juku
.
loan
How it works
Risk model
Portfolio default & reserve — wide view
.
Rate move vs the inception spread decides who's underwater; the default mix offsets; the reserve + Juku cut absorbs the rest.
Inputs
Avg loan size
£500k
Term
10 yrs
Fixed rate
5.0%
Saving benefit
0.25%
Rates
Inception spread (fixed above floating)
1.0%
Floating change since inception
+2.0%
Default happens at
2.0 yrs
Default mix & reserve
% of defaults that are floating
70%
Offset capture
100%
Reserve set-aside (of saving)
22.5%
Net loss per default vs the buffer
Net loss per default (after offset)
£0
Reserve alone covers
0%
Reserve + Juku covers
0%
Reserve at stake
£0
Juku cut at stake (~20%)
£0
Net loss per default
Reserve + Juku (per deal)
Flip point (floating = fixed)