RiskSpan Introduces Proprietary Measure for Plotting Burnout Effect on Prepays, Adds RPL/NPL Forecasting

Published: Jun. 22, 2022 at 7:00 AM EDT

ARLINGTON, Va., June 22, 2022 /PRNewswire/ -- RiskSpan, a leading provider of residential mortgage and structured product data and analytics, has announced a series of new enhancements in the latest release of its award-winning Edge Platform.

(PRNewsfoto/RiskSpan, Inc.)
(PRNewsfoto/RiskSpan, Inc.)(PRNewswire)

Comprehensive details of these new capabilities are available by requesting a no-obligation demo at riskspan.com.

  • Burnout Metrics MBS traders and investors can now look up a proprietary, cumulative burnout metric that quantifies the extent to which a defined pool of mortgages has continued to pay coupons above refinance rates over time. The metric goes beyond simple comparisons of note rates to historic prevailing rates by also tracking the number of times borrowers have ignored the "media effect" of repeatedly seeing rates reach record lows. Edge users can plot empirical prepay speeds as a function of burnout to help project performance of pools with various degrees of burnout. A virtual walk-through of this functionality is available here.

  • Reperforming Loans Investors in nonperforming and reperforming loans – particularly RPLs that have recently emerged from covid forbearance – can now project performance and cash flows of loans with deferred balances. Edge reads in the total debt owed (TDO) recovery method and has added key output fields like prepaid principal percent reduction and total debt owed to its cash flow report.

  • Hedge Ratios – The Edge Platform now enables traders and portfolio managers to easily compute, in one single step, the quantity of 2yr, 5yr, 10yr, or 30yr treasuries (or any combination of these or other hedges) that must be sold to offset the effective duration of assets in a given portfolio. Swaps, swaptions and other hedges are also supported. Clearly efficient and useful for any portfolio of interest-rate-sensitive assets, the functionality is proving particularly valuable to commercial banks with MSR holdings and others who require daily transparency to hedging ratios.
About RiskSpan, Inc. 

RiskSpan offers end-to-end solutions for data management, historical performance, predictive analytics and portfolio risk management on a secure, fast, and scalable platform that has earned the trust of the industry's largest firms. Combining the strength of subject matter experts, quantitative analysts, and technologists, RiskSpan's Edge platform integrates a range of datasets – structured and unstructured – and off-the-shelf analytical tools to provide you with powerful insights and a competitive advantage. Learn more at www.riskspan.com.

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