We draw upon our principals' experience of working at structured credit trading and structuring desks to provide services across all securitized asset classes - CLOs, RMBS, CMBS, SLABS and other ABS.
We understand the complexity and nuances of various securitized products, from modelling requirements to unique collateral issues, and have worked with leading market participants including arrangers and investors of structured credit securities. We work with our clients through the entire securitization process right from pool selection, capital structure optimization, waterfall modelling, rating agency runs, structuring the deal to producing ongoing regular reports.
Comprehensive document review to prepare summary of deal structure, OC tests, reserve fund, triggers, etc.
Asset Side Modelling
Model loan by loan asset side cash flows; predictive modelling for forecasting default rates, delinquency bucket migration, prepayment rates.
Liability Side Modelling
Model deal waterfall, incorporate cash flow diversion mechanics and deal triggers, running stresses and forecasting tranche performance.
Develop proprietary, robust and flexible models to analyze and stress test deals and ongoing modelling support using third party tools.
Relative Value Analysis
Analyze relative value using trading comparables, structural differences, relative performance review, collateral quality, etc.
Surveillance of deals including underlying collateral quality, delinquencies, defaults, prepayment rates, ratings, etc.