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  • Americas: +1.212.553.1653
  • Asia: +852.3551.3077
  • China: +86.10.6319.6580
  • EMEA: +44.20.7772.5454
  • Japan: +81.3.5408.4100
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  • Mexico City: +001.888.779.5833
  • Buenos Aires: +0800.666.3506
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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 constant 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 buy-to-let (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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