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Tape Cracking, Stratification and Pricing/Valuation of residential mortgage portfolios or tapes


Valuation and Analytics

  • Performing and non-performing
  • Fixed, ARM, hybrid ARM, negam, HELOC
  • Monthly loan-level cash flows including prepayments and delinquencies
  • Sensitivity and stress analysis for all risk factors
  • Integrates leading credit & prepayment models including Loan Performance and AFT
  • Interfaces to proprietary home price, credit, prepay and interest rate models

User Interface

  • Web-based
  • Portfolio analysis tools
  • Collateral stratification using loan attributes
  • Price/Yield table with risk measures such as duration, convexity, WAL
  • Loan modification analysis