The pool is 1,000,000 of performing residential real estate mortgages. However, delinquency data is missing for 40,000 of these exposures — 4% of the pool. The pool is structured into three tranches — junior (first-loss), mezzanine, and senior — and the originator retains the junior and senior while selling the mezzanine. Because the unknown delinquency share is below the 5% regulatory threshold, SEC-SA remains available, but the regulation requires KA to be adjusted upward f

The pool is 1,000,000 of residential real estate mortgages, of which 950,000 (95%) have defaulted. This is a non-performing exposure (NPE) portfolio. The pool is structured into three tranches — junior (first-loss), mezzanine, and senior — and the originator retains the junior and senior while selling the mezzanine. The scenario shows how an extreme default share drives KA so high that even the senior tranche, attaching at 75%, cannot escape a meaningful capital charge.

The pool is 1,000,000 of residential real estate mortgages, of which 150,000 (15%) have defaulted. The tranche structure is a classic three-layer waterfall: junior (first-loss), mezzanine, and senior. The originator retains the junior and senior; the mezzanine is sold. The scenario focuses on how the defaulted share W elevates KA — the reference capital rate — and what that means for each tranche.