Are the deals you cover correctly modeled? Over 80% deals rated by R&R are not. When the capital structure is incorrectly modeled, ratings and prices are wrong–sometimes dramatically wrong.
R&R Waterfall Editor enables faithful reproduction of deals already in the market and flexible scripting for new originations using the Waterfall Builder. WFE© can be run as a stand-alone application or embedded in a larger valuation application, like ABSTRAK©. No special programming skills are required to structure deals: from planned amortization classes to optimum balance calculations, the Waterfall Editor©’s extreme flexibility offers complete control over the creation, testing, and integration of a waterfall of cash distributions. Clone and copy features permit quick reverse-engineering of bulk transactions. A freeware version, Waterfall Reader, permits file sharing and quick cash flow runs.
The Waterfall Editor© can export the structure into a standard XML file and then you can build standard bridges to your own software. It was carefully designed by expert software engineers to maximize portability and ease of integration. The code and interface are fully documented with tutorials, reference materials and demos.
The Waterfall Editor© is a unique opportunity to finally authoritatively answer the question of how to model complex liability structures.
Loan-by-Loan Analysis allows you to fine-tune the transaction by selecting and uploading target loan files. When this mode is on, the WFE© can be used to rate all the transaction tranches.
You can add multiple depreciation curves, linked to one or two parameters of each loan.
When the structuring is completed, the project can be exported as a standard XML file, which holds the complete structure of the deal: waterfall, triggers, loans, collateral prices and interest rates. Since XML is a universal format, the structure is easily transferable to any other quantitative platform.
A CMBS Valuation module is now available, incorporating their unique prepayment, delinquency, servicer advancing and loan-default properties within a unified modeling framework.
Features include: Multiple Group & Cross-Collateralized Liability Mechanics, Markov Transition Matrix Delinquency Modeling, Monte Carlo Based Simulation.
Click here to see the Bear Stearns 2005 EC1 deal implemented in Waterfall Editor.
Lexicon: waterfall, liability structure, capital structure, deal script (SEC).