Amherst Holdings and CoreLogic® Introduce Agency Prepayment Analyzer
Email Dan Smith
October 17, 2011, Santa Ana, Calif. –
—First Analysis Tool to Provide Visibility Into Both Buyout and Prepayment Risk for Agency Mortgage Securities––
CoreLogic (NYSE: CLGX), a leading provider of information, analytics and business services, and Amherst Holdings, LLC, whose focus is serving institutional investors in the mortgage-backed securities markets, today jointly introduced Agency Prepayment Analyzer. This online analysis tool is the first to enable fixed-income investors to assess and forecast both voluntary and involuntary (buyout) prepayment risk trends associated with mortgage-backed agency securities.
Agency Prepayment Analyzer tracks the speeds at which the collateral underlying commonly-traded agency securities (residential mortgage loans) will prepay due to refinances and property sales or defaults which, in turn, prompt buybacks by Fannie Mae and Freddie Mac. Investors can use a series of filters––coupon, vintage, and aggregated credit scores, loan-to-values (LTVs) at origination, and estimated current LTVs––to compare the characteristics of their bonds with the conditional prepayment rates (CPR) of similar collateral. The subscription-based service provides a monthly forecast with a four-month horizon, as well as ongoing commentary from Laurie Goodman, senior managing director, Amherst Holdings.
Agency Prepayment Analyzer combines the breadth and depth of CoreLogic data coverage with the forecasting and analytical acumen of Amherst. It leverages the CoreLogic LoanPerformance Servicing database to monitor the performance of more than 40 million active mortgages and the CoreLogic Home Price Index (HPI) Valuation Engine to estimate current LTV. This proprietary data is combined with Amherst’s forecasting tools and analytics to estimate the prepayment risk associated with agency-backed bonds, collateral mortgage obligations (CMOs) and interest-only and principal-only strips. Amherst’s team then models the agency prepayment outlook using a variety of variables, such as 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,” said Goodman. “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 fixed-income 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, CoreLogic. “Combining our resources with the unique insights from Laurie Goodman and Amherst introduces a new level of sophisticated analytics to the market.”
About Amherst Holdings, LLC
Amherst Holdings, LLC, is a holding company for financial firms focused on serving institutional investors in the mortgage-backed securities market and other structured financial products. Amherst’s experienced professional staff utilizes proprietary analytical tools and methodologies to provide an invaluable perspective of how mortgage assets will perform over time through a unique approach to analyzing loan-level data. More information about Amherst can be found on www.amherst.com.
CoreLogic (NYSE: CLGX) is a leading provider of consumer, financial and property information, analytics and services to business and government. The company combines public, contributory and proprietary data to develop predictive decision analytics and provide business services that bring dynamic insight and transparency to the markets it serves. CoreLogic has built the largest and most comprehensive U.S. real estate, mortgage application, fraud, and loan performance databases and is a recognized leading provider of mortgage and automotive credit reporting, property tax, valuation, flood determination, and geospatial analytics and services. More than one million users rely on CoreLogic to assess risk, support underwriting, investment and marketing decisions, prevent fraud, and improve business performance in their daily operations. The company, headquartered in Santa Ana, Calif., has more than 6,500 employees globally with 2010 revenues of $1.6 billion. For more information visit www.corelogic.com.
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