An asset originated date at 2022-1-1, with term of 24 months, remain term =12
then , defaults will be started to project from 2023-1-1. ( because remain term is 12 )
if cutoff date is 2023-6-1, all cashflow ( P & I ) will be aggregated into SPV but the defaults balance are left out:
When calculate cumulative defaults ,calculate period starts from 2023-1-1 instead of 2022-1-1, which leads to under estimate total default balance
Affect Scope
it will make a different if projection date( 2023-1-1) is far behind the cutoff date (2023-6-1)
Background
An asset originated date at 2022-1-1, with term of 24 months, remain term =12 then , defaults will be started to project from 2023-1-1. ( because remain term is 12 )
if cutoff date is 2023-6-1, all cashflow ( P & I ) will be aggregated into SPV but the defaults balance are left out:
When calculate cumulative defaults ,calculate period starts from 2023-1-1 instead of 2022-1-1, which leads to under estimate total default balance
Affect Scope
it will make a different if projection date( 2023-1-1) is far behind the cutoff date (2023-6-1)