Future Modeled Loss Amount calculation Clause Samples

Future Modeled Loss Amount calculation a. Evaluate the delinquency profile of the Reference Pool based on the Payment Date Statement as of the month in which the Insolvency Event occurred, such that all Reference Obligations’ status (Current, Delinquent up to 90 days, Delinquent 91 to 180 days, Delinquent 181 to 360 days, Delinquent more than 360 days) (the “Reference Pool Status”) are identified and the respective UPB of each category of Reference Pool Status is aggregated respectively (the “Reference Pool Status UPB”). b. Obtain the probability of default (the “Default Probability”) value from the Schedule 1A table for each category of Reference Pool Status. c. Obtain the loss given default multiplier (the “Loss Given Default”) that applies to each category of Reference Pool Status based on Schedule 1A. d. Calculate the “Gross Future Modeled Loss Amount,” which is the sum of the following product for each of the five (5) categories of Reference Pool Status: (i) the applicable Reference Pool Status UPB, (ii) the applicable Default Probability and (iii) the applicable Loss Given Default. e. Allocate the Gross Future Modeled Loss Amount to the then-remaining Class Notional Amount as of such date for each Reference Tranche (up to the outstanding UPB of each such Reference Tranche), starting with the most subordinate Reference Tranche until the Gross Future Modeled Loss Amount is reduced to zero (0) (with respect to each Reference Tranche, the “Gross Insured Tranche Modeled Loss”). f. Calculate the “Future Modeled Loss Amount,” which is the sum of the following product for each Reference Tranche: (i) the applicable Gross Insured Tranche Modeled Loss, (ii) the applicable Insured Percentage of the Company and (iii) the applicable Reinsurer’s Insured Percentage from the applicable I&L Agreement.