Non-QM Archives

Get Free Access to RiskSpan’s Non-Agency Performance Trends Dashboard

The latest addition to RiskSpan’s free RS Insights dashboard enables users to delve into insightful non-Agency delinquency trends. Slice and dice CoreLogic loan-level data by LTV, FICO, balance, vintage, doc type and program.

This post identifies just a few of the trends in non-QM loan performance that users can explore more deeply (and for free) by registering at https://riskspan.com/request-access/.

Accelerating Delinquency Rates Among Low-FICO Cohorts

Plotting delinquency rates by FICO bands makes it easy to visualize why the market punishes low-FICO loan cohorts the way it does.

In this first visualization, we look at non-QM loans irrespective of document type. We see that following the recovery from the Covid shock in early 2020, serious delinquency rates (60+ days) have begun to creep higher again across all FICO bands, but more dramatically among loans with sub-740 FICO scores, and particularly among loans with sub-680 FICO scores.

Drilling deeper, we can visualize the impact documentation type has on this difference. While the most pronounced difference between the lowest-FICO borrowers and other borrowers can be seen in full-doc loans, the steepness of the upward slope of the delinquency curve for these borrowers is more pronounced among bank statements loans and DSCR Investor Cash Flow loans, as well:

The relationship among 60+ default rates by documentation type (regardless of FICO) score is depicted in the visualization below:

Not surprisingly, the data reveals a sharp increase in delinquency rates for sub-680 FICO borrowers, regardless of doc type:

Accelerating Delinquency Rates Among High-LTV Cohorts

Analogously to low-FICO loans, markets punish loans with high loan-to-value ratios. The reason why is clear in the data.

As has been observed with FICO scores, the performance differences between the LTV bands are more pronounced among full-doc loans than among bank statement and DSCR loans.

Conclusion

Non-Agency Loan Performance Trends is only the latest addition to the suite of free dashboards available to subscribers and non-subscribers alike of RiskSpan’s award-winning Edge Platform. The Platform’s free dashboards include:

Daily GSE prepayment data
Whole loan trading market color
TBA Pricing Reports
Interactive prepayment model back-testing reports

The Non-Agency Loan Performance Trends dashboards enables users to create their own fully customized overview of the current state of non-QM performance by evaluating the collective and individual impacts of vintage, documentation type, loan size, and purpose on delinquency performance.

The dashboard provides a roadmap for analysts seeking to closely monitor delinquency trends in a dynamic economic environment, navigate non-QM credit and adopt strategies to mitigate risks and support borrowers.

Whole Loans

A Complete System for the Loan Investment Life Cycle

A comprehensive system to handle your data and analytic needs for whole loan investments. RiskSpan’s Edge Platform leverages modern cloud technology to enable mortgage investors, aggregators, and conduits to more effectively and accurately manage acquisitions, asset management, risk exposures, and total return.

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Outsource the Heavy Lifting of Consolidating and Mapping Servicer Data

Powered by Smart Mapping and Optimized QC rules, RiskSpan automates data ingestion across multiple servicers and data sources:

Machine learning data mapper trained on servicer data that handles acquisition and monthly feeds
QC rules and backup values that have been optimized for the top servicer data feeds
Automated QC audit reports showing mapping choices and exceptions

Dynamic Query/Filter Loan Data and Historical Performance Metrics

Analyze loan data using query/filter and custom composition reports

Report and filter on historical loan performance including prepayment, default, loss severity and recapture rates

Generate customized data visualization reports using Tableau

Leverage the speed and scalability of Snowflake for data access and queries

Loan Bid Analysis Trading Quality Risk Models, Loan-Level Valuations

RiskSpan has purpose-built tools and models to support active buyers/sellers of whole loans

Access to RiskSpan’s proprietary, loan-level prepayment/credit models
Full set of collateral types covered including GSE, FHA, VA, Jumbo, and Non-QM
Valuation and risk metrics include detailed cash flows, OAS, OAD, and multi-factor risk/scenarios
Flexible interfaces enables custom risk model tuning

Portfolio Risk Management Powerful Scalability for Daily Analytics

Leverage Edge’s cloud architecture and scalability to generate granular loan-level valuations/risk analysis
Automate daily and customized risk calculations
Results can be viewed across various existing or custom loan cohorts

Outputs accessed through custom Tableau-based reports

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Private Credit Primer Series: Insights for Investors

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Get Free Access to RiskSpan’s Non-Agency Performance Trends Dashboard

RiskSpan Launches MBS Loan Level Historical Data on Snowflake Marketplace

ARLINGTON, Va., June 18, 2024 – RiskSpan, a leading provider of data analytics and risk management solutions for the mortgage industry, announced today that it has launched MBS Loan Level

The newest, fastest and easiest way to access and analyze Agency MBS data

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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

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.

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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

Accelerating Delinquency Rates Among Low-FICO Cohorts

Accelerating Delinquency Rates Among High-LTV Cohorts

Conclusion

Resources

by Pre-Analyzing History

by Benchmarking Bond, Collateral

with Loan-Level, Intex-Integrated Forecasts

with Filtered Market Color

Resources

Company

Products

Security & Compliance