Modeling Prepayment And Default Scenarios

Builds CPR/CDR/severity vectors with scenario analysis across interest rate and economic environments for ABS, MBS, and CLO pools.

When To Use

• Projecting cash flows on a securitization tranche under multiple prepayment and default paths
• Stress testing pool performance for rating agency submissions or internal risk review
• Building base/upside/downside vectors for deal pricing or ongoing surveillance
• Evaluating how rate shifts, unemployment changes, or HPA movements alter bond returns
• Comparing model output to agency benchmarks (e.g., Moody's Idealized CDR curves, S&P LEVELS)

Inputs To Gather