Default Stress Factor definition
Default Stress Factor means 2.0.
Default Stress Factor is a multiplier set in function of targeted credit rating for the Default Reserve Rate, in accordance with Standard & Poor’s (“S&P”) methodology. The applied Default Stress Factor is listed in Enclosure IV, Part II. • The ‘Default Ratio’ is the greatest three-month moving average of the Monthly Default Ratio over the previous 12 months. • The ‘Monthly Default Ratio’ is calculated as follows: • Where • the “Defaulted Receivables Proxy” includes the receivables between W and W plus 30 days past due; “W” is determined by the Transaction Administrator in accordance with a decrease in the probability of payment of the aged receivables. The applied “W” is listed in Enclosure IV, Part II. • The “Sales Generating the Defaulted Receivables Proxy” are the sales of the Data Period during which the receivables included in the Defaulted Receivables Proxy were generated; i.e. the sales generated in the Data Period which ended on or about “X” days before the Cut Off Date of the relevant Calculation Date. • “X” is equal to the rounding up or down to the closest multiple of 30 of the sum of (i) the Weighted Average Contractual Payment term of the purchased receivables (in days)-as determined by the Transaction Administrator following the initial due diligence and reviewed during (and possibly adjusted as a result of) the annual due diligence and/or the due diligence carried out in accordance with Clause 16.1.3.(B) of this Agreement–and (ii) W. The applied Weighted Average Contractual Payment Term is listed in Enclosure IV, Part II. • The Loss Horizon Ratio of a Data Period is calculated as follows:
Default Stress Factor means 1.5; provided, however, that after the occurrence of a Ratings Downgrade Event, the “Default Stress Factor” shall be 2.0.
Examples of Default Stress Factor in a sentence
B.1. The calculation method for the Default Reserve Rate The Default Reserve Rate is the higher of • the Default Reserve Floor; and • Default Ratio * Loss Horizon Ratio * the Default Stress Factor • The ‘Default Reserve Floor’ is the minimum - expressed as a percentage - level of the ‘Default Reserve Rate’.
The Default Reserve Rate is the higher of • the Default Reserve Floor; and • Default Ratio * Loss Horizon Ratio * the Default Stress Factor • The ‘Default Reserve Floor’ is the minimum - expressed as a percentage- level of the ‘Default Reserve Rate’.
More Definitions of Default Stress Factor
Default Stress Factor is a multiplier set in function of the targeted credit rating for the Default Reserve Rate, in accordance with Standard & Poor’s (“S&P”) methodology. The “Default Ratio” is the greatest of the 12 consecutive three-month moving averages of the Monthly Default Ratios ending on the immediately preceding Cut-off Date
Default Stress Factor is a multiplier set in function of targeted credit rating for the Default Reserve Rate, in accordance with Standard & Poor’s (“S&P”) methodology. The applied Default Stress Factor is listed in Enclosure IV bis. • The ‘Default Ratio’ is the greatest three-month moving average of the Monthly Default Ratio over the previous 12 months. • The ‘Monthly Default Ratio’ is calculated as follows: • Where • the “Defaulted Receivables Proxy” includes the receivables between W and W plus 30 days past due ; “W” is determined by the Transaction Administrator in accordance with a decrease in the probability of payment of the aged receivables. The applied “W” is listed in Enclosure IV bis. • The “Sales Generating the Defaulted Receivables Proxy” are the sales of the Data Period during which the receivables included in the Defaulted Receivables Proxy were generated; i.e. the sales generated in the Data Period which ended on or about “X” days before the Cut Off Date of the relevant Calculation Date. • “X” is equal to the rounding up or down to the closest multiple of 30 of the sum of (i) the Weighted Average Contractual Payment term of the purchased receivables (in days) - as determined by the Transaction Administrator following the initial due diligence and reviewed during (and possibly adjusted as a result of) the annual due diligence - and (ii) W. The applied Weighted Average Contractual Payment Term is listed in Enclosure IV bis. • The Loss Horizon Ratio of a Data Period is calculated as follows: