Information and analytics provider CoreLogic and Amherst Holdings have jointly introduced Agency Prepayment Analyzer.
This online analysis tool allows fixed-income buysiders to assess and project both voluntary and involuntary (buyout) prepayment risk trends that are associated with agency MBS. Agency Prepayment Analyzer tracks the speeds at which the collateral underlying commonly-traded agency RMBS will prepay resulting from refinances and property sales or defaults which, in turn, prompt buybacks by Fannie Mae and Freddie Mac.
According to a press release from CoreLogic, investors can use a series of filters, such as coupon, vintage, and aggregated credit scores, LTVs at origination, and estimated current LTVs, to compare the characteristics of their bonds with the conditional prepayment rates (CPR) of similar collateral.
This subscription-based service also offers a monthly forecast with a four-month horizon and ongoing commentary from Laurie Goodman, a senior managing director at Amherst Holdings.
The new product combines CoreLogic data coverage with the forecasting and analytical knowledge of Amherst. It also leverages the CoreLogic LoanPerformance Servicing database to monitor the performance of over 40 million active mortgages and the CoreLogic Home Price Index (HPI) Valuation Engine to project current LTV.
This proprietary data is combined with Amherst’s forecasting tools and analytics to find out the prepay risk that is associated with agency-backed bonds, CMOs and interest-only and principal-only strips. Amherst’s team then models the agency prepayment outlook utilizing different variables, including housing turnover, incentive programs, sector analysis and prepayment volatility.
“Agency securities are among the most liquid and widely held fixed-income investments because they offer attractive yields and are implicitly backed by the U.S. Government,” Goodman said. “But the combination of historically low interest rates and unprecedentedly high default rates, which drive buyouts, create significant prepayment exposure. Agency Prepayment Analyzer is the first affordable, accessible tool to help fixedincome investors determine and mitigate both of these risks at the collateral, rather than pool level.”
“CoreLogic is known as the premier provider of data and analytics within the private label securities market. Agency Prepayment Analyzer will expose the unparalleled scope and richness of CoreLogic data to a new set of fixed-income managers,” said George Livermore, group executive for data and analytics at CoreLogic. “Combining our resources with the unique insights from Laurie Goodman and Amherst introduces a new level of sophisticated analytics to the market.”