LoanPilot™ ABS

LoanPilot™ABS calculates the expected loss and IRR on the invested tranche under several macro stress scenarios with the addition of (synthetic) excess spread. The tool can also communicate with vendor cash flow models to be used for cash securitisations and ABS stress testing.
SME Loss Model Tranche Shiny Picture Dashboard of a tranch analysis: expected IRR at the top and loss analysis at the bottom.

During the negotiation of a primary transaction, the investor can optimise the portfolio composition easily; the newly generated rep-lines will automatically feed the model.

Changing portfolio compositionDashboard to change the portfolio composition of Spanish SME portfolio using loan level data from the European DataWarehouse.

The tool is based on the Bayesian Theorem meaning that the model becomes automatically more conservative if less data is available. The model is automatically recalibrated once new loan tapes are reported by the originator and the investor can recalibrate the model on-the-fly using their own expert opinion or other statistics.