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Using the Web DemoEnhanced Characteristics The enhanced inputs that are taken into consideration by the demo are Loan Size, LTV, Credit Score, State, Property Type, Loan Purpose and Occupancy. Uncheck the Use Enhanced Characteristics check box to ignore all enhanced inputs. Setting an enhanced input to -1 or leaving it blank will tell the model to ignore that particular input. In the event that loan size is not supplied, a historical loan size based on the origination date of the collateral is supplied by default. To disable this, uncheck the Use Historical checkbox next to loan size. State loan distribution data is not taken into consideration by default. To set state data choose Custom from the State drop down box. Then click on the update link to its right. A window will pop-up with a text box containing the names of the fifty states and the District of Columbia. Replace a state's name with a value corresponding to the percentage of loans originating from that state. If you don't enter a value for a given state, the value will be zero. Please refer to our online documentation for more information on enhanced characteristics. Interest Rates History - Uses historical values for the rate in question. Going
forward, the last known value of the rate is used. Scenario - Use the Starting Rate and Shift Mortgage Rate or Swap Rate section to set up a scenario for the rates. The starting rate should be entered in percent form. The shift amount corresponds to the total number of basis points the specified rate will shift over the course of the scenario. The shift time corresponds to the length of the scenario in months. For example, if you enter a starting rate of 5%, a shift amount of 200bps, and a shift time of 4 months, the rate vector will start at 5%, increase fifty basis points a month for four month and then remain at 7% for the remaining forecast. Custom - You can enter custom rates if you need more flexibility. Set the drop-box to Custom and click the update link to the right. Clicking the link will display a pop-up window where you can enter a custom rate. Each line corresponds to a month of data. You can enter any number of months for the data. Subsequent months will use the last value entered. Calc from Libor (Mortgage rate only) - Calculates the current coupon from the two and the ten year treasury rates. See this Qualitative Perspectives article for an in depth explanation of our calculation method. Tuning The 5.1 model has two types of tuning. When sensitivity tuning is selected tuning values will only be used when forecasting future prepayments. When model tuning is selected tuning values will be used in both simulating history and forecasting future prepayments. See our online documentation for a description of each of the tuning parameters. Output You may view the output in either CPR or SMM form. There is also a checkbox that you can select to view the prepayments by their individual components: Refi, Turnover, Cashout, and Cure. Note that if you select output as CPR, the sum of the individual components won't equal the total prepayment. |
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