Researchers at Banc One Capital Markets are putting finishing touches on a first-of-a-kind mortgage analysis database, with performance statistics on roughly two million individual loans. Scheduled for official release in the first quarter of 2003, the product is the result of two years of data collection that occurred while compiling Banc One's research periodical Prepayment Insight. The platform will be available to investors on Banc One's client website.

Banc One's Prepayment Insight re-search reports have already covered de-tailed loan level analysis of some of the leading mortgage securitizers - AmeriQuest Mortgage, Bank One (HELOC), Conseco Finance home-equity loan portfolio, Impac Mortgage Hybrid ARM, Irwin Financial (HELOC), Option One Mortgage, GMAC RFC's RALI shelf, GMAC Mortgage (HELOC), and Saxon Mortgage. There are two more active issuers that Banc One is working for in upcoming Prepayment Insight reports, and will be including in its database.

Using the database, Banc One found that contrary to conventional wisdom, high-balance non-prime loan prepayment activity behaves more similarly to its agency-conforming counterparts than previously thought. But, as would be expected, the higher balance loans did experience lower loss severities, due to the decreasing percentage of the fixed liquidation costs, as loan balances increase. Additionally, banks more closely examine higher-balance loans before approval.

This will be the first analytical tool available to investors that gives insight into portfolio behavior down to the loan level, according to Glenn Schultz, who began compiling the information in early 2000. Performance data at the loan level, as opposed to the entire portfolio, has become a hot topic in mortgage-related securitizations. As borrowers refinance out of conforming loans, analysis of alternative mortgage products has become more important.

Currently, Banc One has completely mapped the portfolios of each issuer that has been featured in Prepayment Insight and will continue to add issuers to the database as they are featured in future reports. The data traces performance statistics back through 1996.

The platform will offer performance statistics for both fixed-rate and hybrid adjustable-rate MBS. Initially, Banc One will release a fixed prepayment model calibrated from the loan level database. Additionally the group is working on adding adjustable rate product to the mix. Already inputted into the system, the model for the ARM securities from issuers in the database is on track for a second-quarter release.

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