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Argus’ ™ MBS/ABS Securities Forecasting Service provides key credit risk performance and valuation metrics that drive improvements in portfolio analysis and capital investment/ cash flow.

The current RMBS landscape presents significant opportunities. As recent experience has proven, opaque measures of credit risk and portfolio/security performance obscure the way forward. Accurate and timely information for evaluating asset quality, economic influences and asset lifecycle effects is crucial. The RMBS industry rushes to replace the models that failed, there will be many new entrants into the forecasting model market—including those who just tweak the old models and repackage as new.

In the run-up to the current mortgage crisis, the overwhelming preponderance of roll-rate and other models for calculating CPR, CDR and LS led to a misplaced sense of security regarding performance of RMBS assets.

Argus’s ™ MBS/ABS Securities Forecasting Service helps lenders, issuers and investors illuminate the core performance measures that drive risk and return. The Securities Forecasting Service utilizes Dual-time Dynamics, the modeling engine at the core of Argus™ forecasting solutions. DtD uses a nonlinear decomposition algorithm that leverages historic loan-level performance data to isolate the complex risk and return variations from origination mix and quality, life cycle effects and economic factors.

With access to a comprehensive repository of mortgage- and asset-backed securities loan-level data, Argus’s ™ Eclipse Database, the Securities Forecasting Service revolutionizes portfolio transparency, forecast accuracy, and investment pricing and performance.

Profit from Significant Insights into Your Portfolios

By simply providing deal identifiers, critical performance metrics are available within days of trustee updates and provided on a monthly, quarterly or one-time basis, including:

  • CDR – Cumulative Default Rate
  • CPR – Conditional Prepayment Rate
  • LS – Loss Severity

Gain Knowledge from Argus’ ™ Robust Eclipse Dataset

Argus’ ™ Eclipse database provides clients with the intelligence needed to create industry benchmarks for RMBS performance. The unique long-term perspective of Argus’s ™ technological platform combined with this expanded database enables industry-leading forecasting, stress-testing and volatility analysis.

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