LoanDynamics Model

• Voluntary and involuntary prepayments are forecasted within a single framework

• Single family LDM options include transition-based frameworks for handling loans or pools in any delinquency status

• Single family LDM options include a dynamic primary-secondary spread rate model

• Auto LDM includes a two-stage severity model: 1) model probability of repossession; 2) separately model severity for repossessions and non-repossessions

• Users can "tune" the model to address portfolio nuances

• Widespread adoption and internal monitoring provide constant feedback ensuring that LDM maintains its relevance

• Serves as an effective challenge to internal models

• Comprehensive documentation provides total transparency into the model's approach

• User guides and publications discuss timely updates, technology developments and related market issues

• Superior client service is available to support product use and functionality

LoanDynamics can be delivered in multiple ways. LDM is embedded in our applications and is also available through third-party providers. Users can also license the model directly for integration into their own platform. Delivery options include:

• Third-party systems (see Vendors page)
• DLLs (for integration into proprietary systems)
• Kinetics LoanDynamics Module (desktop application, web browser or REST API)
• Indirectly via wholesale agreements
• Excel Spreadsheet

See which vendors have integrated the different versions of LoanDynamics.

For questions on optimal system usage and integrations, please contact us.

The LoanDynamics Excel Spreadsheet is a simple, Excel-based interface and is a useful tool for ad hoc analysis, sensitivity and scenario analyses, validation testing and validation of model results coming from a third-party system.

Our model performance reports compare actual vs. forecasted speeds in various dimensions. Monthly trend reports show how the model has been performing recently, while model backtesting reports demonstrate performance on a larger historical windows. While these static reports are delivered as PDFs, our Mortgage Analysis and Reporting System (MARS) is web-based, capable of running customized performance reports on an on-demand basis.

To address regulatory and industry requirements related to model validation and risk management, we have adopted a formal approach based on the inter-agency guidance of banking regulators. This includes assessing the conceptual soundness of all of our models, validating model results by back-testing, and monitoring the models on an ongoing basis, as new data becomes available and as new model versions are released.

Our market analysis reports consist of a weekly prepayment-risk-and-option-adjusted analysis, across the coupon stack, of the agency and government passthrough markets.

The CRT Monitor is a monthly report analyzing traded tranches of Agency Credit Risk Transfer deals. We derive a credit risk rating, our CreditProfile Category (CPC), the underlying credit metrics, and Option-Adjusted Spreads (OAS) given market levels at the close of a month. The underlying analysis is performed using RiskProfiler, our end-user valuation solution, and LoanDynamics credit model.

HPI Outlook is a quarterly report that explains our forecasts on the 25-MSA Composite Index and five geographical indices: US National Index, Los Angeles, Miami, New York and Phoenix Metropolitan Statistical Areas. These forecasts are generated by our HomePriceDynamics model.