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…

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...

Loans Under $200K Prepay Slowly—But Not in Every State

In agency pools, loans with balances below $200,000 offer prepayment protection (i.e., they prepay more slowly) relative to loans with higher balances. Servicers typically segregate these loans into specified pools that trade at a premium over TBA-deliverable pools. But the prepayment protection isn’t homogenous and varies significantly by state.1 The following chart compares the S-curve…