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Instruments Covered
RiskProfiler™ supports most instruments used by MBS portfolio managers and risk managers.
“MBS”- all fixed rate pass-throughs or non-securitized loans. The cashflow generator is AD&Co’s and includes computation of the principal, interest and loss components where relevant. No 3rd-party license is required, but you are responsible for loading MBS indicative data (WAM, WAC) and, optionally, enhanced collateral data (loans size, LTV, FICO, geography, etc.) or LDM-related credit data. The built-in Bloomberg link helps retrieve this data (Bloomberg license required).
“ARM”- all adjustable-rate pass-throughs or non-securitized loans. All that is stated for MBS applies except there are many more fields required that describe coupon resets (index, frequency, margin, caps).
“iCMO”- CMOs or ABS processed via a built-in Intex link (Intex licensed required). Since the entire deal’s structure is kept by Intex, you need only to provide the cusip and analytical assumptions. Intex also serves as the data source for LDM: LTV, FICO, loan status, etc. You can even inspect the completeness of loan data and provide your own default values for missing fields.
“Bond”- non-MBS interest rate derivatives like usual bonds and swaps, swaptions, caps and floors. Powered solely by AD&Co, no 3rd-party tools are needed. Bonds and swaps can have separate schedules for call, put, coupon (step-ups/downs) or explicit amortization (“sink”). Calls and puts can be European, American or Bermudan.
Regardless of the actual MBS or CMO type, you can “strip” the cashflow and compute the values of IOs, POs, MSR pieces or the IO Multiple. The same instrument can be processed via LDM or via AD&Co’s residential MBS prepayment model.
