Yield Book Analytics

Yield Book got involved in the generation Agency RMBS prepayment models in the 1980s. With the rising volume of available data and growing complexities in the global financial system, our proprietary models provide our customers with robust, powerful, and comprehensive analytics to make informed decisions. Clients can identify risks and gain valuable analysis from our Agency RMBS prepayment models which utilizes a rich set of collateral characteristics and key economic drivers in our modelling framework.

• Agency RMBS prepayment model
• HECM model

Yield Book has expanded on its signature RMBS models by adding coverage for Agency CMBS. Our Agency CMBS suite of models and analytical tools provide the ability to analyse GNMA multi-family project loans (GNPL), Fannie Mae DUS securities and Freddie K, SB deals and Multi PC pools. Our offering comprises of complete cashflow, model and analytics coverage. Our models are fully integrated into our existing security analytics (PY, Scenario ROR, cashflows) in the Add-in, Classic and API.

• GN PL model
• Fannie DUS model
• Freddie Multifamily model

In 2022, Yield Book launched a Non-Agency credit model for conduit commercial mortgage-backed securities (CMBS) to provide investors with a platform to analyse credit risk, exposure, and portfolio performance. The Yield Book product suite now includes a multi-level credit model which encompasses private label CMBS data, cashflows, and analytics and seamlessly integrates into our PY and cashflow analytics in the Add-in, Classic and API.

• NAGY CMBS Credit model

LSEG Yield Book has a well-established reputation in the US Non-Agency (NAGY) RMBS space and is recognized and trusted by the industry. We currently cover a range of segments within NAGY RMBS now including Non-QM. We provide enhanced cashflow projections and analytics for NAGY RMBS securities including Price/Yield, OAS, risk metrics, scenario analysis, collateral analysis and actual vs projected CPRs and CDRs.

These are available through all of our offerings – Yield Book Classic, Yield Book Add-in and the Analytics API. As of 2025, we are pleased to announce the addition of Non-QM to our suite of NAGY RMBS credit and prepayment models which previously included Jumbo Prime and Alt-A. The Non-QM offering is comprised of a set of 3 behavioural models fit over extensive borrower loan and property level data – these include the Voluntary Prepayment model, Credit Roll Rate for Delinquencies and Defaults and the Loss Severity model. We also built a rule-based issuer call option model as a supplement based on current market needs.

• Non-QM model
• Jumbo Prime model
• Alt-A model

For more than 30 years, Yield Book has been a trusted source of fixed income analytics for institutional buy-and sell-side clients globally and has perfected its prepayment modelling methodology that is now introducing to the UK RMBS, US CLO and Japanese CMO markets. Yield Book’s methodology has been a market leader in modelling RMBS prepayments and is currently used to model ~$10 trillion of securitizations annually. We are partnering with Trepp to model 3K+ CLO deals. Stay tuned as we plan to introduce a dual credit/prepayment model for this vastly growing market at the end of 2025.

• Japanese Prepayment model
• European RMBS model
• CLO model