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 (Fannie, Freddie, and Ginnie) RMBS prepayment models
• CAS, STACR, and SCRT models

Yield Book’s 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
• HECM model

Yield Book’s suite of predictive models now includes a Non-Agency credit model for conduit commercial mortgage-backed securities (CMBS) to provide investors with a platform to analyse credit risk, exposure, and accurately predict portfolio performance. The multi-level credit model 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
• SASB CMBS Credit model (coming soon)

Yield Book’s Non-Agency RMBS proprietary predictive model comprises of 3 models – the Voluntary Prepayment model, Credit Roll Rate for Delinquencies and Defaults, and the Loss Severity model. We fit these models over extensive historical data on macroeconomic indicatives, key loan, borrower, and property features, and structural institutional considerations of origination and servicing. Our Non-QM capabilities also include an issuer call option model which evaluates the economic incentive to call a deal along each rates path as part of our OAS computation.

• Post-GFC: Jumbo Prime and Non-QM models
• Legacy: Subprime, Alt-A, and Jumbo models
• NPL and RPL models

Yield Book’s new CLO Credit Model is an extension of the existing CLO core offering which traditionally consisted of cash flows and analytics for US and European CLOs. The CLO Credit Model is a loan level model that predicts the likelihood of defaults based on loan attributes and macroeconomic data. It features model dials that allow customers to express their views on certain groups of loans by running several shocks on price, rate, and industry.

• CLO 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 introduced to the UK RMBS 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.

• Japanese Prepayment model
• European RMBS model