Services // Structured Finance Analytics

Pre-issuance Transaction Reviews

iStock_000020246930XSmallWhen engaged to provide this service, we review the transaction structure and supporting deal documents, collect information on the collateral and the bonds, and set-up the deal in our proprietary cash flow model or client’s software. At this stage, we work closely with issuers, trustees, servicers, underwriters, and transaction attorneys to discuss and clarify ambiguous definitions in the deal documents. ETI’s extensive experience with reviewing detailed and sometimes conflicting waterfall provisions described in governing deal documents, and then translating these provisions into deal scripts, provides transaction parties with an additional level of comfort that waterfall calculations are in synch with intended definitions and provisions in the deal documents. Given the increased level of litigation related to structured finance products, we believe that the task of creating deal documents that comprehensively describe a deal structure under all possible scenarios and making accurate waterfall calculations will be increasingly important as securitizations return to the marketplace.

Deal Cash Flow Models

ETI has extensive experience in creating cash flow models for a variety of transaction types, including senior subordinated shifting interest, overcollateralization, insurance wrapped, and other deal structures. This process first includes completely modeling the deal in our proprietary securitization system or client’s software. Our software incorporates a variety of prepayment and loss assumptions for projecting collateral cash flows. We carefully read important deal documents, focusing on key waterfall provisions, including bond tranching rules, step-down provisions, trigger events, and loss allocation rules, and then compare our results against the tables set forth in the prospectus or other selling documents. We work closely with the trustees, issuers, servicers, underwriters, and attorneys to clarify ambiguous definitions in the deal documents and loan-level data that may be incomplete. Our extensive experience with translating provisions in deal documents to deal scripts and identifying difficult and conflicting provisions provides our clients with an extra level of assurance that waterfall calculations are as accurate as possible.

Monthly Bond Administration Services

ETI’s bond administration services consist generally of completing the monthly payment calculations for the certificate holders. As such, we replicate the monthly bond administration process as it would be completed by the trustee, bond administrator or issuer. On a monthly basis, we first import loan-level remittance data or pool specific aggregate data into our databases, using customized data mapping and extensive data integrity checks. We actively discuss and resolve various loan data problems with our clients or the investor reporting group providing the loan data. We then calculate the resulting bond payments by utilizing the cash flow models described above, generally compare our recalculations against those completed by the calculation agent, and reconcile any differences. We have extensive experience with this process, utilizing our knowledge of servicing issues, waterfall provisions, bond payment issues, and making use of our efficient software to provide a valuable service to our clients. This value-added service helps our clients maintain the lowest bond payment revision rate in the industry and provides our clients with an extra level of comfort for internal audit and Reg AB reporting.