Qualitative Analysis

SCR’s starting point for its Qualitative Analysis the review of summary information for each pool and tranche to achieve an initial view of how a securitization may perform and how volatile that performance may be.  Information such as the amount of first and second lien mortgages, the amount of silent second lien mortgages, gross and net coupon loan-to-value ratios, debt to income ratios, average loan size, pool foreclosure and bankruptcy amounts as well as other statistics are calculated and evaluated.  Through this process and by comparison with the investor’s target criteria, SCR is able to identify the securitizations that may reward further analysis and those that should be eliminated from further consideration.

The next step in RMBS evaluation involves extracting the detail of the each pool.  The pool data is then aggregated by key performance statistics against mortgage features to evaluate the likely migration behavior over time. 

This aggregation is accomplished through cross referencing credit score bands, combined loan to value bands, debt to income ratio bands and other features against the number of loans, aggregate principal balance, weighted average debt-to-income and other features in each band.  This analysis is user defined and is easily customized to provide the recipient with the information and level of detail required.