THINKFOLIO for Securitised Assets

Thinkfolio supports securitised asset workflows across portfolio exposure, collateral transparency, cash-flow analytics, pre-trade modelling, TBA operations and execution connectivity.

Built for securitised product portfolio managers, traders and analysts, Thinkfolio provides portfolio views across MBS, ABS, TBAs and related structured credit instruments. Users can monitor exposure, risk, valuation, cash-flow behaviour, collateral characteristics and mandate constraints across portfolios and strategies.

Thinkfolio combines market reference data, pricing curves, repo rates and proprietary cash-flow models with user-defined classifications and custom calculations. Teams can structure views by pool type, issuer, tranche, collateral type, geography, seasoning, prepayment model, credit enhancement, maturity bucket and strategy.

Native analytics support securitised product decision-making across yield, duration, convexity, OAS, key-rate duration, WAL, PSA, prepayment assumptions and cash-flow-based measures where configured. Look-through analytics help users understand underlying pools, collateral exposure, tranche behaviour and indirect holdings.

Pre-trade modelling enables users to assess purchases, sales, rolls, switches, cash-neutral rebalances and duration-neutral hedges before execution. Scenario analysis helps quantify the impact of rate moves, spread shifts, prepayment shocks and collateral assumptions on portfolio analytics and exposures.

Trade-cycle workflows connect analysis to approval, routing, execution and post-trade processing. For U.S. Agency TBA workflows, Thinkfolio supports integration with AFS TBA Mortgage Master, enabling exceptions-based STP automation, real-time TBA reporting, notifications, assignment, pair-offs, pool-delivery reconciliation and trade matching where configured.

Key capabilities

• SECURITISED ASSET COVERAGE

  Support for Agency MBS, Non-Agency MBS, ABS, TBAs and related structured credit instruments across multi-portfolio and multi-mandate workflows.

• MARKET DATA AND CASH-FLOW MODELS

  Market reference data, pricing curves, repo rates, proprietary cash-flow models and internal attributes combined in a configurable front-office workflow.

• USER-DEFINED CLASSIFICATIONS

  Configurable classifications across pool type, issuer, tranche, collateral, geography, seasoning, prepayment model, credit enhancement, ESG tag and strategy.

• COLLATERAL LOOK-THROUGH

  Look-through analytics to underlying pools, collateral and indirect holdings to identify true exposure, concentration and cash-flow behaviour.

• SECURITISED ANALYTICS

  Analytics including yield, duration, convexity, OAS, key-rate duration, WAL, PSA, prepayment speeds and cash-flow-based measures where configured.

• TRANCHE AND CASH-FLOW VIEWS

  Support for tranche-level analytics, cash-flow waterfalls, price-to-cash-flow views and collateral-driven exposure analysis where configured.

• PRE-TRADE MODELLING

  What-if modelling for purchases, sales, rolls, switches, rebalances and hedges, with current versus proposed exposure and analytics impact.

• SCENARIO ANALYSIS

  Scenario modelling for rate moves, spread moves, prepayment shocks, repo assumptions and collateral behaviour.

• TBA OPERATIONS

  Exceptions-based STP automation for U.S. Agency TBA trading, including real-time TBA reporting, notifications and operational controls where configured.

• POST-TRADE TBA PROCESSING

  Support for assignment, pair-offs, pool-delivery reconciliation, trade matching and downstream processing through AFS TBA Mortgage Master integration where configured.

• EXECUTION CONNECTIVITY

  Trade-cycle workflows from idea to model, approve and route, with broker restrictions, routing controls, STP automation and EMS / FIX connectivity where configured.

• EXECUTION CONNECTIVITY

  EMS integration and trading venue FIX connectivity to route approved orders to traders, dealers and electronic venues where configured.

• STP AND AUDITABILITY

  STP automation to reduce manual touchpoints, improve workflow consistency and maintain audit trails from investment idea to executed order.