38 Moody's WSA Integration with OFS ALM

This chapter discusses the procedure for Moody’s integration with OFS ALM.

Moody's Analytics has a model - WSA libraries, which generate structured security cash flows. This functionality must support the modeling of structured products (ABS/MBS CMO's, and CDO's). In OFSAA ALM, this integration is necessary for modeling structured product cash flows of a given tranche of security. These cash flows cannot be modeled in the OFSAA CFE because of the nature of the rules in the waterfall of cash flows.

For example, structured security is backed by a pool of loans, and these loans pay principle and interest, but the certainty of cash flows is not known because of prepayment and loss activity within a specified loan pool. These monthly cash flows are run through the waterfall rule within the security and only then are the individual tranche cash flows derived. The Moody's cash flow model will output these specific tranche cash flows under given input assumptions, and OFSAA will uptake these cash flows into the ALM processing. The input assumption information is passed to the Moody's model, so their model will produce cash flows for a given tranche of the security (such as interest and principal), and the model results will be imported into our deterministic cash flow results (Detail Cash Flows, Result Detail, Result Master Cons Detail, and Cons Master).

Before using the Moody's cashflow libraries in OFS ALM, You must procure a license to the WSA librar­ies from Moody's Analytics.