PR Newswire
RiskSpan, a leading provider of innovative trading, risk management and data analytics for loans, securities and private credit, has announced the release of its latest Non-QM Prepayment Model (Version 3.11), incorporating CoreLogic’s loan-level non-QM performance data. This update significantly enhances prepayment forecasting accuracy for non-QM loans and mortgage-backed securities by leveraging a robust, segmented modeling approach.
RiskSpan’s new non-QM prepayment model introduces a two-component framework that improves the precision of prepayment predictions:
- The first component is a Unified Turnover Model, designed to capture base prepayment trends.
- The second component, a Refinance Model Categorized by Documentation Type, is capable of distinguishing among and modeling behavioral characteristics specific to bank statement, debt service coverage ratio/investor, full documentation, and other documentation types
Catch more Fintech Insights : Global FinTech Interview with Steve Cover, CTO, iPipeline
The model is built on loan performance data spanning October 2019 to March 2024 and intelligently incorporates long-term prepayment behavior with conventional loans, addressing the challenge of limited non-QM data history. Key enhancements include:
- Sensitivity to SATO (Spread at Origination) and Burnout Effects, refining prepayment behavior projections.
- DSCR-Specific Adjustments, incorporating prepayment penalty terms and amounts to refine refinance calculations.
By integrating granular loan-level insights from CoreLogic, this release enhances market participants’ ability to accurately assess non-QM prepayment risk, optimize portfolio strategies, and improve secondary market pricing.
“Our latest model delivers a more precise view of non-QM borrower behavior, equipping market participants with the insights needed to manage risk effectively,” said Divas Sanwal, Senior Managing Director and RiskSpan’s Head of Modeling. “By leveraging CoreLogic’s expansive dataset and an expansive GSE dataset, we’re enabling investors to better anticipate prepayment trends and make more informed decisions.”
RiskSpan delivers a single analytics solution for structured finance and private credit investors of any size to confidently make faster, more precise trading and portfolio risk decisions and meet reporting requirements with fewer resources, and less time spent managing multiple vendors and internal solutions.
Read More on Fintech : Global Fintech Series Interview with Tate Hackert, President and Co-founder of ZayZoon
[To share your insights with us, please write to psen@itechseries.com ]
