Moody’s Launches New Mortgage Portfolio Analyzer (MPA) – NMP Skip to main content

Moody’s Launches New Mortgage Portfolio Analyzer (MPA)

NationalMortgageProfessional.com
Mar 08, 2011

Moody’s Analytics, a provider of enterprise risk management solutions, has announced the release of Mortgage Portfolio Analyzer (MPA), a new risk management and capital allocation tool to help retail portfolio managers analyze and manage the credit risk of their mortgage portfolios. MPA is a full-featured credit risk management, stress testing and capital allocation tool, designed from its inception to provide retail credit portfolio managers with a transparent view into the risk of their mortgage portfolios. Featuring a range of customizable models and forecasting tools, MPA gives retail credit and fixed-income portfolio managers the information they need to hedge or rebalance their portfolios using techniques similar to those widely used for corporate credit risk management. MPA analyzes newly originated, seasoned and delinquent loans, providing a single framework for analysis of all mortgage assets. It is fully integrated with Moody’s Structured Finance Workstation (SFW), allowing institutions to use the same framework to analyze the whole-loan and securitized portions of their portfolios. MPA’s analytic output can also be formatted for use with other waterfall and cashflow products. “MPA is a breakthrough product that brings loan-level analysis detail and enhanced transparency to mortgage portfolios, similar to the products that Moody’s Analytics offers for corporate bond and loan portfolios,” said Roger M. Stein, president of Moody’s Research Labs. “MPA simplifies and streamlines core credit portfolio risk management activities, such as capital allocation, monitoring and transfer pricing, bringing them together within a single, powerful product.” MPA also includes robust simulation tools to model loan-level and portfolio-level performance as they evolve, and to project defaults, prepayments and severity dynamics. In addition, MPA can explicitly model the effect of mortgage insurance at the loan level. Portfolio managers can stress-test portfolios by using macroeconomic scenarios and by shocking default, prepayment and recovery rates directly. Macroeconomic stress-tests may be run using either Moody’s Analytics macroeconomic forecasts or user-defined macroeconomic scenarios. MPA’s models use key macroeconomic data at the national, state and MSA levels including home price changes, unemployment levels and various interest rates. This macroeconomic data is provided by Moody’s Analytics and is refreshed quarterly. MPA was developed by Moody’s Research Labs, Inc., which serves as a research incubator for new quantitative products. MRL’s senior management has led teams that have developed models and risk products used by more than 300 financial institutions around the world for commercial credit risk management, including RiskCalc, LossCalc, GCorr and Risk Frontier. For more information, visit www.moodysanalytics.com.
Published
Mar 08, 2011
FirstClose Receives $35M Investment From Lateral

Fintech says it will use the investment to expand its growing financial services footprint.

Industry News
May 18, 2022
Mortgage News Network Launches Podcast On Helping Underserved Borrowers

'Gated Communities' looks at why homeownership gap is increasing, and what lenders are doing to reverse the trend.

Industry News
May 17, 2022
Class Valuation Appoints EVP Of Valuation Modernization

Cristy Conolly will focus on removing bias from the equation in appraisals.

Industry News
May 17, 2022
Open Mortgage Appoints New Chief Financial Officer

Anthony Nolte, Open Mortgage's CFO since 2019, will transition to chief legal officer.

Industry News
May 17, 2022
Online Brokerage REX Pursues Litigation Against Zillow & NAR

The legal battle between REX Home Loans (Real Estate Exchange, Inc.) and NAR continues to heat up, even though REX is reported to have shut down operations.

Industry News
May 16, 2022
Fannie Mae Seeks Innovative Housing Ideas

Sustainable Communities Innovation Challenge seeks ideas to advance racial equity in housing, focusing on addressing supply, funding and credit barriers.

Industry News
May 16, 2022