In this issue…
MIAC CORE ™ : Non-Agency Loss Model
Dr. Glenn Mandigo, SVP, Borrower Analytics
Joseph Furlong, SVP, Borrower Analytics
The MIAC CORE™ is the name of MIAC’s new class of behavioral models for all asset classes including residential non-agency whole loans/MSRs, residential agency whole loans/MSRs, commercial whole loans, auto loans, credit cards, unsecured consumer loans, etc. Each of these models has two components – a Voluntary Prepayment Model and a Loss Model. Each of these model components has been built to measure their COnditional REsponse to at least five macro factors required for bank stress testing. Each of these model components is the CORE of MIAC’s cash flow behavior for asset valuation, balance sheet, capital requirements and net interest income simulations. Read more…
Mortgage Servicing Rights Market Update
Michael Carnes, SVP, Capital Markets Group
The Mortgage Servicing Market experienced a significant drop in the number of discrete bulk transactions for the first half of 2015 versus the first half of 2014. However, due to several large portfolio sales by Non-Banks and other Regional Institutions, the actual UPB that changed hands was larger than the first half of 2014. Much of the decline in volume of completed transactions was due to the overall price weakness in the market for both conventional and government portfolios. Prepayment volatility and regulatory uncertainty regarding new capital rules continued to wreak havoc during the entire first quarter where the spread between the sellers’ cost basis and market clearing levels was at its widest point in over two years. This weakness affected both large and small portfolios alike. Further complicating matters was the decline in prices which led to MSR impairments taken by several of the large buyers of MSRs during January and February. Fortunately for market participants, cash flows from new originations continued to be strong, allowing sellers to hold off on executing deals. Read more…
Is the UK Buy-To-Let Sector Resilient to Interest Rate Rise?
Joe Macklin, Senior Manager, Risk & Analytics, MIAC Acadametrics U.K.
The Buy-To-Let (BTL) sector has demonstrated material growth as a sub-market of the mortgage industry in the UK. For potential home owners, buying homes has become a serious challenge from an affordability perspective, contributed to by Mortgage Market Review rules. With house price inflation continuing to outstrip wage inflation a significant proportion of lending activity has been to BTL investors seeking to take advantage of the buoyant private rental sector. Read more…
Download MIAC Perspectives – Summer 2015
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