Collateral Variables at the Segment level, allow users to account for heterogeneity within the portfolio and to adequately transfer it to the Bonds via the Custom Waterfall. For instance, it is common to want to segment a collateral portfolio by its credit attributes and then partition the payments, allocations and triggers across the Tranches in the Bond respectively.
Detailed Functionality Description:
To get started with segmented Collateral Variables, users must define the heterogeneity within the Collateral Editor Tab via the Cash Flow Group Field: this can be found within the Loan editor or the Solar editor. In the example below, the loans have been segmented by FICO: High, Medium and Low. Defining Segments in the Collateral Editor:
Once the user has defined the segments, they can navigate to the Bonds side, more specifically to a Dynamic Expression, where attributes can be referenced from the collateral categories (loans_cf, solar_project_cf) across the defined segments. There are two ways in which the user can accomplish this:
1. Select the “built-in” library, the loans_cf collateral category and which segment’s attributes are wanted to reference as a variable in the Dynamic Expression. Next the user can double-click on the variable they choose to pull into the expression.
For an experienced user, leveraging the auto-complete syntax could be useful and append the Cash Flow Group they are interested in using the “$” sign: a list of filtered options will ensue.
2. The user can always reference the entire portfolio via the “All segments” option, which works in the same way as the old T-REX collateral variables before this release.
Warning: Users must note, if they have structured a waterfall based on segmented Collateral Variables and change the definition of the segments in the Collateral editors, the values returned by the variables will change accordingly. However, if a user changes the definition in a way in which a Cash Flow Group segment no longer exists, then T-REX will point the user to any variable that is still referencing the obsolete segment at Runtime, then asking the user to change it to a relevant segment.