In business since 2000, Creditspectrum has a global relationship network. Our clients include small lenders with limited capital market access, large investors badly affected by the Financial Crisis or starved for high quality investments, and enterprising financial professionals seeking superior structured credit information.
False ratings played a key role in creating price distortions that transformed structured finance into a pure “information arbitrage game.
GAME OVER: CreditSpectrum ratings level the playing field for borrowers and lenders by providing ratings that are based on scientific principles: the only sustainable foundation for markets based on credit re-engineering. By bringing buyers and sellers together, the CreditSpectrum information system creates positive synergies for our network of clients and the economy in which they operate.
To capture the evolving credit risk of asset-backed securities, CreditSpectrum builds scoring systems that narrow the range of unexpected loan performance at origination.
The same scoring system can be used to re-price assets retained on the balance sheet or as a pricing benchmark in third party sales.
Credit scores enhance risk precision. By substituting information for capital-at-risk, CreditSpectrum credit metrics promote capital renewability.
CreditSpectrum metrics enable the user to fully reflect the time value of risk in ABS tranches by using all the data available, beginning at origination.
The WATERFALL EDITOR© [WFE©] is CreditSpectrum’s primary market structuring and valuation Java-enabled model that uses standard XML language.
Key advantages of using WFE© are visual feedback, flexibility, cloning, ease of debugging, and a perfect data dictionary that prevents semantic confusion. A common example of semantic confusion in waterfall modeling is the failure to subordinate cash flows based on the priority of claims in a pro rata transaction.
WFE© comes with a transaction wizard and a large library of existing structures that can be readily adapted to build new features. Examples include multiple pools used in U.S. RMBS, nested payment structures used in auto ABS and default traps used in the Japan RMBS market.
ABSTRAK® is CreditSpectrum’s patented flagship product, a data-driven monitoring engine that fully reflects the current risk and value of ABS tranches.
The ABSTRAK® automatically uploads and crunches monthly servicer report data to reflect the changing impact of borrower optionality and remaining credit enhancement on ABS performance.
Outputs are fully based on data disclosures required by the U.S. Securities & Exchange Commission in Regulation AB1. They are updated every payment period to provide a full picture of security risk and value through time.
More than 20 key credit-sensitivity parameters are produced monthly for each tranche including intrinsic cash flow value, CDS spreads, credit duration, credit convexity and the asymptotic pool Expected Loss. CreditSpectrum ratings reflect the evolving credit risk of tranches as new data become available.
By following the time value of risk in ABS tranches, CreditSpectrum ratings promote capital renewability.