Credit exposure

An asset swap is a synthetically created structure combining a fixed coupon bond with a fixed-floating IRS, which then transforms the bond s swap fixed rate payments to floating rate. The investor retains the original credit exposure to the fixed... 

Possible significant daylight credit exposure on the transaction if securities cannot settle versus payment. 

The cash proceeds in a repo are typically no more than the market value of the collateral. This minimises credit exposure by equating the value of the cash to that of the collateral. The market value of the collateral is calculated at its dirty price, not clean price—that is, including accrued interest. This is referred to as accrual pricing. To calculate the accrued... 

Where credit exposure is spread across geographic and industry sectors, the risk associated with localised events or problems in any individual sector will be much reduced. Where concentrations do exist, it is important to understand the underlying factors that will affect the performance of those loans. 

Portfolio quality and inherent diversification The portfolio of European ABS represents credit exposure to different consumer and corporate sectors, across multiple countries and multiple asset managers/ servicers. The portfolio on closing had an average rating of Baa2/BBB. 

The most prominent impediment to swap market liquidity is swap counterparty credit exposure, which is balance-sheet intensive, in that it is a bilateral contract. The risk is the potential loss to a counterparty of the present value of a swap position if a swap party defaults. Therefore, parties to a swap transaction must be confident in the credit quality of... 

To reduce their credit exposure. By buying credit default swaps, banks can reduce their credit exposure on individual assets or sector concentrations. This tactic is especially useful when the positions in question cannot be sold because of relationship or tax issues. 

Note holders expected losses are determined by considering the impact on their cash flows of the credit losses—losses from loan defaults— occurring in various scenarios, taking into account how such losses are allocated to the issue s tranches. The cash flows to the note holders depend on whether a default has occurred and the size of the resulting loss. The severity of the loss equals the par value of the note less the recovery rate. The probability of default may be inferred from the rating of the underlying credit exposures. Expected losses are calculated using Monte Carlo techniques, which simulate thousands of scenarios and cash flows and so require sophisticated computational models. 

To diversify their credit portfolios. Banks may wish to take on additional credit exposure by selling credit protection on assets they own to other banks or investors, thus enhancing their portfolio tetutns. They may sell derivatives to non-bank clients who don t want to buy the associated assets directly but do want exposute to the ctedit tisk of the assets. In such a transaction, the bank acts as a credit intermediary. 

Radiation Dosimetry. Radioactive materials cause damage to tissue by the deposition of energy via their radioactive emissions. Thus, when they are internally deposited, all emissions are important. When external, only those emissions that are capable of penetrating the outer layer of skin pose an exposure threat. The biological effects of radiation exposure and dose are generally credited to the formation of free radicals in tissue as a result of the ionization produced (17). 

All heat absorption from fire exposure is considered as latent heat and no credit is taken for the sensible heat capacity of the fluid in the vessel. The vapor release rate W is calculated from ... 

Tools are available to assist in comparing the risk associated with two or more different processes. For example, the first sheet of the Dow Fire and Explosion Index (FEI) (Dow, 1994b) ranks the safety characteristics of the process from a fire/explosion standpoint, without taking credit for protective and mitigation features. The Dow Chemical Exposure Index (CEI) (Dow, 1994a) and Id s Mond Index (ICI, 1985 Tyler, 1985) are other ranking tools. 

Depressuring devices may be used, but no credit for their use shall be allowed in sizing safety valves for fire exposure,... 

If the area under the vessel is provided with adequate drainage capability credit may also be taken for a reduced heat input due to the runoff of any flammable liquids producing the fire exposure. Usually drainage requirements to NFPA 30 (Flammable and Combustible Liquids Code), would have to be met, namely 1 percent to a 15.2 meter (50 ft.) radius. Published literature suggests that an uninsulated vessel rupture time could be increased 100% for a highly effective drainage system. 

The historical context of uncertainty estimation in exposure assessment can be traced to the convergence of developments in multiple disciplines. For example, Stanislaw Ulam and John von Neumann are typically credited with creation of the Monte Carlo method for simulation of random events in 1946 (see Metropolis Ulam, 1949 Eckhardt, 1987). However, a paper by Lord Kelvin in 1901 appears to apply concepts similar to Monte Carlo to a discussion of the Boltzmann equation, and there are other precedents (Kelvin, 1901). The modem incarnation of Monte Carlo was first used for prediction of neutron release during nuclear fission and has since been applied in a wide variety of disciplines. 

See New York Times Index citation on "Banque de Credit Internationale" and "Tibor Rosenbaum," particularly covering the period of September through December, 1974, for numerous references to the exposure of Bank Hapoalim and related institutions involvement in money laundering see also Katherine Burdman, "The British Crown s Secret Financial Capability Israeli Banking," Executive Intelligence Review 44 (IMS). 

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