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(2)计算群组间的现金流分配:
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dist1=CalcSeniorDist(period,1)
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dist2=CalcSeniorDist(period,2)
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(3)计算群组内的现金流分配:
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1703475108
rem1=CashPipes(“G1”).PayPipe(period,dist1,fGroupPercent)
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1703475110
rem2=CashPipes(“G2”).PayPipe(period,dist2,fGroupPercent)
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(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:
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rem2=CashPipes(“G1”).PayPipe(period,rem2,fGroupPercent)
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rem1=CashPipes(“G2”).PayPipe(period,rem1,fGroupPercent)
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1703475118
4.次级证券现金流分配步骤
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(1)计算支持证券的本金现金流总额:
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次级证券本金支持t=总的本金支付t-优先级本金支付t
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Subordinate PDA (t)=PDA (t)-Senior PDA (t)
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(2)计算信用支持目标:
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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
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1703475130
Subordination Target (t,seniority)=Subordination Target Percentage (seniority)*Collateral Balance(t)
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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)
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1703475134
Subordinate Principal Distribution Amount(t,seniority)=minimum(Subordinate PDA(t),Bond Balance(t,seniority))
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(3)加总所有级别比目标证券高的证券的余额(设为S)。
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1703475138
(4)加总所有级别比目标证券低的证券的余额(设为J)。
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(5)计算证券本金现金流的分配:
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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)
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Subordinate Principal Distribution Amount (t,seniority)=minimum (Subordinate PDA(t),Bond Balance (t,seniority))
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5.触发机制(Triggers)
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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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