Beyond Replines: The Case for Loan-Level Cashflow Modeling

Repline-based models have long been the legacy standard for securitization—but they’re no longer enough. With today’s computing power and data availability, loan-level modeling isn’t just possible, it’s essential.

In our latest research, Beyond Replines, we demonstrate how loan-level modeling delivers:

• Superior accuracy in collateral and tranche cashflow projections

• Greater transparency into structural waterfall behavior

• Stronger risk insights that impact pricing, ratings, and investor outcomes

A case study on a 2024 consumer unsecured securitization shows material divergences between repline and loan-level approaches, reinforcing that reliance on cohort averages can distort both risk and return.