries[.suffix], credit.pool.servicing[.suffix], credit.pool.penalty[.suffix] |
credit.pool_io_bullet | abs_speed, age_months, balance, cdr, cpr, payment_frequency, prepay_penalty_rate, psa_speed, rate, sda_speed, servicing_fee, severity | credit.pool.interest[.suffix], credit.pool.prepay[.suffix], credit.pool.bullet[.suffix], credit.pool.recoveries[.suffix], credit.pool.servicing[.suffix], credit.pool.penalty[.suffix] |
credit.pool_float_io_bullet | abs_speed, age_months, balance, cdr, cpr, index_curve, margin, payment_frequency, prepay_penalty_rate, psa_speed, rate_cap, rate_floor, sda_speed, servicing_fee, severity | credit.pool.interest[.suffix], credit.pool.prepay[.suffix], credit.pool.bullet[.suffix], credit.pool.recoveries[.suffix], credit.pool.servicing[.suffix], credit.pool.penalty[.suffix] |
credit.purchase | price | credit.purchase.price[.suffix] |
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