S&P Capital IQ has responded to customer demand for greater insight into commercial mortgage-backed securities (CMBS) by adding functionality to its ABSXchange structured finance analytics platform and upgrading its Excel Add-in that can be used across asset classes.
Additions to the CMBS model within ABSXchange are an improved loan assumptions editor that allows users to create liquidation schedules for each underlying loan in a deal, and individual loan cash flow projections that add cash flow projections for each underlying loan in a deal to cash projections for the pool of loans as a whole. These functions are designed to offer more transparency and data granularity when running CMBS queries against ABSXchange. They were made available early this week.
The upgraded Excel Add-In will be in production next week and offers users increased speed, more data fields, flexibility to create reports tailored to a user’s needs and an improved intuitive interface. Capital IQ has also added CMBS, residential mortgage-backed securities (RMBS) and asset-backed securities (ABS) templates to the add-in, helping users set up their own reports quickly and pull in data relevant to specific deals from ABSXchange.
Bruce Christie, director at S&P Capital IQ, explains: “Since the start of the financial crisis the CMBS market has faced a lot of challenges, such as loans due to mature that haven’t matured and loan defaults. These problems are rising and investors want to take these stresses into account in their analysis of deals. They want more control over CMBS models and the types of stresses they want to apply have changed, which is why we have added new features to ABSXchange and will continue to do so.”
With these upgrades in place and ABSXchange already offered as a web service or in-house system built using a C++ application programming interface (API) and incorporating Capital IQ’s models and data, the company is thinking ahead. While the focus of ABSXchange will remain on CMBS and ABS portfolios, Christie envisages the addition of covered bonds and increased coverage of collateralised loan obligations.
Reflecting Bank of England guidelines on making loan level data available that came into effect late last year and the European DataWarehouse initiative around loan level data, Capital IQ also intends to make more loan-level data available than it can currently offer to enhance CMBS analytics.
On the technology front, Christie says the company is working on an improved API and on a longer-term project that will add cash flow analytics to the Excel Add-in. At the moment, add-in users can download and analyse data to determine inputs to the cash flow model, but cannot run the cash-flow model as part of the Excel add-in workflow.