Cascade® is the most flexible and unparalleled transparent cash flow projection tool for Structured Credit products in the market.
It was originally developed in collaboration with several large-scale investors in structured credit and thus supports any kind of structure out of the box. Future changes in the market, like for example considering negative interest rates, libor floors or any specific needs of investors are updated periodically.
With Cascade® users can make assumptions on single assets, indiviudally definable groups of assets, the whole portfolio and any combination of these three.
Further users can upload vectors which define a trend for a single factor like default rate or constant prepayment rate (CPR) etc.
Key for using an external waterfall engine is to know how your input is used, results are coming from and how the waterfall priority is defined.
Cascade® not only enables to derive modell prices but also to satisfy regulatory authorities or internal risk management by delivering fully detailed outputs for each single cash flow date.
A detailed export in Excel allows for superior understanding of the whole cash flow distribution through several views, starting with how the collateral behaves to what rule triggered what cash flow in each single period.
Through regulatory changes, stress testing is getting more important than ever.
Cascade® includes a special section to ease up the analysis process and perform several calculations on the same time.
You can stress the portfolio and / or single tranches and receive a full set of data to get a view on the sensitivity of your investment and fulfill regulatory as well as in-house risk management demands.
Please feel free to contact us for more information or a demonstration.