CoreLogic, a provider of housing market information, analytics and business services, announced the release of RiskModel Agency. RiskModel Agency is a new credit and prepayment model developed to forecast agency loan performance.
Accessed through CoreLogic’s RiskModel, the company’s proprietary analytics platform, RiskModel Agency forecasts future residential mortgage prepayments, defaults and cash flows.
The product is based on a development dataset of more than seven million servicer-contributed loans, creating a comprehensive view of recent originations. Users are able to estimate all mortgage transactions leading to credit events or defaults for both fixed and adjustable-rate products. The new model has treatments for Home Affordable Modification Program (HAMP) and Home Affordable Refinance Program (HARP) loans that often have higher loan-to-value ratios than traditional agency originations. With these analytical features, the new model can be used to:
- Analyze the underlying mortgage credit and prepayment risk of new government sponsored enterprise (GSE) Structured Agency Credit Risk (STACR) bonds;
- More accurately value mortgage servicing rights (MSR) deals by using its deep transition modeling capabilities to predict the likelihood of defaults or cures at 30, 60, 90 and 120-day intervals, and to better anticipate loan-level servicing costs at each stage; and
- Facilitate compliance with new requirements for bank portfolio stress testing established by Dodd Frank and the Federal Reserve’s Comprehensive Capital Analysis Reviews (CCARs). Beginning in 2014, the largest regulated banks will be required to do independent reviews of their internal stress tests. RiskModel Agency’s portfolio analysis capabilities could provide such a “second look” on bank-owned mortgages.
“RiskModel Agency responds to the unprecedented shift to GSE-backed loans over the past five years, giving investors and regulated institutions the same level of insight that they have been accustomed to in modeling non-agency risk,” said Ben Graboske, senior vice president, real estate and financial services at CoreLogic. “RiskModel Agency has broad applications for new types of securities, MSR sales and portfolio valuations as part of mandated stress testing.”