CMBS CREDIT MODEL (Application Services, Data & Analytics, Technology Consulting, Structured Finance, Fixed Income & Equity Analytics, Automation)

The Problem

To design a database driven system to identify pieces of loans which exists in complex form e.g. A/B or Pari Passu structure. Also incorporate global assumptions which are NOI curve, Cap rate, Debt Yield threshold, largest tenant, LTV assumptions, Occupancy etc. for estimating Loss Severity, Timing and Amount of default, Balloon Loss Severity for each loan etc.

Process

• Followed the bottom most approach to analyze the risk of the loan.
• NOI curves are generated based on various property types and MSA.
• These curves are based upon base, best as well as worst case scenarios. Cash flows are generated using Trepp API.

BTM Financial Solution

• This model projects the timing of default, amount of default, loss severity, recovery period, balloon loss severity, pay-down, extension months, reason of default/extension along with loan by loan stressed cash flow.
• This model is Web based tool with lot of flexibility and scalability.
• User has the flexibility to create, modify and analyze Portfolio and look at various reporting.

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