Interactive Data's BondEdge Solutions Introduces an Upgraded Mortgage Prepayment Model
Model addresses the prospect of rising rates and accounts for recent regulatory and legislative actions that shape the mortgage market
Jun 18, 2015, 09:00 ET
NEW YORK, June 18, 2015 /PRNewswire/ -- BondEdge Solutions, an Interactive Data company and a leading provider of portfolio management and risk analytics solutions, today announced the availability of its 2015 Prepayment Model. The model leverages data and analytics of the award-winning BondEdge® multi-asset portfolio management and risk analytics platform. The 2015 Prepayment Model is designed to address the dynamics of a higher interest rate environment.
"The effects of recent legislation and regulatory policy on lenders and financial markets continue to influence the behavior of individual mortgage borrowers," explained Bill Burns, PhD, Director of Quantitative Research for BondEdge Solutions. "With the completion of QE3 by the Federal Reserve, and indications that the Fed will begin to raise interest rates, prospective prepayments for mortgage-backed securities will be affected," he added.
The overall effect of the 2015 Prepayment Model on fixed rate mortgage indices will be to extend effective duration which means that the model projects higher price sensitivity to potential interest rate shocks. The 2015 model includes upgrades to the 'S-shaped' refinancing curve, functionality for the 'disincentive effect', and a diffusion based 'burnout' model. The updated model also recognizes the specialized loan level characteristics in newer pool classes, such as high loan-to-value (LTV) and Jumbo/Super Conforming pools, and includes additional loan-level data for collateral backing Agency CMOs. Finally, the 2015 model has flexibility to respond to new government incentive programs or changes to existing programs, such as the Home Affordable Refinance Program (HARP).
"Understanding the impact of interest rate changes on their portfolios is a top priority for our customers in this environment," said Geoff Fite, President of BondEdge Solutions. "As a leading portfolio analytics platform, BondEdge has the tools to help actively manage portfolios with greater confidence."
The 2015 Prepayment Model is available to subscribers of BondEdge 5.4. For additional details, please refer to The 2015 BondEdge® Prepayment Model research publication.
About BondEdge Solutions
BondEdge Solutions, an Interactive Data company, provides high-quality cross-asset portfolio management and risk analytics solutions backed by proprietary quantitative modeling techniques to more than 400 leading banks, investment managers, brokerage firms, insurance companies and pension funds throughout North America. Its flagship offering, BondEdge®, is a cross-asset platform that combines advanced analytics with security master data that provides comprehensive coverage for approximately 2.7 million domestic and international fixed income and equity issues, including a structured finance library of more than 16,000 U.S. structured deals and derivative securities.
For more information about BondEdge, please visit www.bondedge.com
About Interactive Data Corporation
Interactive Data Corporation is a trusted leader in financial information. Thousands of financial institutions and active traders, as well as hundreds of software and service providers, subscribe to our fixed income evaluations, reference data, real-time market data, trading infrastructure services, fixed income analytics, desktop solutions and web-based solutions. Interactive Data's offerings support clients around the world with mission-critical functions, including portfolio valuation, regulatory compliance, risk management, electronic trading and wealth management.
Pricing, evaluations and reference data are provided in the US through Interactive Data Pricing and Reference Data LLC and internationally through Interactive Data (Europe) Ltd. and Interactive Data (Australia) Pty Ltd.
For more information about Interactive Data please visit: www.interactivedata.com.
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SOURCE Interactive Data Corporation
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