SRT Feature enhancement

[yellowbean]

SCIRegulatoryCapitalReliefResearchReport_Updated.pdf

SCI_CRT_Premium_Insurer involvement_in_SRT_Dec_20.pdf

Help Wanted

Some professional investing exp in SRT is welcome !

[yellowbean]

SRT_Example_0227.zip

[yellowbean]

Note: current implementation shall be on absbox level as

• there isn't much public reference material to support development on Hastructure level
• I'm assuming the as a private credit hedge tool, structure/cashflow is evolving
• liquidity provider require quite a fuzzy configuration to build up the cashflow model. The question mark is : whether need to create a separate entity as SRT investor or just extending the liquidity provider. A higher level of call is , either put complexity on deal structure (add more components) or add complexity on liquidity provider

[yellowbean]

a work around here : https://absbox-doc.readthedocs.io/en/latest/nbsample/SRT_Example_Native_Prod.html

[yellowbean]

Occasional Paper Series No 23 The European significant risk transfer securitisation market .pdf

To do, add sample for 3 tranches

• senior/mezz pro-rata, then junior tranche

  • triggers ?( switch pro-rata -> sequential )

• Model un-funded investor:

  • Downgrade trigger ?