Moody’s Analytics just released Mortgage Portfolio Analyzer (MPA), a new risk management and capital allocation tool that assists retail portfolio managers analyze and manage their mortgage portfolios's credit risk.

MPA is designed to offer retail credit portfolio managers with a transparent view of their mortgage portfolios' risk. It features a range of customizable models and forecasting tools and provides retail credit and fixed-income portfolio managers the information they need to hedge or rebalance their portfolios utilizing techniques like those used for corporate credit risk management.

MPA analyzes newly originated, seasoned and delinquent loans, providing a single framework for analysis of all mortgage assets. It is fully integrated with Moody’s Structured Finance Workstation (SFW), enabling institutions to use the same framework to analyze the securitized and whole-loan portions of their portfolios. Additionally, the tool’s analytic output can also be formatted for use with other waterfall and cashflow products.

“MPA is a breakthrough product that brings loan-level analysis detail and enhanced transparency to mortgage portfolios, similar to the products that Moody’s Analytics offers for corporate bond and loan portfolios,” said Roger Stein, president of Moody’s Research Labs. “MPA simplifies and streamlines core credit portfolio risk management activities, such as capital allocation, monitoring and transfer pricing, bringing them together within a single, powerful product.”

MPA also has simulation tools to model loan-level and portfolio-level performance as they evolve as well as to estimate defaults, prepayments and severity dynamics. Additionally, it can model the mortgage insurance's loan level impact. Clients can stress-test portfolios by utilizing macroeconomic scenarios and by shocking default, prepayment and recovery rates.

Macroeconomic stress-tests can be run using either Moody’s Analytics macroeconomic forecasts or user-defined macroeconomic scenarios. The tool’s models utilize key macroeconomic data at the national, state and MSA levels such as home price changes, unemployment levels and the different interest rates. This macroeconomic data, which is updated quarterly, is from Moody’s Analytics.

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