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Private-Label RMBS

Trading and risk management analysis and analytics powered by RiskSpan’s proprietary tools and loan-level models

Boost trading profits and efficiency with Edge. Be ready to act when opportunities arise by pre-analyzing RMBS performance data and ranking cohorts. Confirm relative credit value against benchmarks; value bonds with loan-level forecasts and Intex-integrated cash flows and analytics; and infer current prices with filtered market color. Analyze new issue deals with precision by linking loan and CDI files. Lift portfolio returns over time by using Edge’s risk signals to informing reweighting and leverage.

Filter Offers Efficiently

by Pre-Analyzing History

Query Edge’s rich private-label RMBS database (loan-level performance since before the Financial Crisis) to rank cohorts so you have a cheat sheet when deals arrive.

  • For example, run 100 shelves and rank credit losses and prepay speeds

  • When you see a top-ranking shelf or loan type, use Edge to value the deal precisely; when you see a low-ranking cohort, don’t spend time

See Relative Credit Value

by Benchmarking Bond, Collateral

View a bond’s credit support and collateral composition and performance alongside user-selected benchmarks.

  • Compare bond credit support and thickness

  • Visualize relative collateral credit quality with loan attribute distributions and delinquency, default, severity and prepay rates plotted over benchmarks

  • Spot risk pockets with collateral composition visuals, like geographic concentration maps and FICO-LTV scatterplots with color scaling to flag loans with additional risky features

  • Secure committee approval sooner by exporting presentation-ready visuals

  • Buy bonds due for ratings upgrades and sell bonds nearing ratings downgrades by tracking stress-scenario losses

  • Determine appropriate capital levels to hold by tracking stress-scenario losses

Refine Selectivity

with Loan-Level, Intex-Integrated Forecasts

  • Get the precise, robust valuations you need to sort under- and overpriced bonds. Replay the historical performance of collateral cohorts (Edge’s Curve Builder), run RiskSpan’s loan-level models, or input assumptions

  • Ensure risk is acceptable; run RiskSpan’s models under many economic outlooks

  • Find relative value across like bonds

  • Access the most complete and accurate deal coverage with Edge’s Intex integration

Beta: Apply Cohort History to Forecasts in a Click

Use Curve Builder (a forecast option) to:

  • Query aging curves for custom cohorts from Edge data

  • Apply curves to forecast default and severity on any bond; Edge dynamically weights the curves by the deal’s cohort balances and applies the curve from each loan’s current age

  • Compared to manual data manipulation, save time, add precision, and avoid errors

Sharpen New-Issue Bids by Linking Loan and CDI Files

Load a loan tape and Intex CDI file to:

  • See the loan credit quality vs. benchmarks

  • Forecast bond cash flows based on loan-level data

Infer Current Prices

with Filtered Market Color

  • See recent transaction prices of bonds that meet user-defined criteria

  • Triangulate to establish the current market price of your target bond

  • Complete valuation accounting and get independence from our valuation desk

RiskSpan’s Edge Platform makes it simple to ingest, organize, clean, and act on your data.

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Our team of quants and data
scientists is available on demand
to provide custom support.

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How reliable is your data?

Our team of quants and data
scientists is available on demand
to provide custom support.

LEARN ABOUT OUR SERVICES

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