Independent Research and Pricing

Structured Credit Research LLP (“SCR”) is one of the first providers to integrate credit analysis at the individual mortgage level, legal / structural analysis and state of the art analytics.  This allows SCR uniquely to create a holistic perspective of an entire RMBS, including HEL and HELOC, capital structure.

Customization and Commentary.  Through the use of mortgage and tranche level analysis, SCR has built analytics to provide price, yield, weighted average life, tranche loss and pool loss reports, amongst others, for a significant part of the RMBS tranche universe.  This analysis may be performed under any combination of base case and bespoke stress scenarios.  SCR also distributes weekly via email a brief structured credit market round-up, containing an overview of the current state of the RMBS linked structured product market, potential market opportunities and general macroeconomic commentary.

Models: Old and New.  RMBS modeling has historically focused on prepayment analytics while other significant performance contributors such as default and loss severity have been underemphasized.  Loan level analysis, including determining behavioral drivers, has been largely ignored and modeling has focused on the use of tranche level inputs rather than building model inputs from the underlying behavior.  SCR’s approach is to create bespoke, loan and tranche specific prepayment, default and loss severity values for each month in the forecast period (the “Curves”).  This is accomplished through a detailed understanding of the principal drivers of mortgagee behavior and analysis of the mortgage pool built up from mortgage level data.

Risks and Rewards.  Despite and indeed because of the current turmoil the RMBS sector offers tremendous opportunities.  The current environment highlights the need for sophisticated and independent valuation and stress scenario analysis.  SCR was established to apply its unique top-down and bottom-up approach to identify opportunities and allow subscribers to validate information received from industry practitioners (including rating agencies and mark-to-market sources).  Further, subscribers gain unlimited access to senior staff for the purpose of discussing structuring and modeling considerations and design bespoke analyses.