Username:
Password:
Forgot password?

Mortgage

• Home
• About PPR
• Services
• • Advisory Services
  • • Performance
    • Portfolio
    • Mortgage
    • European
    • Asian
  • Research and Data Services
• Purchase Reports
• Contact

The core of the Mortgage Risk Service is Compass^CRE, a desktop and Web services tool that calculates default metrics calibrated to historic Commercial Real Estate Mortgage defaults. Compass^CRE takes into account loan structure, seasoning, NOI growth, capital value growth, and market volatility. The analysis differentiates systematic risk across loan structure, metropolitan area, property type, time, seasoning period, and macroeconomic expectations (stress testing). The application directly provides complete time series measures of Probability of Default, Loss Given Default, Expected Loss, and Unexpected Loss for a loan, portfolio, or securitized pool.

The forecasted principal loss and volatility of loss during any period in any particular loan's term is calculated under alternate economic scenarios. Applying this metric provides base case and stress tested measures of Probability of Default, Loss Given Default, Expected Loss, and Unexpected Loss for a loan, portfolio, or securitized pool.

Key features:

• Differentiates credit risk across:
  • Loan structure
    
  • Market and property type
    
  • Seasoning period
    
  • Internal risk rating
    
  • Economic scenario
    
  • Time
    
  • Asset classes
• Assesses risk factors unique to construction loans
• Minimal input requirements
• Incorporates a complete time series of values for all aspects (PD, LGD, Expected Loss, Unexpected Loss, LTV, DSCR, principal balance, loan value/balance, etc.) of an individual loan, a mortgage portfolio, or an individual security
• Extensive customization of reports to fit each client's particular needs

Key benefits:

• Strengthens capital allocation and reserve decisions
• More efficient loan pricing
• Enhances surveillance through improved "watch lists"
• Validates and strengthens risk grades
• Improves communication of risk strategy to regulators, investors, and senior management
• Stress tests portfolios
• Facilitates Basel II compliance
• Enhances competitive position by setting more appropriate reserve and economic capital levels

Compass^CRE assesses the prospective performance of an individual loan and/or an entire mortgage portfolio. PPR's views on the behavior of the collateral's incomes and values drive the collateral performance of each mortgage. The benefit lies in thoughtfully outlining the substantive differences in the underlying economic fundamentals that occur among individual real estate markets, as well as the varying level of uncertainty surrounding each assessment. These factors are crucial in determining of the borrower's economic incentives for the loan, and our increased understanding of this information is therefore essential to a more accurate assessment of risk.

In order to determine loss, Compass^CRE utilizes a proprietary risk metric benchmarked to historical default data. This calibration allows specific determination of the sub-components of loss: Probability of Default (PD) and Loss Given Default (LGD). Applying these important metrics allows lenders to proactively manage their portfolios, thereby reducing losses and reserves required to cover them. As a result, the downside exposure measures reveal opportunities and improve capital allocation decisions.

For more information contact us or call 617-426-4446