Seamless Links for Securities



Structured fixed-income securities like Collateralized Mortgage Obligations (CMO) and Asset-Backed Securities (ABS) require modeling or "reverse engineering" to obtain the cash flows even for a single bond in the deal. We include CUSIP-level interaction to calculate scenario-specific cashflows during processing, working closely with Moody's default engine.


Moody's CMO Library
Our model continuously links to Moody's CMO library to generate cash flows for securities with special deal structures. Various inputs such as market data, forward rates and prepayment vectors are passed to the Moody's API and the resulting cash flows are used to generate results in our model. 


Moody's Default Model
For securities, our users can seamlessly apply Moody's default model and the Moody's APII will apply the default model and return the appropriate cash flows. For individual loans that do not exist in the Moody's CMO library, our model has the ability to read Excel reports generated by Moody's default model application. These files are housed in a central location where users can easily reference and read the PD and LGD vectors generated by the Moody's default model application.