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Securitization++
1. Cortex – Automation for Structured Finance
Tranquilmoney, Inc.
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
2. 1.The Securitization Process and Cortex System Features.............................................. 3
2. Features of Interest – Originator....................................................................................4
2.1Loan Details - Asset Class Definition........................................................................ 4
2.2Loan Details – Schedules..........................................................................................5
2.3Pooling - Synthetic Field Definition........................................................................... 6
2.4Pooling - Covenant Definition....................................................................................7
2.5Pooling - Covenant Monitoring..................................................................................8
2.6Pooling - Optimizer ...................................................................................................9
2.7Pool Monitoring - Stratifications.............................................................................. 11
2.8Pool Monitoring - Static Cash Flows....................................................................... 12
2.9Pool Monitoring - Prepayment Speeds and Delinquencies.....................................13
2.10Pricing - Risk Based Pricing .................................................................................15
2.11Pricing – Cash Flow based Pricing....................................................................... 16
2.12Pricing – Online Structuring.................................................................................. 17
2.13Pricing – Liability Cash Flow................................................................................. 18
2.14Deal Structuring - Tranche Creation..................................................................... 20
2.15Deal Structuring - Cash Flow Rules...................................................................... 21
2.16Deal Structuring - DoubleHelix Scripting Language..............................................23
2.17Deal Structuring - Deal Summarization.................................................................24
3.Features of Interest – SPV........................................................................................... 25
3.1Collect Money from Asset to Account..................................................................... 26
3.2Payout to the investors............................................................................................27
3.3Deal Monitoring - Static Tranche Cash Flows.........................................................28
3.4Deal Monitoring - Trustee Reports..........................................................................30
3.5Deal Monitoring - DoubleHelix Scripting Language................................................ 32
4.Features of Interest – Rating Agencies........................................................................ 33
4.1Analytics.................................................................................................................. 33
4.2Online Structuring................................................................................................... 34
4.3Monitoring Deal Performance - Tranche Schedule Report.....................................37
4.4Report on Accounts.................................................................................................38
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
3. 1. The Securitization Process and Cortex System Features
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Pool Creator
Funder
Investor
Loan Aggregator
Investor
Lender Lender
Borrower Borrower Single platform for issuing multiple pools,
funders and asset classes
FeaturesSecuritization Process
Loan Aggregator
Integrated origination, pooling and funding
Collaboration with lenders, originators, issuers,
structurers, underwriters and investors
Customized pool, loan tracking by deal
principals and investors
Compliance, risk management, dynamic pool
composition monitoring
Risk based pricing and aggregation
Customized reporting
Deal structuring and analysis
Pipeline hedging
Funding arbitrage analysis
4. 2. Features of Interest – Originator
2.1 Loan Details - Asset Class Definition
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Users define assets and asset classes by
specifying important fields
Data is loaded into the system via an
XML or an Excel interface
5. 2.2 Loan Details – Schedules
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
All assets have a pay down schedule that is stored
period wise. This is updated with period wise
payment / non-payment information
6. 2.3 Pooling - Synthetic Field Definition
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Synthetic fields (formulae) can be defined on any asset.
After defining synthetic fields, covenants can be defined
using these synthetic fields.
In this case, we have defined “Curr LTV” as a
weighted average of LTV’s of all loans in the pool
7. 2.4 Pooling - Covenant Definition
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
A covenant has been defined on the synthetic field
“Current LTV” as “Current LTV > 50%”
8. 2.5 Pooling - Covenant Monitoring
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Current LTV is less than 50%, so it fails the covenant of Current LTV being
greater than 50%.
Such failed covenants are displayed in red font to alert the user.
This happens when the pool pays down or its loan composition changes.
9. 2.6 Pooling - Optimizer
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Assets that
comply with
these
covenants
alone will be
considered
If there are
covenants to be
complied with for
the tranche they will
be shown here
Optimizer will pick the
assets and the liability
structure that will maximize
these functions
10. Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Tranche structure
suggested by the
optimizer
Assets
selected by
the optimizer
are marked.
11. 2.7 Pool Monitoring - Stratifications
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Loans are organized into different buckets, which
can be custom specified
User can choose the columns
reported on for each bucket
12. 2.8 Pool Monitoring - Static Cash Flows
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Pool performance is monitored vis-à-vis
prepayments, delinquencies and defaults.
User can drill down to loan-level detail
13. 2.9 Pool Monitoring - Prepayment Speeds and Delinquencies
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Special statistics such as prepayment
speeds can be monitored period-wise for
each loan
14. Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Loans can be bucketed by
delinquency
Drilling down on a bucket gives
loan-level detail for that bucket
15. 2.10Pricing - Risk Based Pricing
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Price adjustment and loan
acceptance criteria are
specified via a matrix of
rules
Eligible loans are priced
based on the price
adjustment matrix
16. 2.11Pricing – Cash Flow based Pricing
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Net yield on Assets – Net Effective Yield on Liabilities + Deal Fees gives
the P&L from the securitization.
Users can iterate on asset price / yield to optimize the resulting profit for
a given capital structure
17. 2.12Pricing – Online Structuring
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Users can create different capital structures to
determine optimal funding for a given asset profile
18. 2.13Pricing – Liability Cash Flow
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Liability cash flow for the initial
capital structure size of $ 6 million.
19. Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
User can view the effect of
increasing the size of the capital
structure from $ 6 to $ 7 million in
this report
20. 2.14Deal Structuring - Tranche Creation
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
User can create cash flow
waterfall via a visual,
interactive interface
In this case, we have
created 4 tranches in a
sequential pay waterfall
Details of each tranche in
the waterfall can be
captured
21. 2.15Deal Structuring - Cash Flow Rules
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Waterfall description is
captured under the
“covers” via DoubleHelix
Summary of deal
structure
22. Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Additional details describing
cash flows and payment
priorities can be specified.
Tests capturing shortfalls and
overcollateralization can be set.
23. 2.16Deal Structuring - DoubleHelix Scripting Language
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
System configuration /
customization is done via an
XML based language,
DoubleHelix.
These XML scripts can be
stored in a hierarchical
library
24. 2.17Deal Structuring - Deal Summarization
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
The system produces a summary of
salient deal parameters
25. 3. Features of Interest – SPV
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
For example, all reports
defined for the deal are listed
and made accessible
26. 3.1 Collect Money from Asset to Account
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
SPV should just click the
“Execute” button to collect
money from the Assets to
Account
27. 3.2 Payout to the investors
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
To Pay to the tranches the SPV can execute the
already defined cash flow by specifying the Pay Out
Date and clicking “Execute””
28. 3.3 Deal Monitoring - Static Tranche Cash Flows
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Real performance (paydowns, cash allocation) can be
monitored for each tranche in a deal.
These reports can be customized and triggers set to notify a
user on occurrence of events such as defaults.
The user can drill down on any tranche
to get details for that tranche
29. Drill down
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Users can drill down to a period wise level of
detail on paydowns, cash allocations.
This permits bond administration.
30. 3.4 Deal Monitoring - Trustee Reports
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Can capture the current status of all accounts
and fees associated with an SPV
31. Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
32. 3.5 Deal Monitoring - DoubleHelix Scripting Language
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
System configuration /
customization is done via an
XML based language,
DoubleHelix.
These XML scripts can be
stored in a hierarchical
library
33. 4. Features of Interest – Rating Agencies
4.1 Analytics
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Analyze a tranche for a particular Moodys
rating Agency
Can be customized for any other Rating
Agency also
34. 4.2 Online Structuring
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Users can create different capital structures to
determine optimal funding for a given asset profile
35. Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Liability cash flow for the initial
capital structure size of $ 6 million.
36. Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
User can view the effect of
increasing the size of the capital
structure from $ 6 to $ 7 million in
this report
37. 4.3 Monitoring Deal Performance - Tranche Schedule Report
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Rating Agency can view the
Schedules and Payments to tranche
38. 4.4 Report on Accounts
Tranquilmoney, Inc., 29 West 34th
Street, 9th
floor, New York, NY 10001. Phone: (212) 494-0383. Fax: (212) 656 1492
Email: info@tranquilmoney.com. World Wide Web: http://www.tranquilmoney.com
Rating Agency can view audit trail of
the amount that is taken from the
Reserve Account (if any) and judge
the performance of the deal
Rating Agency can confirm the
compliance with the Terms of Issue