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  • 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
  • São Paulo: +0800.891.2518

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Moody’s Analytics Structured Finance data set includes historical loan, pool, bond, and property level data collected across asset classes. The Structured Finance database is drawn from the monitoring reports of every major servicer/trustee and is further enhanced with extra data fields from various sources

Our Coverage

  • 30,000 Securitizations and 600,000 CUSIPs available for the following asset classes:
  • Auto Floor Plans CLO Equipment Loans
    Auto Loans CMBS Non-Auto Floor Plans
    Auto Lease Credit Cards RMBS
    CDO Equipment Lease Student Loans
    • Extensive Global Coverage and Premium Data Fields: Moody's Analytics covers 99% of CDOs, CLOs, Consumer ABS, RMBS Agency, RMBS Non-Agency, and CMBS globally with premium data fields including:
    • Appraisals Financial Ratios Manager Style Servicer Charge
      Default Limited Borrower Benefits Property Level Data Updated FICO
    • Regulatory Fields: Available for CDO/CLO, Consumer ABS, RMBS, CMBS, EMEA and APAC:
    • Attachment/Detachment Points* Extrapolated Macroeconomic Scenarios
      Cash Flows IFRS9/CECL
      CCAR/DFAST/EBA/PRA MA Vetted Assumptions
      Credit Model Results (PD, LGD, Prepayment)** SFA
      Delinquency Data Solvency II
      Estimated OTTI/OCI SPPI Data
      Expected Loss/Impairment SSFA

      *These items not available in China and Japan.

      **Loan-level for CDO/CLO, RMBS, CMBS, and EMEA UK.  Pool-level for Consumer ABS, EMEA non-UK, and APAC.

    •  

      • Market Risk Fields: Available for CDO/CLO, Consumer ABS, RMBS, CMBS, EMEA, and APAC:
      • Accrued Interest Convexity (Par) Effective Duration (Spot) Spread Duration
        Annualized Duration to Worst Convexity (Spot) Location Duration Stated Maturity Years
        Annualized Modification Duration Current Yield Macaulay Duration Yield to Maturity
        Annualized Yield to Maturity Discount Margin Maturity Years Yield to Option
        Annualized Yield to Worst Duration to Worst Modified Duration Yield to Put
        Asset Swap Spread DV01 Nominal Spread Yield Value of 32nd
        Average Life Effective Duration (Par) OAS ZVO

Conduct portfolio surveillance and augment your data for credit model building or regulatory needs

  • Achieve asset-level transparency through detailed loan-level data for RMBS, CMBS, and CLO securitizations.
  • Fill data gaps when building or benchmarking credit models and methodologies using historical deal and loan level data.
  • Instantly retrieve summary statistics for your portfolio, including top industry and holdings exposure.
  • Customize your portfolio surveillance workflow using hundreds of data points across our deal, pool, loan, and bond database.
  • Gain valuable investment insight by tracking deal performance using our customizable view and graphing functionality.

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RELATED SOLUTIONS

ABS Solutions

Moody’s Analytics has developed a Consumer ABS suite of comprehensive solutions and tools for all of your buy-side, monitoring, pricing, and research needs.

Agency Solutions

Moody's Analytics provides comprehensive coverage via our Agency deal library and data feed, and supports extensive use cases via our APIs.

CLO Solutions

Moody’s Analytics provides CLO market participants with award-winning, end-to-end solutions, available via multiple delivery methods.

CMBS Solutions

Moody's Analytics CMBS Solutions provide market participants with advanced deal cash flow analytics, comparative deals and specific commercial loan and property income and valuation details.

RMBS Solutions

Moody's Analytics provides market participants with end-to-end, customizable, and advanced solutions for Non-Agency RMBS and analytics.

Structured Finance Risk & Regulatory Solutions

Moody's Analytics produces regulatory analytics and best-in-class advisory services that create confidence and allow our clients to manage their structured finance risk via our Structured Finance Portal Regulatory Module.

Structured Finance Solutions for Investors

Moody's Analytics provides dependable, integrated, and comprehensive solutions for Structured Finance investors.