LSEG Analytics is pleased to announce the addition of the Non-Qualified Mortgage (Non-QM) borrower payment behavioral model (V97) to our suite of credit and prepayment models. Through our analytics platform, Yield Book, we currently cover a range of segments in the US Non-Agency RMBS space which has been growing in issuance and serves many agency ineligible residential borrower circumstances.
The Non-QM offering is comprised of a set of 3 models fit over extensive borrower loan and property level data – these include:
- Voluntary Prepayments model
- Credit Roll Rate model for Delinquencies and Defaults
- Loss Severity model
With a deal coverage of over 90%, we provide enhanced cashflow projections and analytics for these securities to our clients, including Price/Yield, OAS, risk metrics, scenario analysis, collateral analysis, and actual vs projected CPRs and CDRs.
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