It can’t be done? R&R Consulting has been doing it for a decade.

Valuing structured securities in the secondary market isn’t impossible, only inconvenient. Most people dream of returning to the market’s golden era, when ABS and MBS outperformed like-rated corporate debt securities. But for a few instances of fraud, very few defaults occurred from 1979-1999, even among lower-rated bonds—as early research by Jerome Fons and Joseph Hu shows.¹

Structured securities were safe because of an invisible buildup of capital throughout the seasoning process as the risk of default became more certain. Play The Deal Toy™ and simulate the decay of uncertainty in amortizing deals.

This process was invisible because it was not reflected in structured credit ratings. Effectively, the market was being offered free insurance. And since everyone likes a free lunch, nobody wanted anything to change.

But, change is something that cannot be controlled. It is something that can only be prepared for….

ABSTRAK® Consulting

R&R Consulting developed the ABSTRAK® to reflect natural transitions of credit quality in structured securities as they occur.

Continuously tested since 2001, ABSTRAK® has an unrivalled track record as a fast, consistent, accurate signal of relative value with strong anti-fraud capabilities. ABSTRAK® works by pulling current servicer data into the rating engine and measuring the changing profile of risk in a Bayesian framework. Delinquency modeling creates a two-year early warning signal on performance that enables ABSTRAK® users to forecast security improvement or deterioration far in advance of the rest of the market. Use of the Waterfall Editor™ inside ABSTRAK enables users without a programming background to faithfully reproduce deals already in the market or flexibly create new ones.

Without a tool like ABSTRAK®, the quest for fair value in ABS, RMBS, CMBS, CDO as well as some CLN and CDS, remains elusive.

Learn more about ABSTRAK®…

Credit Scoring

R&R Consulting helps borrowers in “risky” markets arrive at a defensible arm’s length cost of capital by translating payment history into a default probability (also called credit score) and setting a price based on peers with a similar default profile. When securitization is the vehicle for raising funds, current credit scoring information can be used directly in valuing and repackaging the collateral.

Because credit scoring is not a regulated business, the experience and integrity of the provider are the primary guarantees of quality and reliability. R&R’s experience with credit scoring began in the mid-1980s, when Sylvain Raynes developed the Citigroup credit card model that fueled the rise of Citigroup as a global consumer lending leader.