CoreLogic Releases RiskModel Agency
Email Dan Smith
January 21, 2014, Irvine, Calif –
—New Model Offers Transparency into New Agency STACR Bonds, MSRs and Provides a ‘Second Look’ to Verify Bank Stress-Test Results—
IRVINE, Calif., Jan. 21, 2014—CoreLogic® (NYSE: CLGX), a leading provider of information, analytics and business services, announced today the release of RiskModel AGENCY, a new credit and prepayment model developed to forecast agency loan performance. Accessed through CoreLogic RiskModel®, a leading analytics platform, RiskModel AGENCY forecasts future residential mortgage prepayments, defaults, and cash flows.
RiskModel AGENCY is based on a development dataset of more than seven million servicer-contributed loans, creating a more comprehensive view of recent originations. Users are able to estimate all mortgage transitions leading to credit events or default for both fixed and adjustable rate products. The new model has treatments for HAMP and HARP loans that often have higher loan-to-value ratios than traditional agency originations. With these analytical features the new model can be used to:
- Analyze the underlying mortgage credit and prepayment risk of new GSE Structured Agency Credit Risk (STACR®) bonds.
- More accurately value MSR deals by using its deep transition modeling capabilities to predict the likelihood of defaults or cures at 30, 60, 90 and 120-day intervals, and to better anticipate loan-level servicing costs at each stage.
- Facilitate compliance with new requirements for bank portfolio stress testing established by Dodd Frank and the Federal Reserve’s Comprehensive Capital Analysis Reviews (CCARs). Beginning in 2014, the largest regulated banks will be required to do independent reviews of their internal stress tests. RiskModel AGENCY’s portfolio analysis capabilities could provide such a “second-look” on bank-owned mortgages.
“RiskModel AGENCY responds to the unprecedented shift to GSE-backed loans over the past five years, giving investors and regulated institutions the same level of insight that they have been accustomed to in modeling non-agency risk,” said Ben Graboske, senior vice president, real estate and financial services at CoreLogic. “RiskModel AGENCY has broad applications for new types of securities, MSR sales and portfolio valuations as part of mandated stress-testing.”
RiskModel at a Glance
RiskModel has provided lenders, government entities and investors with prepayment and credit default forecasting since 2000. RiskModel draws on the most comprehensive mortgage industry database consisting of more than 70 million active and historical prime and subprime loans representing 97 percent of active non-agency mortgage-backed securities. Now combined with CoreLogic Loan-Level Market Analytics data, RiskModel provides extensive insight into higher credit quality mortgages including agency loans. By using CoreLogic HPI® to measure home price changes across all models including agency, prime, alt-A, subprime, first and second-lien mortgage transition and loss given default models, more than 80 percent of the loans in the development dataset are modeled at the ZIP-code level.
For more information about RiskModel AGENCY, visit http://www.corelogic.com/products/riskmodel.aspx.
CoreLogic (NYSE: CLGX) is a leading property information, analytics and services provider in the United States and Australia. The Company’s combined data from public, contributory, and proprietary sources includes over 3.3 billion records spanning more than 40 years, providing detailed coverage of property, mortgages and other encumbrances, consumer credit, tenancy, location, hazard risk and related performance information. The markets CoreLogic serves include real estate and mortgage finance, insurance, capital markets, transportation and government. CoreLogic delivers value to clients through unique data, analytics, workflow technology, advisory and managed services. Clients rely on CoreLogic to help identify and manage growth opportunities, improve performance and mitigate risk. Headquartered in Irvine, Calif., CoreLogic operates in seven countries. For more information, please visit www.corelogic.com.
CORELOGIC, RiskModel and the CoreLogic logo are registered trademarks owned by CoreLogic, Inc. and/or its subsidiaries. All other trademarks are properties of their respective holders.