Deal Support
Independent risk, tranching and pricing analysis for SRT, CLO and ABS transactions and capital issues, for investors or issuers. We also help design transactions: the pros and cons of each design are explained and structuring ideas refined until the best solution is found.
- Data due diligence: pool PDs and LGDs, rating transition matrices, sectoral and geographic correlations, prepayments
- Stress analysis: an Originator Case, a Base Case and two or more Stress Scenarios defined with the investor
- Monte Carlo modelling: multi-period simulation of the pool using Risk Control software
- Cash-flow waterfall modelling, checked for consistency with the transaction's legal documentation
- Reporting to transaction teams and investment committee
- Example: for a major bank, memoranda of information for investors in risk transfer transactions
- Example: for a large investor, pre-transaction analysis for the investment committee
Related research
Capital Cliffs and EU Securitisation Regulations
This report (written jointly by a Risk Control Director and co-authors from leading industry organisations) assesses cliff effects in European securitisation capital rules. Capital cliffs create distortions and exacerbate instability in financial stress…
Full text · figuresRisk Control presents at Italian securitisation workshop
Risk Control Director William Perraudin gave a talk to a large audience of Italian bankers and policymakers in Rome. The talk drew on our recent report on Making the Bank Securitisation Capital Rules Work for Europe. The presentation slides can be downloaded…
Full text · figuresMaking the Bank Securitisation Capital Rules Work for Europe
This report assesses the European Commission’s 17th June 2025 proposals for reforming bank securitisations capital rules. While we welcome the intended goal of unlocking bank issuance and investments in securitisation, and the direction of the proposed rule…
Full text · figuresTell us the question. We’ll show you the model.
Every engagement starts with a conversation with the quants who would do the work.