(Z-15-1) Table (new): Premium stand-alone by unit, sum, and total, and natural allocation by distortion.
Unit
Cat
NonCat
SoP
Total
Approach
Distortion
Stand-Alone
CCoC
34.98
83.84
118.8
115.2
PH
33.75
86.36
120.1
115.2
Wang
32.82
87.5
120.3
115.2
Dual
31.83
88.59
120.4
115.2
TVaR
31.15
89.17
120.3
115.2
Blend
34.48
85.32
119.8
115.2
Allocated
CCoC
40.51
74.64
115.2
PH
32.89
82.26
115.2
Wang
31.26
83.89
115.2
Dual
29.68
85.48
115.2
TVaR
28.69
86.46
115.2
Blend
35.58
79.59
115.2
(Z-15-2) Table (new): Progression of premium benefit by distortion. Differences between allocated and stand-alone, the implied premium reduction, and the split by unit.
View
Pooling ยค Benefit
Pct Premium Reduction
Pct of Benefit
Unit
Cat
NonCat
Total
Cat
NonCat
Total
Cat
NonCat
Total
Distortion
CCoC
-5.535
9.197
3.662
-15.8%
11.0%
3.1%
-151%
251%
100%
PH
0.857
4.105
4.962
2.5%
4.8%
4.1%
17%
83%
100%
Wang
1.557
3.616
5.173
4.7%
4.1%
4.3%
30%
70%
100%
Dual
2.152
3.118
5.271
6.8%
3.5%
4.4%
41%
59%
100%
TVaR
2.459
2.710
5.170
7.9%
3.0%
4.3%
48%
52%
100%
Blend
-1.100
5.740
4.639
-3.2%
6.7%
3.9%
-24%
124%
100%
(Z-BL-1) Figure (new): Calibrated blend distortion, compard to CCoC and naive blend. The x marks show bond default and pricing data used in calibration. Middle plot zooms into 0 < s < 0.1. Righthand plot uses a log/log scale. PH distortion added for comparison.
(Z-TR-1) Table (new): Asset tranching with S&P bond default rates and a 25.0% debt to total capital limit.
Quantity
Amount
Pct Assets
Attaches
Pr Attaches
Exhausts
Pr Exhausts
Cumul Pct
Tranche
BBB+
8.17
3.1%
259.03
0.0012
267.20
0.0010
100.0%
BBB
23.52
8.8%
235.52
0.0021
259.03
0.0012
96.9%
BBB-
6.33
2.4%
229.19
0.0025
235.52
0.0021
88.1%
Equity
114.04
42.7%
115.15
0.1821
229.19
0.0025
85.8%
Margin
15.21
5.7%
99.95
0.4171
115.15
0.1821
43.1%
EL
99.95
37.4%
0.00
1.0000
99.95
0.4171
37.4%
(Z-TR-2) Figure (new): capital tranching with a 25.0% debt to total capital limit.
