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MSR Analytics and Loan-Level Forecasting and Pricing

Boost trading profits and efficiency with smart tape cracking, historical performance analysis and benchmarking for MSR analytics and loan-level forecasting and pricing

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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. 

  • Query Fannie Mae, Freddie Mac, and private-label 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 

Load 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 benchmarks.

  • 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 economic outlooks – either user-defined or from the Edge scenario library. 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 

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.


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