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Old 03-18-2017, 02:08 PM
Imdw Imdw is offline
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Default VM20 Asset Assumptions

Reading section 9F and treatment of not rated assets is confusing me.


9F1 through 9F4 makes sense, convert the ratings to the 1-21 PBR rates, and calculate any cost factors involved, everything's prescribed, just plug and chug.


9F5 is what confuses me regarding treatment of not rated (NR) assets. Does this mean that:

1. NR assets are excluded from the pool when doing the 9F1-9F4 calculations?

2. NR assets have no default cost, it's simply rolled into the prescribed net yield formula?
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