Agency MBS

Agency LDM is designed to evaluate and quantify the credit risk in mortgage assets. It can be used for cash flow projections, bond pricing/valuation, and asset/liability management and hedging. Agency LDM is best for Agency pools, Credit-Transfer Rate (CTR) deals with formulaic severity, Collateralized Mortgage Obligations (CMOs) and TBAs.

Agency LDM+ is a model that evaluates agency collateral and whole loans. It considers the life of loans with foreclosure timelines and severity models. It is the best LDM option for CRT deals with actual severity and whole loans.

LoanKinetics is our proprietary residential whole loan analytical application that allows users to evaluate legacy and new residential loans for credit performance, valuation, loan loss analysis/attribution and stress testing.

RiskProfiler is our comprehensive valuation solution that integrates our LoanDynamics (LDM) Model and OAS Subroutine into a single, flexible platform. It offers built-in reporting and parallel and distributed (cluster) computing, as well as a database in which to store positions and past performance.

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MARS is our web-based reporting system that provides an objective view of actual vs. forecasted results on an on-demand basis. Users can specify the product by vintage and analysis period, coupon bucket or as-of date to generate user-defined displays of how the model is performing versus actual speeds.

Our monthly Agency LoanDynamics model trend reports compare actual historical and model conditional prepayment rates (CPR) for various collateral types with different vintages. Both actual and model-based prepayments are weighted by current pool balance and provide one, three, six- and twelve-month averages.