Our latest thinking on asset-based finance, quantitative underwriting and loan-level analytics.
Mandated transparency. Unpriced information.
Europe’s loan-level securitisation disclosures cover over €2.5 trillion of credit, reported monthly — yet remain substantially uncomputed by the market. We explain why the barrier is engineering, not access, and what the cleaned tape reveals once it’s usable.
Public markets reward speed. Asset-based finance rewards learning.
Quantitative signals decay fast in public markets because arbitrage compresses them the moment they’re known. In asset-based finance, information arrives through realised cash flows rather than continuous prices — so signals persist for reporting cycles, not trading sessions, and the platform’s edge compounds with every loan repaid.
The pool is priced on what the borrowers have in common. The losses come from how they differ.
Two mortgage pools with the same weighted-average LTV do not perform the same, because loss severity is not linear in LTV — and the error only ever runs one way. What averaging destroys, why no downstream modelling recovers it, and why the resolution matters more inside a tranched structure, not less.
House-price indices describe the average property; mortgage pools are not average. Using loan-level data across millions of UK mortgages, we map where borrower equity is actually concentrated — and where index-level comfort conceals pocket-level fragility.