Waterfall & IRR Modelling
Credit & Valuation
Waterfall & IRR Modelling
Structured credit returns depend on the payment waterfall, the recovery assumption and the path of the collateral. Each is flexed independently.
Beyond a base case
- IRR matrices produced across the full variable set
- Collateral value sensitivity modelled explicitly, including property and asset price paths
- Haircut scenarios at varying severity
Waterfall modelling underneath
- Cash flow allocation between tranches computed rather than approximated
- A change in recovery assumption flows correctly through the structure
- Tranche-level returns under each scenario
Where it applies
- Any structured credit book with collateral-dependent returns and a defined payment priority
- Mortgage-backed portfolios, auto loan securitisations and shared appreciation structures
- Deployed on a live structured credit portfolio