CDS, CDX, RPA and SRT are economically the same trade — pay a premium, absorb default losses on a reference obligation. What changes is the underlying (single name, index, derivative exposure, loan pool) and whether losses get tranched. This tool prices all four with the same engine.
| # | Loan ID | Notional ($MM) | PD 1Y (bps) | LGD (%) | Sector | Rating | |
|---|---|---|---|---|---|---|---|
| Pool totals | — | — | — | — | |||
| Tranche | Attach % | Detach % | Held |
|---|
| Tranche | Attach | Detach | Width | Notional | EL | EL % | PV(loss) | PV(annuity) | Fair spread |
|---|
Default model. One-factor Gaussian copula. For each loan i, the latent variable is X_i = √ρ · M + √(1−ρ) · Z_i where M is the common factor and Z_i the idiosyncratic shock, both standard normal.
Each path produces a default time τi per loan. If τi < T, the loan defaults and contributes loss = Notional × LGD.
Tranche loss. For attach A and detach D, tranche loss = max(0, min(L, D) − A) applied at the time of each loss. Tranche notional amortises by realised losses; remaining notional accrues premium.
Why this prices all four products. CDS = single name, no tranching. CDX = pool of names, full pool exposure (attach 0% / detach 100%). RPA = same engine on counterparty EAD instead of bond notional. SRT = tranched. The shared DNA is PV(premium) = PV(expected loss) on a credit curve. Tranching adds correlation as a first-order driver — that's the SRT-specific complexity.
Capital relief. Indicative RWA savings assuming Basel SEC-IRBA-style risk weights on the retained senior, full transfer of the sold mezz, and a CET1 target ratio you select. Significant Risk Transfer requires at least 50% of mezz risk transferred per CRR Article 245 — flagged as pass/fail.
For institutional decisions, mark-to-market this engine against your dealer pricing and validate against your firm's SEC-IRBA/SEC-SA calibration. Reach out via rijeka.app for a validation engagement.