Solver

The Solver feature is located within the Scenarios tab, and can be used on all deal types. The Solver is intended to support solving for relevant values to use within the Scenarios, to run stresses on the deal. 

For example, it can help users solve for the maximum amount of delinquency or prepay that the bonds can support until the structure collapses.

Solver Fields

Tranche

The Solver can be used per Tranche. Within this drop-down menu, the user can choose the relevant Tranche which they are interested in.

The menu will contain all of the Tranches in the deal.

Set Target Variable

The user can choose which Target Variable is of interest: the Principal Write-Down Amount, or the Cumulative Interest Shortfall Amount.

The user can focus on the aspect of the bond strength that they wish to stress. 

To Value

The user can define the actual Value of the Target Variable selected.

For example, if the user has chosen a Target Variable of Principal Write-Down Amount, and set the to value field to 1000, the Solver will solve for the value that will cause a $1,000 Write-Down in the selected Tranche.

By Changing Variable

The user can choose which variable to stress, in order to achieve the target value. The user can choose to calculate the following variables: 

Important to Note - If the variable has supporting fields within the scenario, the user will have to fill out the supporting fields before running the solver. For example, under CDR% the user needs to define the severity and the lag.

Select All

The user can choose to run the Solver by clicking on the white box, only marked selections will run.

If the user clicked on Select All button, all of the scenarios which have solvers defined will be selected. 

Solver Selection

Click on Solver Selection to run the Solver. The Solver will only run for scenarios that are marked.

Solver Output(s)

In this section, the user will be able to see the Solver’s outputs after running it. This line will show the necessary value to plug into the Scenario, in order to achieve the Target Value.

Import Selection

The user can import the selected values into the Scenarios, by clicking on Import Selection. 

Important to Note: The entire value is copied, but it will be displayed with only 2 digits after the dot.

Achieve(s) Target Value of

The user can see to what accuracy level the solver has reached. While the goal is the original value entered by the user, the solver will not always be able to reach exactly the chosen value. In the field Achieve(s) Target Value of:, the user can see the exact Value reached by the Solver.

Copy to All Scenarios

Each Solver is independent per scenario, yet the user can use the copy to all scenarios button to quickly copy the settings to all other scenarios, thus saving time and being able to quickly test multiple scenarios without setting each one up individually.

Notes

• The solver will run with the inputs in the scenario defined above
• While the solver is running, the Output and the Target Value may be blank before populating
• There is not always a feasible solution, users must try adjusting the inputs. A common issue occurs when a user is trying to run the Solver on CDR without defining severity and lag within the scenario itself.
• The solver definitions are not saved, when leaving the page the user will not be able to see the settings again. Therefore, each time the user wishes to use the solver, they must input the settings again.