Deutsche Bank announced today the availability of two analytic models to the more than 310,000 subscribers of the Bloomberg Professional service.
The Deutsche Bank Commercial Mortgage Backed Securities (CMBS) Credit Model and Deutsche Bank Mortgage Prepayment Model will help investors evaluate securities in the $472 billion private agency mortgage backed securities (MBS) market and the $5.2 trillion agency mortgage market.
“We’re excited about working with Bloomberg to provide our expertise in commercial and residential analytics to a significant worldwide audience,” said Steven Abrahams, Head of MBS and Securitization Research at Deutsche Bank.
The Deutsche Bank CMBS Credit Model, which enables investors to estimate the overall value of commercial mortgage securities and effectively analyze loan portfolios, is the first independent CMBS model on the Bloomberg Professional service. The proprietary credit model, available to all Bloomberg users, can be accessed on the terminal through CMBS analytics powered by Bloomberg cash flows. Users can select Deutsche Bank's base, best and worst case scenario models from a drop down menu on analytics such as SPA<GO> and SYT<GO>.
Through the model, investors can apply scenarios on a loan level basis and assess the impact on related bond cash flows. The Deutsche Bank CMBS Credit Model is designed to reflect views on a combination of factors including commercial real estate fundamentals, financing conditions, borrower behavior and servicing standards.
“The Deutsche Bank CMBS Credit Model is a valuable analytic tool that leverages our expertise and innovation in commercial real estate,” said Harris Trifon, Global Head of CRE Debt Research at Deutsche Bank. “We believe our approach is the most effective way to help investors understand and compare deals.”
"We're pleased to integrate Deutsche Bank's models with our cash flows and analytics so clients can better assess financing conditions impacting the mortgage market," said Russel Parentela, Bloomberg's Global Head of Structured Products. “Bloomberg is committed to collaborations that provide even more value, transparency and efficiencies to our clients."
Deutsche Bank has also provided the Deutsche Bank Mortgage Prepayment Model, an agency mortgage backed security prepayment model, to Bloomberg subscribers. With this model, analysts, portfolio managers and traders will be able to assess an independent prepayment opinion to better analyze bond value and risk.
Deutsche Bank’s agency prepayment model incorporates the latest changes to government refinance programs to provide accurate estimates of cash flows. It is fully integrated into Bloomberg’s analytical tools and application program interface (API).