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