Internal Assumptions Analyzer
Our solution is a behavior analysis tool allowing institutions to obtain institution specific and more defendable assumptions for modeling such as: interest rate risk, liquidity, credit and capital stress testing. The solution provides easy to use interface and transparency into the data and calculations.
The Internal Assumptions Analyzer delivers a clearer picture of behavioral trends related to institution-specific historic prepay, decay, Lines of Credit (LOC) utilization, and loss rates. Institution-specific results can be utilized for ALM, allowance and other type of projections. Users define their own depth (periods/periodicity) and breadth (attributes).
Features and Benefits:
- Prepay Analysis: Annual and seasoned historical portfolio level prepayments. Paydown report providing SMM and CPRs for total prepayments, as well as a view of fully and partial prepaid balances.
- Decay/Attrition Analysis: Track closed accounts, when the accounts became inactive or overdrawn
- LOC Utilization: Understand how lines of credit are drawn down over time and in different economic conditions.
- Origination Spreads: See the actual spreads at origination over time to help understand pricing strategies.
- Portfolio Stress Testing: Measure the actual exposure of outstanding balances in relation to their value. Adjust collateral values for different scenarios as well as selling costs.
- Historic Loss Rates: Get annual loss rates at the portfolio level with average loss rates for the time frame selected. Use your history to adjust cash flows for Asset Liability Management as well as create better assumptions for reserves.