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Mortgage Servicing Rights

MSR Buyers & Sellers

Eliminate Missed Opportunities and Costly Pricing Errors

  • Get complete coverage, including Agency, FHA/VA & Non-QM

  • Understand cohort-specific CPR trends relevant to your MSR sale or portfolio

  • Go beyond cohort-level valuation with loan-level, trading-quality prepayment and credit models

  • Spend less time cleaning and loading loan data

  • Customize MSR risk scenarios

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RiskSpan’s Platform is the only integrated MSR solution offering granular loan-level historic performance analysis, smart loan mapping technology and innovative loan level MSR pricing models, robust scenario capabilities all built on a modern, fast, scalable, secure and user-friendly tech stack. 

Interactively Query & Filter Loan Data and Historical Performance Metrics

Quickly generate custom cohort stratifications to understand CPR trends relevant to your MSR sale or portfolio. Actively benchmark performance of Ginnie Mae, High-LTV, Low-FICO, or any other loan subset

(Direct Data Access via Snowflake Also Available)

Access Interactive Loans module: 

    • Create Composition reports
    • Query/filter loan data
    • Extract loan data for external constituents

Report on historical performance and filter performance metrics across dimensions:

    • Prepayment
    • Default
    • Recapture rates

Leverage suite of customized data visualization reports (via Tableau)

Outsource the Heavy Lifting of Consolidating and Mapping Servicer Data

  • Quickly load and map portfolios from different counterparties using AI-powered tape cracking

  • Apply machine learning model that accounts for past experience

  • Leverage RiskSpan’s recommended QC rules and backup values 

  • Access QC audit reports showing mapping choices and exceptions

Meet multiple bid deadlines, save hours of work, and improve your analytic precision by using Smart Mapper to load loan tapes

MSR Bid Analysis: Loan-Level MSR Prepayment Model

  • Trading-quality prepayment and credit models and MSR cash flow engin.

  • Forecasts include detailed MSR component cash flows, optionadjusted valuations

  • Results can be viewed across various pre-canned or custom segmentations

  • In-house best in class modeling team regularly updates model and is available to clients as a resource

  • Robust interactive model diagnostics available for back-testing

MSR Risk Analysis: Comprehensive Scenario Analysis and Customization Options

Run multiple interest rate and or pricing scenarios to better understand  range of possible MSR valuations

  • Flexible User Interface (UI) easily  incorporates custom model dials and MSR assumptions

  • Create and save custom interest rate scenarios aligned with your firm’s economic view¤

  • Multiple team members can view, and access analytics results through the Platform

  • Automated, overnight run process allows for on-time delivery of daily analytics run at the loan-level

  • Integrate overnight analytics results into your firm’s enterprise risk platform through Snowflake connectivity

Leverage modern technology and a managed service approach for reliable and timely daily MSR valuation and risk analytics 

Contact us to learn more, get a free demo, or request a free trial

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How reliable is your data?

Our team of quants and data
scientists is available on demand
to provide custom support.

LEARN ABOUT OUR SERVICES

Portfolio Risk Analytics

Portfolio Risk Analytics

A fully-managed, end-to-end market risk solution for your entire portfolio

Cloud-Native Risk Service

Designed by Quants and Technologists for Fast Implementation

We have transformed portfolio risk analytics through distributed cloud computing. Our optimized infrastructure powers risk and scenario analytics at speed and cost never before possible in the industry.

Perform advanced portfolio analysis to achieve risk oversight and regulatory compliance with confidence. Access reliable results with cloud-native interactive dashboards that satisfy investors, regulators, and clients.

A typical Enterprise-size client:

Loan & Instruments

  • 300M Loans

  • >25,000 Instruments

  • 50 Billion Cash Flow Projections

Scenarios & VaR

  • 150 Standard Scenarios

  • 3 Year VaR Lookback

  • 750 Scenarios per Instrument

Types & Simulations

  • 100+ Instrument Types

  • 187,500 Simulations per Instrument

Secure & Scalable

  • IBM Cloud

  • Amazon Web Services

Fully-Managed Market Risk Solution

Covers all asset classes – specialization in mortgages and structured products

Infinitely Scalable Processing

We’re fast. Very fast. Our modern, streamlined technical architecture and operations support monitoring enable return speeds that set a new industry standard.

Integrated Data & Models

Multi-asset class coverage. We cover everything – integrated data feeds with asset-level results, rates models, prepay models, credit models and VaR for complex instruments like MBS and ABS.

Dynamic Reporting

We deliver robust stress testing, sensitivity analysis, and enable you to export standardized and customized reports. You’ll have interactive and on-demand access around the clock.

Two Flexible Options

Fund Subscriber Service

Standard over-night on-cloud processing provides advanced risk analytics for multi-asset class risk modeling results:

  • Exposure Analysis

  • Option Greeks (delta, gamma, Vega, theta, rho)

  • Beta

  • Value-at-Risk (VaR)

  • Stress Testing (interest rate shocks)

  • Correlation Analytics

  • Liquidity

  • DV01

  • CS01

  • Key Rate Durations (KRDs)

Managed Service

Our Managed Service inherits the powerful software analytics from our Fund Subscriber Service but also enables:

  • Custom Analytical Support

  • Custom Scenario Setup

  • Variable Pricing on Additional Instrument Processing

  • Custom Batch Scheduling Options

  • Custom Enterprise System Integrations

Easy Integration and Delivery

Web Services Integration

For Enterprise-scale customers that require back-end integration with other back-office systems. Access the Market Risk Service Module analytics intra-day through an XML process or REST API that maximizes speed of delivery.

Customized Investor Reports

Access pre-formatted reports in downloadable PDF-format for on-demand analytics and scheduled batch processing runs. Our application enables users to set up custom scenarios and custom report files to perform analysis when they need it.

Data Feeds

Access for downstream data systems in file-based delivery formats including CSV, XML, and JSON – for on-demand analytics and scheduled batch processing runs.

Interactive Dynamic Dashboards

Browser-based, drillable visualizations of your portfolio risk are available via our interactive dynamic dashboards

Instrument Type Coverage

Options

  • Equity Index Option

  • Equity Index Futures Option

  • Equity Option

  • Bond Futures Option

  • Commodity Futures Option

  • FX Futures Option

  • FX Exotic Option

  • FX Option

  • Interest Rate Futures Option

  • Equity Volatility Index Option

Fixed Income

  • Bank Loan

  • Corporate Bond

  • FRN

  • Municipal Bond

  • Sovereign Bond

  • Inflation Linked Bond

  • Money Market

  • Convertible Bond

  • Corporate Bond Swap

  • Convertible Bond Swap

Structured Products

  • ABS

  • Agency Residential

  • Non-Agency Residential

  • CDO

  • CMBS

  • Pass-through Pools & TBA

  • RMBS

  • Whole Loans and real estate

Swaps

  • Basis Swap

  • Interest Rate Swap

  • Bond Index Total Return Swap

  • Equity Index Swap

  • Equity Swap

  • Inflation Swap

  • FRA

  • Volatility and Variance Swaps

Equity Products

  • ADR

  • Bond ETF

  • Common Equity

  • Equity CFD

  • ETF

  • Equity Warrant

  • Preferred Equity

Futures

  • Bond Futures

  • Equity Futures

  • Equity Index Futures

  • Commodity Futures

  • Interest Rate Futures

  • Equity Volatility Index Futures

Credit

  • CDS Corporate

  • CDS Sovereign

  • CDS Index

  • CDS Option

Derivatives

  • Swaption

  • Swaption Future Premium

  • Interest Rate Cap

  • Interest Rate Floor

FX

  • Forwards

  • Spot/Cash

Others

  • Repo

  • Reverse Repo

Resources

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Article

How reliable is your data?

Our team of quants and data scientists is available on demand to provide custom support.

LEARN ABOUT OUR SERVICES

Private-Label RMBS

Private-Label RMBS

Trading and risk management analysis and analytics powered by RiskSpan’s proprietary tools and loan-level models

Boost trading profits and efficiency with Edge. Be ready to act when opportunities arise by pre-analyzing RMBS performance data and ranking cohorts. Confirm relative credit value against benchmarks; value bonds with loan-level forecasts and Intex-integrated cash flows and analytics; and infer current prices with filtered market color. Analyze new issue deals with precision by linking loan and CDI files. Lift portfolio returns over time by using Edge’s risk signals to informing reweighting and leverage.

Filter Offers Efficiently

by Pre-Analyzing History

Query Edge’s rich private-label RMBS database (loan-level performance since before the Financial Crisis) to rank cohorts so you have a cheat sheet when deals arrive.

  • For example, run 100 shelves and rank credit losses and prepay speeds

  • When you see a top-ranking shelf or loan type, use Edge to value the deal precisely; when you see a low-ranking cohort, don’t spend time

See Relative Credit Value

by Benchmarking Bond, Collateral

View a bond’s credit support and collateral composition and performance alongside user-selected benchmarks.

  • Compare bond credit support and thickness

  • Visualize relative collateral credit quality with loan attribute distributions and delinquency, default, severity and prepay rates plotted over benchmarks

  • Spot risk pockets with collateral composition visuals, like geographic concentration maps and FICO-LTV scatterplots with color scaling to flag loans with additional risky features

  • Secure committee approval sooner by exporting presentation-ready visuals

  • Buy bonds due for ratings upgrades and sell bonds nearing ratings downgrades by tracking stress-scenario losses

  • Determine appropriate capital levels to hold by tracking stress-scenario losses

Refine Selectivity

with Loan-Level, Intex-Integrated Forecasts

  • Get the precise, robust valuations you need to sort under- and overpriced bonds. Replay the historical performance of collateral cohorts (Edge’s Curve Builder), run RiskSpan’s loan-level models, or input assumptions

  • Ensure risk is acceptable; run RiskSpan’s models under many economic outlooks

  • Find relative value across like bonds

  • Access the most complete and accurate deal coverage with Edge’s Intex integration

Beta: Apply Cohort History to Forecasts in a Click

Use Curve Builder (a forecast option) to:

  • Query aging curves for custom cohorts from Edge data

  • Apply curves to forecast default and severity on any bond; Edge dynamically weights the curves by the deal’s cohort balances and applies the curve from each loan’s current age

  • Compared to manual data manipulation, save time, add precision, and avoid errors

Sharpen New-Issue Bids by Linking Loan and CDI Files

Load a loan tape and Intex CDI file to:

  • See the loan credit quality vs. benchmarks

  • Forecast bond cash flows based on loan-level data

Infer Current Prices

with Filtered Market Color

  • See recent transaction prices of bonds that meet user-defined criteria

  • Triangulate to establish the current market price of your target bond

  • Complete valuation accounting and get independence from our valuation desk

RiskSpan’s Edge Platform makes it simple to ingest, organize, clean, and act on your data.

Get a free demo

Resources

View All

Article


How reliable is your data?

Our team of quants and data
scientists is available on demand
to provide custom support.

LEARN ABOUT OUR SERVICES

How reliable is your data?

Our team of quants and data
scientists is available on demand
to provide custom support.

LEARN ABOUT OUR SERVICES

Historical Performance

Historical Performance

Traders find relative value and loan originators generate premiums using RiskSpan’s leading Agency and Non-Agency MBS analytical interface.

High-speed and dynamic cohorting by any attribute to create S-curves, aging curves, time series and more.

Get a free Trial or Demo

Get a Free Trial or Demo

Visualize MBS Data

Integrated BI Tools

The Agency-MBS Trader Module serves up intuitive and easy-to-read visual business intelligence.

  • Visualize data with integrated graphing and charting

  • Research new prepayment trends

  • Create user-defined data tables

  • Export customized charts and graphs for marketing purposes

Agency MBS

Spot Profitable Spec Pools in Seconds

Drill down into servicer-specific loan- and pool-level data from Fannie, Freddie, and Ginnie in a fraction of the time it takes your in-house IT. Create customized queries to home in on the relationships you’re trying to uncover.

RiskSpan makes it simple to ingest, organize, clean, and act on your data.

Get a free demo

Resources

view all

Article


How reliable is your data?

Our team of quants and data
scientists is available on demand
to provide custom support.

LEARN ABOUT OUR SERVICES

How reliable is your data?

Our team of quants and data
scientists is available on demand
to provide custom support.

LEARN ABOUT OUR SERVICES

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Don’t miss out on current, relevant, industry articles and updates from RiskSpan.

Testing Grounds

U.S. Residential Loans

Boost trading profits with smart tape cracking and customizable loan-level scenario analyses, pricing, benchmarking, and reporting

Gain Time

with Smart Mapping

Upload a loan tape and let EDGE map all the imported field headers and categorical values with amazing precision, applying continuous learning from user activity.

Investors can: 

  • Crack tapes in minutes, not hours 

  • Maintain control by reviewing the recommended mappings 

  • Increase confidence in the final dataset with recommended mappings corroborated by prior user activity

  • Get complete forecasts by defining backup values for missing data

Catch Mispricing

by Parsing Historical Performance Differences

Find sub-cohorts with standout performance by comparing histories of custom cohorts. 

  • Access Fannie Mae, Freddie Mac, and CoreLogic (non-agency RMBS) loan-level data since before the Financial Crisis 

  • Filter and cohort on multiple dimensions

  • Discern good yield from costly mistakes

  • Save time and reduce operating errors by eliminating the need to manage external datasets 

Find sub-cohorts with standout peLoad internal history to: 

  • Get better pricing by showing investors superior performance apples-to-apples against the broader universe 

  • Spur improvements by comparing one internal segment against another

Find Relative Value

by Benchmarking Composition

Compare the composition of a target loan pool against any benchmark.

  • Spot risky loans to consider excluding with powerful composition visuals, including geographic concentration maps and FICO-LTV scatterplots 

  • Establish relative credit value with average and tail risks plotted on top of benchmarks

  • Secure committee approval sooner with presentation-ready visuals that export in a click 

  • Benchmark to other imported loan files or to RMBS collateral pools 

Hone Bids

with Granular, Multi-Scenario Forecasting 

  • Challenge or corroborate pricing assumptions through alternative approaches.

  • Define your own prepay and credit assumptions or run RiskSpan’s proprietary models 

  • Ensure a range of outcomes stays within acceptable corridors by running RiskSpan’s models under various hosted or defined economic outlooks. Loop through scenarios with cloud-powered compute speed 

  • Fine-tune bid prices and optimize portfolios. Exclude loans or segments that drag down risk-return profile by defining inputs at the loan or custom segment level 

Fully Integrated

Data Storage

Store normalized proprietary and third-party whole loan data. 

Benchmarking

Compare your investments’ performance to external datasets. 

Analyze Risk

Leverage our proprietary models to analyze the risk of investments. 

Smart Tape Cracking and Advanced Analytics on a Single Platform

Solutions for NPLs, RPLs, and Whole Loan Transactions

Project expected yield given asking price or set walk-away bid prices given hurdle rates, optimize exit strategies (securitization vs. portfolio), and define custom segments and apply assumptions by segment.

Fast Processing Speeds

Process large datasets at speeds that set a new industry standard.

Asset Expertise

Map any tape format and get support from whole-loan data experts.

RiskSpan makes it simple to ingest, organize, clean, and act on your data.

Get a free demo

Resources

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Article


How reliable is your data?

Our team of quants and data scientists is available on demand to provide custom support.

LEARN ABOUT OUR SERVICES

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End-to-End Data, Models &
Analytics

Portfolio Managers, Traders, and Risk Professionals: Contact us to discuss how RiskSpan’s “Tech + Talent” approach to structured finance can help you streamline processes, manage risk, and translate data into actionable information.

  • Go further with our cutting-edge platform for data modeling and analytics.

  • Access talented quants and data scientists to help build, manage, and integrate your data applications.

  • Use our analytics expertise to help you make better sense of your data.

Data Management

Data Management

Unlock the power of your data by transforming it into actionable business intelligence. Access reliable and accurate information through our domain and technical expertise.

Platform Refactoring

Deploy cloud based data warehouse solutions in a fraction of the time and at significant savings versus on-premises solutions.

Application Development

Develop custom applications to your preferred architecture while increasing transparency, maximizing processing power, and achieving real-time analytics for your business.

Process Improvement

Stop emailing Excel files. Streamline data processes and standardize operating procedures to increase data transparency and improve internal controls.

RiskSpan makes it simple to ingest, organize, clean, and act on your data.

Talk to our data experts

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The ultimate end-to-end solution for loan and securities data.

Data management, model management, and predictive analytics on one scalable, cloud platform.

LEARN ABOUT THE EDGE PLATFORM

Model Validation

Model Validation

Get clear and comprehensive model validation reports that satisfy internal stakeholders and meet regulator requirements.

Conceptual Soundness

We test the reasonableness of model data inputs, assumptions, and calculations by assessing how coefficients were selected, confirming that their selection is justified using developmental evidence, and reviewing all model documentation.

Ongoing Monitoring

Our validators benchmark model outputs across a wide range of shock scenarios using RiskSpan’s suite of proprietary credit, prepayment, and valuation models. Whether coded in SAS, R, Excel, or Python, we ensure model consistency with critical documentation and best practices.

Outcomes Analysis

We tailor the statistical tests for back-testing to the specifics of each model under review and work with your team to develop thresholds and tolerance levels appropriate for each model, their respective outputs, and each use case. Recommendations are adapted to your needs when recalibration is required.

Get clear and comprehensive model validation reports that satisfy internal stakeholders and meet regulator requirements.

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The ultimate end-to-end solution for loan and securities data.

Data management, model management, and predictive analytics on one scalable, cloud platform.

LEARN ABOUT THE EDGE PLATFORM

Valuation & Portfolio Analysis

Valuation & Portfolio Analysis

Effortlessly manage loan and structured products under varying market conditions. Generate audit-ready valuations based on loan or security characteristics, market color, and proprietary behavioral models.

Loan & CUSIP Analysis

Price hard-to-value “Tier 3” assets using cash flows driven by our proprietary prepayment, default and severity models and our bond research team.

Dynamic Analytics

Generate accurate, audit-compliant prices for illiquid securities. Calibrate interest rate, loss distribution, and prepayment models for any security.

Cash Management

Accurately forecast P&I, T&I, and corporate servicing advances based on a comprehensive range of macroeconomic scenarios.

RiskSpan makes it easy to manage loan and structured product positions under any market condition.

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The ultimate end-to-end solution for loan and securities data.

Data management, model management, and predictive analytics on one scalable, cloud platform.

LEARN ABOUT THE EDGE PLATFORM

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