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MIAC Acadametrics provide underlying analysis for Barclays research publication

MIAC Acadametrics are delighted to have assisted the Barclays Investment Bank research team with the analytics for a publication on the anticipated performance of non-conforming RMBS.

Using the RMAC 2007–NS1 loan level data series this project utilised a number of MIAC’s proprietary models and tools to assess the impact of the BoE and EBA macro-economic scenarios on portfolio performance.

Barclays used the analysis as a basis for their review on how changes in the macro-economic environment might impact performance in the UK NC sector and consequently, how it may affect RMBS investors. The article was issued to their client and investor base at the end of July under the heading “Barclays UK non-conforming RMBS Resilient to rate rises”.

Perf to Def ratios           PD Density

Please contact the author in the Barclays research team, Dipesh Mehta, if you require access to this publication.  Dipesh is a Director for European ABS Strategy at Barclays and can be reached at dipesh.mehta@barclays.com.

Alternatively, to discuss this work with us directly, or to request an abridged version of our original report, please contact us at the following link:  http://miac-acadametrics.co.uk/contact-us/

Joe Macklin

About Joe Macklin

As Director of Risk and Analytics at MIAC Acadametrics Ltd I am required to call upon all my 14+ years experience as a risk professional in the financial services industry. My deep and varied knowledge gained through my exposure to the end-to-end risk management framework, and the completion of relevant qualifications, enables me to add value to our diverse clientele and the varied markets they operate within.