打字猴:1.7034751e+09
1703475100 (2)计算群组间的现金流分配:
1703475101
1703475102 dist1=CalcSeniorDist(period,1)
1703475103
1703475104 dist2=CalcSeniorDist(period,2)
1703475105
1703475106 (3)计算群组内的现金流分配:
1703475107
1703475108 rem1=CashPipes(“G1”).PayPipe(period,dist1,fGroupPercent)
1703475109
1703475110 rem2=CashPipes(“G2”).PayPipe(period,dist2,fGroupPercent)
1703475111
1703475112 (4)如果现金流有短缺,计算群组间多余现金流的分享和额外的分配:
1703475113
1703475114 rem2=CashPipes(“G1”).PayPipe(period,rem2,fGroupPercent)
1703475115
1703475116 rem1=CashPipes(“G2”).PayPipe(period,rem1,fGroupPercent)
1703475117
1703475118 4.次级证券现金流分配步骤
1703475119
1703475120 (1)计算支持证券的本金现金流总额:
1703475121
1703475122 次级证券本金支持t=总的本金支付t-优先级本金支付t
1703475123
1703475124 Subordinate PDA (t)=PDA (t)-Senior PDA (t)
1703475125
1703475126 (2)计算信用支持目标:
1703475127
1703475128 次级信用支持目标(t,优先级)=信用支持目标百分比优先级×基础资产面值t
1703475129
1703475130 Subordination Target (t,seniority)=Subordination Target Percentage (seniority)*Collateral Balance(t)
1703475131
1703475132 次级证券本金支付金额t=最小值(次级证券本金支付t,证券本金金额t)
1703475133
1703475134 Subordinate Principal Distribution Amount(t,seniority)=minimum(Subordinate PDA(t),Bond Balance(t,seniority))
1703475135
1703475136 (3)加总所有级别比目标证券高的证券的余额(设为S)。
1703475137
1703475138 (4)加总所有级别比目标证券低的证券的余额(设为J)。
1703475139
1703475140 (5)计算证券本金现金流的分配:
1703475141
1703475142 次级证券本金支付金额t=最小值(次级证券本金支付t,证券本金金额t)
1703475143
1703475144 Subordinate Principal Distribution Amount (t,seniority)=minimum (Subordinate PDA(t),Bond Balance (t,seniority))
1703475145
1703475146 5.触发机制(Triggers)
1703475147
1703475148 该交易中设有多个触发机制,来在特殊情况下改变常规现金流的分配顺序 (本章节将不会包括此机制的建模细节)。
1703475149
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