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Moody?s Adds Waterfall and Loan-Level Data to US RMBS Cashflow Analytics Tool


    Moody´s Wall Street Analytics (MWSA) today

    announced that its cashflow analytics platform, Structured Finance

    Workstation, has been expanded to offer an extensive library of cashflow

    waterfalls and loan-level data to meet the needs of structured finance

    market participants. The Structured Finance Workstation can also be used

    by Moody´s rating analysts to run cashflow

    analytics to enhance the ratings process.
    "The addition of the waterfall and loan-level

    data library to the Structured Finance Workstation will allow fixed

    income investors and other market participants to evaluate cashflows in

    a securitization with greater precision," said

    Jacob Grotta, Senior Director of Moody´s Wall

    Street Analytics. "The loan-level detail of

    the library gives users much greater insight into their US RMBS

    positions."
    The integrated deal library contains waterfall models and loan-level

    information on current US subprime securitizations. In the coming

    months, MWSA plans to expand the deal library to include prime, Alt-A

    and asset-backed securities in the US and EMEA. MWSA already offers a

    comprehensive waterfall and loan-level library for global collateralized

    debt obligation (CDO) transactions.
    The Structured Finance Workstation platform provides investors and other

    users with unique capabilities, such as the ability to view and edit the

    cashflow waterfalls of the deals being modeled. The transparency

    afforded by this feature enables investors to be certain that waterfalls

    and associated payment rules are coded properly according to each deal´s

    prospectus, and to fully understand the payment rules associated with

    each securitization.
    The addition of loan-level data and editable waterfalls to the

    Structured Finance Workstation is a direct response to requests for a

    tool that brings greater transparency, flexibility and precision to

    investment analysis in today´s RMBS market.
    The Structured Finance Workstation provides investors, issuers, and

    administrators integrated analytics including: user-defined prepayment

    default and loss rates, price/yield tables, sensitivity analysis, a

    first loss calculator, and break-even analysis.
    Moody´s Wall Street Analytics, established in

    1987, is a leading provider of sophisticated software products and

    services to the structure finance markets. The company provides products

    and support to clients around the world, including leading asset

    management firms, investment banks, trustees, and institutional

    investors. In addition to the Structured Finance Workstation, its

    CDOnet, CDOcalc, Bond Administrator Workstation, and ABScalc products

    are widely recognized for their unique abilities to support detailed

    analysis of the most sophisticated structured debt products. Many of the

    tools and services offered by Moody´s Wall

    Street Analytics are utilized by Moody´s

    Investors Service as part of the ratings process.
    For more information, please visit www.wsainc.com.