The ABSTRAK® system offers a comprehensive environment to enter deals, import deal information from XML data vendors, and interrogate that data through automated analysis. Once the fundamental deal parameters and monthly servicing data are initialized, the ABSTRAK® modeling engine carries out Monte Carlo simulation-based analysis to generate a key series of graphs and statistics that help the investor and analyst understand security value in current and future terms.
ABSTRAK® modeling has two distinct phases: calibration and monitoring.
* The goal of Calibration, to calculate the short-rate volatility of expected collateral losses such that the senior tranche experiences an average reduction of yield consistent with the issued rating, usually Aaa.
- The engine reads in the deal parameters as entered into the engine by the analyst, who draws that information from the deal’s prospectus.
- It then combines Monte Carlo simulations with non-linear optimization to ascertain the volatility required to generate the losses indicated by the deal’s rating.
- This value is stored for use in monthly monitoring.
* Monitoring takes ongoing monthly servicing data (delinquencies, losses, prepayments, recoveries) and values computed from Calibration to simulate liability cash flows and produce probability-weighted averages.
- Each month the monitoring process is executed with the latest monthly data and new results are calculated.
- Trends in reduction of yield and fair market value are easily identified via ABSTRAK®’s descriptive graphical interface.
ABSTRAK® is fully integrated with the infinitely flexible, user-friendly Waterfall Editor©
For portfolio managers who want to manage their aggregated ABS exposures dynamically, FUNDTRAK™ is a comprehensive re-rating tool that computes security value using ABSTRAK® inputs.