conducting-collateral-pool-analysis
Installation
SKILL.md
Conducting Collateral Pool Analysis
When To Use
- Evaluating an asset pool backing a new securitization (ABS, RMBS, CMBS, CLO, or bespoke structured notes)
- Performing periodic surveillance on an existing deal's collateral
- Comparing multiple pool cuts during warehouse accumulation or ramp-up
- Assessing eligibility criteria compliance for a proposed asset addition or substitution
- Supporting rating agency presentations, investor due diligence, or regulatory examinations
Inputs To Gather
- Pool tape / loan-level data file — the asset-by-asset schedule with fields such as obligor, balance, rate, maturity, origination date, geography, industry/property type, credit score or rating, LTV/DSCR, delinquency status
- Eligibility criteria and concentration limits from the indenture, pooling & servicing agreement, or warehouse facility terms
- Historical performance data — static pool loss curves, delinquency rolls, prepayment speeds, recovery rates for comparable vintages
- Deal structure details — target pool size, overcollateralization levels, advance rates, and any reinvestment or replenishment provisions
- Third-party reports (if available) — appraisals, BPOs, credit reports, servicer commentary