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Moody’s Analytics Adds Autos to Portfolio Analyzer (PA)

Moody’s Analytics, a leader in risk measurement and management, today announced that it has added auto loans and auto ABS to Portfolio Analyzer (PA), its powerful risk management, stress testing and capital allocation tool. The additional asset-specific inputs will help retail portfolio managers more accurately forecast losses and capital allocation across security types.

Used by the largest global banks, regulators and government sponsored enterprises (GSEs), PA helps risk practitioners conduct detailed loan-level analyses using econometric models for default, prepayment and severity. PA then correlates these individual loan behaviors across a portfolio through their co-dependence on local and national macroeconomic factors.

Banks and auto lenders can use PA to analyze mixed portfolios for the U.S. Federal Reserve’s Comprehensive Capital Analysis and Review (CCAR), as well as for user-defined and Moody’s Analytics’ macroeconomic scenarios. Users can also customize PA’s loan-level model for their specific portfolios.

“We continue to enhance Portfolio Analyzer to help clients more efficiently manage complex portfolios for a variety of macroeconomic paths,” says Ashish Das, Managing Director of Research at Moody’s Analytics. “Today, regulators and financial institutions are looking for greater transparency into risks associated with auto loans. Using PA, our clients can estimate loan losses in a prolonged economic downturn and help to successfully meet the Fed’s stress testing requirements.”

PA can run analyses of a mixed portfolio of mortgage and auto loans, including subprime, prime, Alt-A, HELOCS and NegAms, automatically classifying these into prime or subprime categories. It also allows clients the flexibility to adjust for the probability of non-payment by primary mortgage insurers. The enhanced solution allows for detailed loan-level analyses by car type/make, car age, originator type (bank, captive or other), location of borrower and FICO, among other factors.