Portfolio Analysis Case Study: Investment Banking Firm Licenses JWL to Overhaul Whole Loan Portfolio Analysis

Client’s Challenge

  • The client, a U.Sbased investment bank, wanted to leverage third party whole loan analytics for use within its fixed income management division.Ideally, the client wanted to be able to use one application to conduct endtoend analytics for their residential loan portfolio.
  • Five Bridges worked with the client and determined that the customization features offered in Javelin’s whole loan analytics platform, JWL, would offer the tools needed for the client’s project.

Our Solution

  • The client needed the ability to manipulate price and yield outcomes for securities in their whole loan portfolio as part of their analysis. With JSP’s portfolio analysis tools, client users had the ability to override pricing inputs for individual loans and analyze what effect these overrides will have on forecasted price and yield.
  • The client also needed the ability to run their portfolio through simulated scenarios to see the effects on their portfolio value.  JSP offers the power to create custom scenarios to use in cash flow and price/yield forecasting.
  • The bank leveraged the JWL reporting engine for management reporting as well as for periodic ad hoc analysis.

Outcome

  • With the help of Five Bridges’ customizable analytics in JWL, the client’s fixed income analysts were able to get a more robust look at investments in their whole loan portfolio.  This in turn enhanced the firm’s overall fixed income investment operations.
  • Since their implementation of JWL, the bank has expanded its use in the bank’s annual stress test exercise as well as in developing estimates of economic capital and credit valueatrisk (VaR).