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Portfolio Analyzer is a risk management and stress testing platform for analyzing the risk in structured transactions, such as mortgage-backed (MBS) and asset-backed securities (ABS). When combined with a cash flow library and deal data, Portfolio Analyzer can be used to obtain cash flows and losses on ABS tranches.

Produce pool-level analyses of RMBS, ABS, and agency MBS collateral

  • Leverage over 40 different collateral models, including econometric models for collateral conditional prepayment rates (CPR), constant default rates (CDR), loss given default (LGD), and delinquencies.
  • Access models for different US asset classes, such as credit cards, student loans, auto loans and leases, equipment loans and leases, reverse mortgages, and Small Business Administration (SBA) loans.
  • Utilize models for different EMEA asset classes, including UK credit cards; UK prime, subprime, and below-the-line (BTL) MBS; Netherlands and Germany MBS; and auto loan ABS.
  • Deploy prepayment models for different Fannie, Freddie, and Ginnie MBS pools. Stress test portfolios of residential mortgage-backed securities (RMBS) and ABS tranches.
  • Integrate with other platforms with an easy-to-use application program interface.

Integrate with the Structured Finance Portal to analyze credit risk and valuation of ABS and RMBS transactions

  • Use for stress testing of treasury portfolios.
  • Leverage built-in stress scenarios from the Federal Reserve and Moody’s Analytics.
  • Enhance your analyses with user-defined custom scenarios.

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