CoreLogic Releases Enhanced Version of the RiskModel
Email Dan Smith
January 23, 2012, Santa Ana, Calif. –
—New Industry Model Features Post-2007 Performance Data and Leverages CoreLogic HPI®—
CoreLogic® (NYSE: CLGX), a leading provider of information, analytics and business services, today announced the release of an enhanced version of the CoreLogic RiskModel®, a leading commercial analytics application used by major banks and regulators to forecast future residential mortgage prepayments, defaults, losses and cash flows.
The RiskModel has been significantly enhanced to help clients better understand the default and prepayment risk of higher quality loans that make up the majority of residential mortgages originated since 2007. Coupled with its proven statistical analysis capabilities, the RiskModel also provides solutions for new accounting, benchmarking, and stress-testing requirements for mid- and smaller-sized financial institutions.
The new RiskModel leverages a hybrid set of CoreLogic data from its LoanPerformance Securities and Loan-Level Market Analytics databases. This combined anonymized dataset enables the RiskModel to provide a proxy for newer prime originations subject to tighter underwriting guidelines that have been more prevalent in recent years. This latest version now utilizes the CoreLogic HPI to measure home price change across all models including prime, alt-A, subprime, first and second-lien mortgage transition and loss given default models. This allows more than 80 percent of the loans in the development dataset to be modeled at the zip-code level.
Additionally, the new RiskModel will be a useful tool to assist publicly-traded financial institutions as they implement compliance efforts for the new GAAP accounting rules for impaired assets that will take effect in 2012. Similarly, regulated banks can use RiskModel to help perform stress tests of residential mortgage assets held on their balance sheets.
“We have enhanced the RiskModel to deliver what clients need now: better calibrated models for today’s more conservative, whole-loan focused lending environment and practical solutions for compliance with new regulations that require a broader understanding of risk,” said Jim Reynolds, senior vice president for Capital Markets at CoreLogic. “The new RiskModel is ideal for champion-versus-challenger testing, as well as making acquisition and capital-allocation decisions.”
The RiskModel draws on the mortgage industry’s most comprehensive database of more than 70 million active and historical prime and subprime loan
s representing 97 percent of active non-agency mortgage-backed securities, and is now supplemented with CoreLogic Loan-Level Market Analytics data providing an updated proxy for recent vintages. Key analytical capabilities include built-in stochastic simulators of interest rates and home prices that are customizable, “dials” to calibrate the model to unique aspects of a client’s portfolio and current market conditions, and the ability to track loan transitions across all stages of delinquency and terminal events. RiskModel is offered as a desktop graphical user interface, as a non-agency MBS vectors service, through Advisory and Professional Services engagements, and as an application programming interface (API) that can be embedded in mortgage pricing and trading systems to price securities and value master servicing rights (MSR).
More information about CoreLogic’s Capital Markets solutions including the RiskModel can be found at: www.corelogic.com/capmarkets
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 one of 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 5,000 employees globally. For more information visit www.corelogic.com.
CORELOGIC, the stylized CoreLogic logo, RISKMODEL and HPI are registered trademarks owned by CoreLogic, Inc. and/or its subsidiaries. No trademark of CoreLogic shall be used without the express written consent of CoreLogic.