Yield Book Non-Agency and CRT Experimental Model Update

Presented by

Jake Katz, Director, Director, Non-agency RMBS Modeller, Yield Book Mortgage Research, London Stock Exchange Group

About this talk

Yield Book has recently released the new Experimental Version of the non-agency and CRT model. Please join us on September 17th at 4:00 p.m. ET for a live webinar presentation with Q&A to find out the latest details on the model release update. The webinar will cover the topics such as: Prepayment - Primary-secondary (P/S) spread model formulation review and latest adjustments - Removed turnover dampening and recalibrated refi response to aggressive use of PIW and shift towards digitization - Reduced credit refinance eligibility for non-agency borrowers with spotty payment history Delinquency, Default, & Severity - Recalibrated delinquency transitions in roll rate model to higher unemployment rate - Incorporated impact of assistance programs and timing of assistance on cure transitions in roll rate model - Lowered the near term seriously delinquent to liquidation roll rates and extended liquidation timelines - Overall impact on CDR projections Presented by: Jake Katz, Director, Non-agency RMBS Modeller, Yield Book Mortgage Research, London Stock Exchange Group.
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