Calcs — Zarik Khimani

Zarik Khimani | GlossaryCredit & Performance

      ELExpected credit loss based on PD and LGD.
    
      CFADSCash Flow Available for Debt Service.
    
      DSCRDebt Service Coverage Ratio.
    
      LTVTotal loan amount relative to collateral value.
    
      WA LTVPool-level weighted average LTV statistic.
    
      DQ RatioShare of receivables that are past due.
    
      Default RatioReceivables written off ÷ receivables balance.
    
      MDRMonthly default rate.
    
      CDRCumulative defaults ÷ original balance.
    
      ADRAnnualized version of MDR.
    
      Cum DefaultsTotal defaults to date vs limits.
    
Securitization & Structuring

      OCOvercollateralization.
    
      WACWeighted Average Coupon.
    
      WSFCWeighted Securitization Funding Cost.
    
      ESExcess Spread.
    
      PPRPrepayment Rate.
    
      SMMSingle Monthly Mortality.
    
      CPRConstant Prepayment Rate.
    
      PSAPublic Securities Association benchmark.
    
      APSAbsolute Prepayment Speed.
    
      SDAStandard Default Assumption.
    
      WAMWeighted Average Maturity.
    
      WALWeighted Average Life.
    
      Loss CurvesLoss accumulation over time.
    
      Leverage RatioDebt relative to equity capital.
    
      Basel RatioCapital Ratio.
    
      ROEReturn on Equity.
    
      IRRInternal Rate of Return.
    
      MOICMultiple on Invested Capital.
    
CLO Related

      IC TestInterest Coverage Test.
    
      OC TestOvercollateralization Test.
    
      Conc. LimitCollateral Concentration Limit.
    
      Borrower CapSingle Borrower Cap.
    
      Industry Div.Industry Diversification.
    
Returns & Yield Calculations

      Arb SpreadArbitrage Spread.
    
      Yield PickupIncremental yield gain.
    
      YTWYield to Worst (Conditional).
    
      Residual IRRResidual cash for final IRR.
    
Risk & Market Metrics

      Default RateRatings-based default rate.
    
      Risk RetentionSkin in the game.
    
      Sharpe RatioRisk-adjusted performance.
    
      Spread DurationSpread sensitivity.
    
Fund Finance & Capital Solutions

      BBBorrowing Base.
    
      AvailabilityRemaining draw capacity.
    
      Blended ARBlended Advance Rate.
    
      Uncalled CoverageUncalled capital supporting debt.
    
      Debt-to-UncalledDebt ÷ Uncalled Commitments.
    
      Investor Conc.Concentration Test.
    
      WAARWeighted Average Advance Rate.
    
      NAV-to-CostCurrent value vs cost.
    
      Mandatory PrepayRequired debt paydown.
    
      Commitment Cov.Undrawn commitments vs debt.
    
      BCCRBlended Collateral Coverage Ratio.
    
      Blended LeverageHybrid leverage measure.
    
      CFO LTVLoan-to-Value for CFOs.
    
      Liquidity BufferLiquid assets ÷ Total assets.
    
      Equity Dist. CapEquity Distribution Cap Test.
    
TITLE
Definition
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Calculation
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RETURN
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