NEWS | For Immediate Release
NEW YORK, April 25, 2013— Moody’s Analytics, a leader in risk measurement and management, today announced that it has added auto loans and auto ABS to Portfolio Analyzer (PA), its powerful risk management, stress testing and capital allocation tool. The additional asset-specific inputs will help retail portfolio managers more accurately forecast losses and capital allocation across security types.
Used by the largest global banks, regulators and government sponsored enterprises (GSEs), PA helps risk practitioners conduct detailed loan-level analyses using econometric models for default, prepayment and severity. PA then correlates these individual loan behaviors across a portfolio through their co-dependence on local and national macroeconomic factors.
Banks and auto lenders can use PA to analyze mixed portfolios for the U.S. Federal Reserve’s Comprehensive Capital Analysis and Review (CCAR), as well as for user-defined and Moody’s Analytics’ macroeconomic scenarios. Users can also customize PA’s loan-level model for their specific portfolios.
“We continue to enhance Portfolio Analyzer to help clients more efficiently manage complex portfolios for a variety of macroeconomic paths,” says Ashish Das, Managing Director of Research at Moody’s Analytics. “Today, regulators and financial institutions are looking for greater transparency into risks associated with auto loans. Using PA, our clients can estimate loan losses in a prolonged economic downturn and help to successfully meet the Fed’s stress testing requirements.”
PA can run analyses of a mixed portfolio of mortgage and auto loans, including subprime, prime, Alt-A, HELOCS and NegAms, automatically classifying these into prime or subprime categories. It also allows clients the flexibility to adjust for the probability of non-payment by primary mortgage insurers. The enhanced solution allows for detailed loan-level analyses by car type/make, car age, originator type (bank, captive or other), location of borrower and FICO, among other factors.
About Moody’s Analytics
Moody’s Analytics helps capital markets and risk management professionals worldwide respond to an evolving marketplace with confidence. The company offers unique tools and best practices for measuring and managing risk through expertise and experience in credit analysis, economic research and financial risk management. By providing leading-edge software, advisory services and research, including the proprietary analysis of Moody’s Investors Service, Moody’s Analytics integrates and customizes its offerings to address specific business challenges. Moody's Analytics is a subsidiary of Moody's Corporation (NYSE: MCO), which reported revenue of $2.7 billion in 2012, employs approximately 6,800 people worldwide, and has a presence in 28 countries. More information is available at www.moodysanalytics.com.