BGVAL™ Database and Analytics Portal – Agency and Non-Agency Data and Analytics
Agency and Non-Agency Data and Analytics
Berkshire Group maintains a data portal where analysts can access agency and non-agency data for analysis. Users can run queries to zero in on relevant date, deal, loan characteristic, and other cohorts for analysis.
Our flexible data analysis toolkit includes features such as:
- CUSIP drill downs to view collateral characteristics, prepayment histories and geographic make-up analyses
- Agency cohort analysis to generate time series, aging and “in-the-money, out-of-the money, prepayment propensity” curves (s-curves), origination and payoff analyses
- Benchmark comparisons – compare pools and securities across key factors
- Pre-defined and custom agency and economic activity reports
Berkshire Group’s comprehensive, on-demand data powers one of the most effective platforms in the industry for analyzing collateral and bond-level performance. With deep multifaceted detail, it also enhances the accuracy of what-if projections and grounds their results in concrete reality. It provides similar authority to projection vectors; bond and collateral performance analytics; price distributions for given yields, discount margins, and option-adjusted spreads; write-down and loss distributions; cashflow analyses; and HPA and forward-rate analyses — both for buy-side fixed-income clients and sell-side underwriters.
Berkshire Group sources loan level and deal data directly from agencies, issuers, trustees, servicers and other sources. We check the data for consistency and accuracy and map it into a consistent format and populate our databases for use internally and by our clients.
Agency Asset Valuation Engine – available through portal
Berkshire uses a mega-path valuation approach for Agency Pools and Securities, Hedging Instruments and MSRs that may be accessed through its web portal.
Berkshire Group’s agency valuation core technology is built on five key components:
- Interest rate model
- Prepayment model
- Structured Cash Flow Waterfall (SCFW) processing
- Macro-economic model
- Monte Carlo simulation
Non-Agency Asset Valuation Engine – available through portal
- API and/or GUI Accessed Loan Level Risk Based Pricing System:
- Risk-based pricing of loans (residential mortgages, HELOCs, consumer, commercial)
- Risk-based pricing of loan-related assets (MSRs, MBSs, ABSs, caps, swaps)