May Analysis of Agency Issuance and Prepayments

RiskSpan’s monthly analysis of agency issuance and prepayments revealed several interesting trends with the release of May factor data. Changes in prepayment speeds from April were mixed with only minor changes across the coupon stack. We also analyzed prepayment speeds for a number of specified pool cohorts as well as issuance trends for April.  …

An Introduction to RiskSpan’s Benchmarking Tool

RiskSpan’s Benchmarking Tool includes the most recent monthly loan-level issuance data released by Fannie Mae and Freddie Mac (the GSEs), providing insights into the characteristics of mortgage loans made throughout the U.S. Each month, we collect, normalize, and store the GSE data in our proprietary database. This allows our issuance Benchmarking Tool to generate a seller-specific…

April Analysis of Agency Issuance and Prepayments

RiskSpan’s monthly analysis of agency issuance and prepayments revealed several interesting trends with the release of April factor data. Prepayment speeds spiked with almost all coupons showing double-digit jumps. We also examine issuance trends during the first quarter of 2018 as well as difference in characteristics by GSE for two large issuers.   Annual Vintage...

March Analysis of Agency Issuance and Prepayments

RiskSpan’s monthly analysis of agency issuance and prepayments revealed several interesting trends with the release of March factor data. Prepayment speeds continued their slowdown across the board with almost all coupons and vintages declining. We also compare “cash window” pools with non-cash pools. Annual Vintage Prepayment Comparison This report shows historical prepayment speeds by vintage and…

FHFA Prepayment and Issuance Reports–Powered by RiskSpan

Last month, the Federal Housing Finance Agency’s (FHFA) Division of Conservatorship published An Update on the Single Security Initiative and the Common Securitization Platform.  This report features several vintage and prepayment reports generated by RiskSpan’s RS Edge platform. Each month RiskSpan uses this platform to generate a wide range of prepayment and issuance reports for the...

Back-Testing: Using RS Edge to Validate a Prepayment Model

Most asset-liability management (ALM) models contain an embedded prepayment model for residential mortgage loans. To gauge their accuracy, prepayment modelers typically run a back-test comparing model projections to the actual prepayment rates observed. A standard test is to run a portfolio of loans as of a year ago using the actual interest rates experienced during...