Barclays Capital has launched a new residential mortgage credit model that covers all major residential mortgage products. This tracks mortgages as they progress through the whole chain of borrower actions and servicer reactions.

The loan-level transition model uses the Monte Carlo simulation at the loan level allowing it to use a borrower’s entire payment history to predict the level and timing of future prepayments and defaults.

It can be used in evaluating RMBS pools backed by prime, Alt-A, subprime, or second lien loans. It can also look at pools of fixed or adjustable rate mortgages, amortizing, interest only or negatively amortizing loans as well as 15-year, 30-year, or 40-year mortgage products.

The new release also distinguishes between second lien mortgages securitized into stand-alone deals and other second liens.

According to Barclays analysts, this feature is particularly important in modelling transitions from 60+ to liquidation versus 60+ to foreclosure given that most second-lien securitizations require that loans be charged off once they become over 180 days delinquent.

The new model will be available on Barclays Capital Live at the close of business on Dec. 3.

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