Technology and Analytics

To enable the qualitative and quantitative analysis of deals, SCR sources data from third party data providers such as Loan Performance and loan “tapes” from dealers, servicers and originators.  This data is then converted into a useable format and uploaded into our proprietary database.  During the conversion phase, SCR systems extract and clean the data checking for inconsistencies, corrupt data and crosscheck against prior data to ensure data integrity through time.  This database is updated daily and is used as the starting point for all the qualitative and quantitative analysis. 

SCR’s database currently maintains 400GB of data stores tracking in excess of 18 million individual mortgages in over 8000 loan pools.  From the data received SCR creates a history of over 450 million mortgage payment records in order to feed the analytic process of determining the drivers of mortgagee behavior.  The underlying technology uses multiple quad core processors and the latest fast disk technology to enable the processing of over 1TB of data within extremely fast timeframes. Entire portfolio sensitivities may be rerun within a 24 hour period or sooner.

After the daily update is completed the automated Curve and Stratification generation phases begin. Curve generation uses the latest data to categorize mortgages based on their features, factor in effects of home price changes and interest rates then generate new Curves for each pool which are built from loan level data.  The curves are then fed into Intex or other processing engines to recalculate deal sensitivities. Simultaneously, revised Stratifications are generated and compared to previous analyses highlighting key pool changes.  By automating a large part of the process, SCR is able to quickly generate reports and extract key information.  Additionally, subscriber reports will shortly be available from our web portal.

Subscriber benefits:

· Analytics driven from a large and well maintained database with in excess of 18 million mortgages;

· Behavioral forecasts based on 450 million payment records;

· Quick access to updated  pool detail;

· Frequent tranche level sensitivity updates.