Bond Analytics Platform
“A Real Understanding of Risk…”
Many economists blame the recent economic meltdown on the degree to which market participants lacked understanding of the risk underlying mortgage securitizations and their derivatives1. A lack of accurate information cloaked visibility into this core risk—and fed the popular illusion that securitization would somehow dilute and disperse it—fueling a frenzied market expansion and unprecedented market collapse.
The same economists now insist that genuine risk transparency throughout the process is the only way for the RMBS marketplace to recover its former strength. LoanPerformance and First American CoreLogic have been aggregating data and developing analytics to deliver such unblinkered transparency for over a decade. Our new, state-of-the-art platform, uncompromised by conflicts of interest or concurrence in the crisis, is the result:
- How the Bond Analytics Platform Translates Risk into Knowledge
- Takes the Mystery Out of Portfolio and Securities Risk for Business Users
- Using Only the Best-Quality Data...
- ...And the Hottest Analytics
- Business-User Simplicity--Expert Technical Performance
- A Multi-Dimensional, Capabilities-Rich, Problem-Solving Engine
- Advanced Technical Capabiliites
- Program to Develop New Transparency Applications
- Bond Analytics Webinar Replay Now Available
- Product Brochure
- For More Information
1Kane, Edward J., Financial Economists Roundtable Statement on Reforming the Role of the Rating 'Agencies' in the Securitization Process. Journal of Applied Corporate Finance, Vol. 21, Issue 1, pp. 28-33, Winter 2009.
How the Bond Analytics Platform Translates Risk into Knowledge
The architecture of the Bond Analytics Platform lets users integrate and analyze data from LoanPerformance, First American CoreLogic, Intex, trustees, and the government; identify the underlying risk in portfolios, RMBS, and CDOs (and derivatives); and generate quick, risk-based valuations and pricing. |
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Takes the Mystery Out of Portfolio and Securities Risk for Business Users
The Bond Analytics Platform’s clear, interactive task-management controls and library of expert functionalities provide real-world support, and reduce or eliminate errors, for its users:
- Asset managers
- Hedge fund managers
- Bank portfolio managers
- Insurance investment managers
- Private equity investors
- Government regulators
- Corporate treasurers
Tasks made quicker and more user-manageable by the Bond Analytics Platform include underlying-asset risk evaluations, distressed-asset updates, transaction-bid list creation, mutual fund/securities/CDO pricing (with ongoing surveillance and alerts), Monte Carlo simulations, loan-loss provisioning, stress-test assessments—and much more.
Using Only the Best-Quality Data…
The Bond Analytics Platform combines the best, most comprehensive datasets with the industry's most powerful analytics in an easy-to-operate portal. The data include:
- LoanPerformance securities data loan-level detail on $1.6 trillion in non-Agency mortgage and asset-backed securities (more than 90% of the market)
- LoanPerformance HPI data incorporating 30+ years of repeat sales transactions, the result of more than 45 million observations in all 50 states and the District of Columbia
- First American CoreLogic property, borrower, fraud data the largest U.S. property data repository, with continuously updated detail covering 99.4% of transactions
- Intex deal-model libraries covering RMBS, ABS, CDOs, with loss allocations, triggers, prepayment-penalty allocations, interest-rate hedges
- Trustee data include all existing trustee datasets, automatically accessed by the system and incorporated into relevant risk, projection, and pricing calculations
- Government economic data provide the very latest real-world economics framework to inform juxtapositions and analyses of targeted datasets
LoanPerformance and First American CoreLogic supply securities and property data to most major U.S. financial institutions—although none receives the volume and detail that you will have at your fingertips when working with the Bond Analytics Platform.
…And the Hottest Analytics
Built with flexible, open-source, scalable technology, First American CoreLogic’s Bond Analytics Platform seamlessly combines various access and analysis capabilities:
- TrueStandings Securities LoanPerformance securities data management
- LoanPerformance HPI auto-accesses the most current local, national HPI data
- LoanPerformance HPI Forecasts predicts coming home-price indices
- First American CoreLogic TrueLTV uncovers all open liens, updates LTVs
- LoanPerformance RiskModel industry-standard loan-performance modeling
- Third-party credit/prepayment models auto-access proven proprietary models
- Third-party HPIs enable comparative HPI-based performance scenarios
- Intex CMO subroutines manage use of multiple Intex deal-model libraries
The Bond Analytics Platform can be an on-site software/system implementation or a service you access via SaaS (software as a service) through our application service provider. To learn more, contact the sales rep or account manager for your geographic area.
Business-User Simplicity—Expert Technical Performance
The Bond Analytics Platform’s user interface provides simple, yet sophisticated tools to manage and manipulate data, analyze underlying portfolio and securities risk, generate verifiable risk-based pricing, and produce customizable reports. |
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A Multi-Dimensional, Capabilities-Rich, Problem-Solving Engine
The Bond Analytics Platform delivers a wealth of capabilities like data monitoring and management, RMBS/CDO surveillance/analysis/valuation/pricing, access to multiple loan-level risk drivers, and the ability to manage impacts over time. Its expansive toolset includes:
- Single view of securities/borrower/real estate data
- Underlying asset-risk analytics include open liens/current AVMs
- Loan-level performance projections via Monte Carlo simulations
- Bond-level cash flows given most likely performance scenarios
- Principal-loss projections for most likely performance scenarios
- Credit-enhancement loss-coverage ratios and implied ratings
- User-defined or market-based bond-price spreads
The platform generates reliable analytics and pricing by deriving results from actual current risk—and projected risk—to the value of assets that compose portfolios and securities. These assessments incorporate the most current loan-to-value ratios (via TrueLTV), market conditions (via LoanPerformance HPI), and performance models (via RiskModel).
Advanced Technical Capabilities
Although the full menu of technical innovations included in the Bond Analytics Platform is beyond the scope of this page, here are some morsels to tempt the appetites of risk officers and statisticians:
- Full loan-modification support in portfolio, RMBS, CDO analytics
- Bond-specific tranche detail for complete non-agency RMBS structures
- RMBS analysis allows investigation of risk-layering, model validations
- Loan-level CDO, index, portfolio analytics permit cash and synthetic structures
- Loan-level projections of prepayment, default, severity, delinquency detail
- Bond values can be based on price, yield, data model, first-dollar loss, credit quality
- Yield-curve builder included for determining forward interest-rate paths
- Advanced models driven off HPI paths from LoanPerformance, Moody’s, others
- Option-adjusted spreads (OAS) allow real-world interest, prepayment rate variations
- Detailed collateral stratifications on pool-basis, deal-basis, portfolio-basis
- Parallelized computing powers advanced data mapping with zero-lag availability
- Multi-dimensional stratification with high-speed web and Excel-based reporting
- Comprehensive reporting of each RMBS tranche, including deal-structure analysis
- Reporting that includes shocks to interest rates, prepayment rates, default rates
Program to Develop New Transparency Applications
Thanks to the scalable, open-source structure of the Bond Analytics Platform and its almost unlimited range of possible data/application combinations, First American CoreLogic is seeking industry partners to co-develop targeted bond-analytics solutions. Our purpose here is to help create the very best tools possible to bring about—even make inevitable—a new, post-crisis culture of RMBS transparency, fulfilling the mandate of the Financial Economists Roundtable referred to in the first paragraph above.
If your company would like to explore involvement in this program, please contact David Stinner, Vice President, Analytics Solutions, First American CoreLogic.
Bond Analytics Webinar Replay Now Available
The recent First American CoreLogic Bond Analytics webinar is now available for replay. To play the recording, please complete the form that will appear.
Product Brochure
To download a PDF of the Bond Analytics Platform Product Brief (226KB), please identify yourself on the brief form that will appear when you click on the link.
For More Information
To learn more about the Bond Analytics Platform or schedule a demonstration, please email or give us a call at the appropriate number for your geographic area.
