A method for assessing and dynamically rating the performance of the collateral pool and tranches in off-balance sheet (structured finance) transactions post-origination.
The payment promise of each tranche in an off-balance sheet is embedded in the original transaction economics. So, the key question for an investor is—how is my deal doing now, with new information, relative to the expectation at origination?
To address this question, two dynamic interactive processes need to be modeled carefully using authenticated live data: the amortization of optionality in the collateral pool, and the deleveraging of the capital structure.
The answers are unobtainable through manual calculations or simple back-of-the-envelope modeling methods. A process is required with the correct functional representation of the transaction, cumulative data and fast computational devices.
Spectrum has patented this process: US 20030208431A1
A comprehensive waterfall scripting tool for standardizing the analysis of credit assets for systematic exploration and quantification of the value impact of variations in collateral and capital structure.
Originally, the WFE© was designed to serve our internal requirement for best-in-class, off-balance sheet structuring and analysis solutions. But after many years of internal use, Spectrum copyrighted and licensed various custom versions of the WFE© to clients wanting something more accurate, less costly, and with more reach into exotics than the legacy models offered.
Reg No. TX0007489662
Spectrum has also adapted the WFE© for IFRS 9 requirements and to model out how capital structure impacts enterprise value.
Superior features of Spectrum’s WFE© include the following:
WFE© ontology precisely replicates the lexicon and grammatical structure of off-balance sheet transactional balances and flows;
The WFE© generates the equilibrium economics of the deal at origination so the ABSTRAK® can overtake and update the WFE© deal file post-origination;
The WFE© is equipped with a flexible debugging routine that allows on-the-spot inspection of outputs and verification of computational accuracy and waterfall logic;
Callable routines have been written to explore the risk and value implications of different indices (SOFR, EURIBOR, JIBOR) as well as basis risks.
A world-first implementation of war games technology to bring change agents together for sustainability.
Unlike other sustainability or ESG rating architectures, which are top-down, inflexible and inconsistent, Spectrum’s SmartCityRatings™ dignifies the promises of sustainability lenders or grantors and borrowers: governments, embryonic companies or innovative projects inside mature companies.
From covenants and supporting data, SmartCityRatings™ to control their ESG narrative while solving for:
(a) the path to deploy capital most effectively to achieve the goals; and
(b) measures how well the user of capital is staying the course.
The measure of distance to the ideal is a SmartCityRatings™.