Yield Book applications have covered the Agency Credit Risk Transfer (CRT) market since the introduction of STACR and CAS issuances in 2013. Foundational to CRT analytics is a comprehensive suite of models projecting voluntary prepayment, delinquencies, defaults, and severities. The models are calibrated from millions of loan level records from related FNMA, FHLMC, and GNMA programs. The model has a comprehensive capture of relevant indicatives related to the borrower’s ability to pay and willingness to pay, the features of the loan, the presence of mortgage insurance, latent credit worthiness, distributional measures, and economic drivers. Yield Book Mortgage Modeling actively monitors, maintains, and enhances the suite of models to address changes in policy, seasoning of loan performance, and expansion of reported indicatives.
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