Mortgage Loans Analytics
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About THC Mortgage Loan Analytics Banks can now use THC state-of-the-art mortgage loan analytics via the secured web. The system is easy to use and can provide detail information of the mortgage loans and the mortgage loan markets. It is a powerful tool for mortgage brokers to seek counterparties and generate trading interests and is useful for the CFOs to conduct what-ifs scenarios on the balance sheets.
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Analyze a loan portfolio in 3 simple steps i. o o o o o o o o o o o o
Make a loan file Fill in the follow fields in Loan file template: Loan ID: to identify the special loan Loan Type: to indicate the loan if fixed rate, or balloon loan , or ARM, or AMP (alternative mortgage product). Balance: Loan program: to indicate conforming loan, FHA/VA loan, Jumbo loan or sub-prime loan Current coupon rate: Amortization type: the original amortization term Maturity: the maturity loan (the remaining term of the loan) FICO Score: the updated fico score LTV: the current loan to value ratio Loan Size: the loan amount of the loan Price: your quote price (you still have chances to change the quote price before posting to THC mortgage, after the loan file is uploaded to THC eBay). This field defaults on “Fair value” Save the loan file in your hard disk Refer to the sample loan file. You can use the sample loan file to go to next step.
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Upload the loan file Locate the loan file from your hard disk, upload the loan file to do loan portfolio analyzing.
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A: Browsing button: locate the loan file from your hard disk B: The loan file to be uploaded C: Generate Loan report button: upload the loan to do loan portfolio analyzing and reports.
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Street, Suite 4B New York, New York 10005
[email protected] 212-732-2878
Mortgage Loans Analytics iii.
Generate loan portfolio reports: After a few minutes (1 minute to 5 minutes) after the loan portfolio is uploaded, the comprehensive loan analytics with option adjusted approach will be ready. There are three reports. The progress of the calculation is available for each report.
a) Mortgage CPR / Yield Table The CPR yield table gives the yields under different CPR assumption for each loan, with the quote price in provided in your loan file. The CPR / Yield Table is ready in a short time after your uploading your loan file. The CPR/Yield Result can be Collapsed or expanded by clicking the CPR/Yield table. The CPR is assumed to be 5%, 10%, 15%, 20% and 25% respectively.
Refer to the sample mortgage loan analytics report. b) Decrement cash flow report The cash flows projections of the loan portfolio under three interest scenarios: down 100BP, base case and up 100BP.
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Remaining balance: the end-of-month balance for each payment period in 360 months or up to the maturity date 2
Street, Suite 4B New York, New York 10005
[email protected] 212-732-2878
Mortgage Loans Analytics o o o o o
Scheduled principal: the amortized principal payment Prepaid principal: the prepaid amount projected using THC model for each month Principal loss: the principal loss (the default amount that is not recovered in foreclosure approach) projected using THC model for each month Default Recovery: the amount that is recovered in foreclosure approach for the default projected using THC model for each month Interest payment: the interest payment projected for each month
The cash flow projections are available for each sub-portfolio in your loan file. Example, you may make two sub-portfolios in one loan file: one is FRM, the other is ARM, or one is “ABC branch” and the other is XYZ branch. In the “John” and “Jack” cases, you get the cash flow projection for “John” sub-portfolio, “Jack” sub-portfolio and the whole portfolio respectively in the cash flow report. Of course, you are free to make subportfolio or not. Refer to THC PATH document for details about making loan file. Refer to the sample decrement cash flow report. c)
Mortgage portfolio analytics Mortgage portfolio analytics provides the basic analytics numbers, in loan level and the portfolio level. The analytics includes: o the basic loan information, such as face value, coupon rate, maturity, FICO and LTV o model values and model price under base case scenario and interest rate up 100 scenario, under 85% recovery ratio and 90% recover ratio respectively o Mortgage analytics, like WAL, OAD, OAC, Credit OAS, OAS, OAS Duration, yield spread, and Eq Spread. o Cash flows analytics, like key point CPR/CDR (1yr, 3yr, 5yr) and the default $.
Refer to the sample mortgage portfolio analytics report.
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Conduct what-ifs scenarios on the balance sheet Merge what-if analytics provides the affection analytics that what if the loans are bought to the balance sheet. The analytics is assumed that you have used THC RISK Officer with the CMR data, that the CMR Data (CMR portfolio) is already uploaded to the THC Decisions. 3
Street, Suite 4B New York, New York 10005
[email protected] 212-732-2878
Mortgage Loans Analytics
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Step A: click the button “merging-what-if” to merge the loan portfolio (in this sample, it is a buying loan portfolio) to the CMR portfolio (the balance sheet data) to the analyzing for the affection of the buying. Select a CMR portfolio to merge Step B: indicate the loan portfolio is a buying portfolio; change the quote price (bid price here) for each loan, if you want; indicate where the funds of buying come. Example for, use the Federal funds to buy loan in this sample.
Screen shot: Indicate where the funds co
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Step C: click the button “generate what-if Report” to generate the reports using the assumptions above. In some minutes, the NII and NPV report with the loan merged will be ready for you. Click the report icon to read the report in DPF, word, or EXCEL format.
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Street, Suite 4B New York, New York 10005
[email protected] 212-732-2878
Mortgage Loans Analytics 4.
Indicative Pricing
Click the link to check the indicative pricing sheet which provides the loan analytics report for a broad spectrum of mortgage benchmarks as shown below.
References for mortgage loan models: THC Residential Mortgage Loan Valuation: a Unified Prepayment-Default Model integrating Credit Risk and Market Risk For more information, visit our website at www.thomasho.com or contact your sales representative.
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Street, Suite 4B New York, New York 10005
[email protected] 212-732-2878
