Quantitative Analysis

Having completed the qualitative analysis to identify securitizations with robust characteristics at the present time we then apply quantitative analysis to model future behavior.  Quantitative analysis of a securitization or of a tranche begins with forecasting the prepayment, default and loss severity behavior of the individual mortgages underlying a securitization through a proprietary analytic process.  This analysis leads to the creation of a prepayment, default and severity value, by month, which may be used in cash flow models for the purpose of evaluating future tranche behavior.

The Curves are inputs into our cash flow model which in turn generates forecasted bond cash flows.  The resulting bond cash flows illustrate the “Base Case” performance of the bond i.e. the expected amount and timing of cash flows while incorporating the bond’s specific structural features.  The Base Case Curves may then be shifted in any prescribed manner to generate price, yield, average life and total collateral loss estimates.  Through Scenario analysis, SCR is able to show the structural integrity of the bond to prescribed shifts in each Curve.

SCR subscribers receive a sensitivity table illustrating the price, yield, weighted average life and cumulative loss results for each bond analyzed.  The number and magnitude of shift increments may be customized to meet subscriber requirements.