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Yield Book Non-Agency and CRT Experimental Model Update

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.
Recorded Sep 17 2020 29 mins
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Presented by
Jake Katz, Director, Director, Non-agency RMBS Modeller, Yield Book Mortgage Research, London Stock Exchange Group
Presentation preview: Yield Book Non-Agency and CRT Experimental Model Update
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    ___

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    ___

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    ___

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    Thank you for joining this session.

    Click here to view the series:

    October 6:
    Analytic landscape: Impact of COVID-19 and moving forwards:
    https://bit.ly/36wndDR

    October 7:
    Analytic tools and rates: Non-Agency tools and the post-IBOR world:
    https://bit.ly/34iYCQd
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    Host: Paul Bowes, country manager and head of Canada, FTSE Russell
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    ___

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    ___

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    ___

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    Please join us on October 8th for more insights from industry experts. October 6th replay is also available. Click here to view and register:

    October 6: Analytic landscape: Impact of COVID-19 and moving forwards
    https://bit.ly/36wndDR

    October 8: Analytic innovations:Securitized considerations as part of sustainable investing
    https://bit.ly/2SnQLLL

    *Please note that no press is allowed for this event.
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    Robin Marshall, director of fixed income research, Global Investment Research, FTSE Russell
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    Join our Global Investment Research webinar for an assessment of how changes in the structure of the global economy are driving central bank policy, inflation and bond yields.

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    ___

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    ___

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    ___

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    October 7: Analytic tools and rates: Non-Agency tools and the post-IBOR world
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    October 8: Analytic innovations: Securitized considerations as part of sustainable investing
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    本ウェビナーでは、業界の専門家が下記について考察します。
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    • Are there potential opportunities that may arise from market dislocations that long-term investors should be thinking about?

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  • Title: Yield Book Non-Agency and CRT Experimental Model Update
  • Live at: Sep 17 2020 8:00 pm
  • Presented by: Jake Katz, Director, Director, Non-agency RMBS Modeller, Yield Book Mortgage Research, London Stock Exchange Group
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