CMBS Cashflow Engine
477 deals liveModels every loan in a conduit deal and runs the cash through an explicit bond waterfall, with stress, pricing and risk on the same run.
- Sequential principal, reverse loss allocation, IO and X strips, and vertical risk retention
- Prepayment, default, severity, recovery lag and CPY vectors, loan-level overrides, servicer-status rules and a maturity-extension overlay
- Price, yield, WAL and duration for every class, with the full period-by-period history and run-to-run compare
- Scenario grids, rate-curve and spread bumps, and breakeven CDR on demand
- Monte Carlo on the same waterfall: stochastic credit and prepayment paths, and the loss, WAL and price distribution for every class
- Use it for surveillance and trading, or run it for your investor clients under your organization's login
