Structured Products

Overview

Our Structured Products suite is designed to provide comprehensive analytics for the mortgage and structured credit markets. Built on deep loan-level data from Fannie Mae, Freddie Mac, and proprietary sources, these products are designed to support MBS trading, whole loan analysis, securitization, and portfolio management across agency and non-agency markets.

The modern alternative to legacy structured products analytics. Purpose-built tools that deliver faster insights without the enterprise price tag.

Products in This Category

Mortgage Analytics

Comprehensive mortgage analytics platform built on Fannie Mae and Freddie Mac loan-level data.

Key Capabilities:

• Loan-level performance analysis and visualization
• Prepayment and default modeling with scenario analysis
• Cash flow projection tools for portfolio valuation
• Agency pool comparison and relative value analysis
• Historical performance tracking and benchmarking
• Integration with pricing and risk systems

Why It Matters: Deep loan-level analytics that help you understand pool composition and project future performance. Essential for informed MBS trading and portfolio management.

Spec Pool Pricing

Specialized pricing tool for specified pool analysis and relative value assessment in the agency MBS market.

Key Capabilities:

• Spec pool payup analysis across story types
• Story bond identification and classification
• Prepayment protection valuation models
• Relative value screening and ranking
• Historical payup tracking and trends
• Custom payup model development

Why It Matters: Spec pool payups are driven by complex prepayment dynamics. Our tools help you identify value and avoid overpaying for prepayment protection.

Tape Analysis

Loan tape parsing and analysis tool for rapid evaluation of mortgage and consumer loan portfolios.

Key Capabilities:

• Automated tape ingestion and standardization
• Portfolio stratification and visualization
• Cash flow modeling integration
• Due diligence report generation
• Data quality assessment and cleaning
• Comparison across multiple tapes

Why It Matters: Evaluate loan portfolios in hours, not days. Our automated tape analysis tools accelerate due diligence and help you move fast on whole loan opportunities.

Covenant Monitoring

Loan portfolio monitoring tool to forecast covenant breach risk and trigger events.

Key Capabilities:

• Customizable covenant specification and tracking
• Breach probability forecasting with Monte Carlo simulation
• Early warning alerts for approaching thresholds
• Scenario analysis for covenant headroom
• Portfolio-level covenant aggregation
• Integration with loan servicing data

Why It Matters: Avoid covenant surprises before they happen. Our monitoring tools give you early warning and help you manage around triggers proactively.

Pool Splitting Tools

Portfolio optimization tool for splitting or restructuring loan pools into equivalent or targeted sub-pools.

Key Capabilities:

• Pool equivalence algorithms for fair value splits
• Custom split criteria (geography, LTV, FICO, etc.)
• Regulatory compliance checks
• Execution-ready output files
• Optimization for specific objectives (duration, WAL, etc.)
• Scenario analysis for different split configurations

Why It Matters: Whether you’re restructuring a portfolio or creating targeted sub-pools for different investors, our tools help you split pools fairly and efficiently.

Why DataFrame Labs for Structured Products

Modern Technology

Cloud-native, API-first architecture vs. legacy desktop systems. Faster analysis, easier integration, no IT headaches.

Speed

Get answers in minutes, not hours. Our tools are designed for the pace of modern trading desks.

Accessible Pricing

More affordable than enterprise solutions. Institutional-quality analytics without the institutional price tag.

Deep Specialization

We focus on structured products. This depth means better models, more relevant features, and faster innovation in this specific domain.

Delivery Options

• API & Data Feeds - Real-time pricing and analytics for trading systems
• Interactive Dashboards - Web-based tools for analysis and research
• Batch Processing - Bulk tape analysis and portfolio valuation
• Custom Reports - Formatted outputs for investment committees and due diligence