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Note that an ALM desk will rarely, if ever, need to apply the SF because unrated ABS tranches outside the first-loss (" equity" ) piece are invariably rated.
In order to help place the deal in the market, originators often retained the " first-loss" or equity tranche of the structure, which meant that the highest risk part of the asset pool was retained by the bank.
high capital charge for securitised assets where the junior tranche is retained by the bank, so the deal economics in a securitisation will no longer be as attractive as before if the first-loss piece is retained.
Note that an ALM desk will rarely, if ever, need to apply the SF because unrated ABS tranches outside the first-loss (''equity'') piece are invariably rated.
In order to help place the deal in the market, originators often retained the ''first-loss'' or equity tranche of the structure, which meant that the highest risk part of the asset pool was retained by the bank.
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