What's New at AFT

AFT Prepayment Model Release version 5.4.2

Loan Level Scoring – applications for Loans, AGY Pools, and AGY CMOs
Loan level scoring includes indicatives from five fields to improve your prepayment model results. AFT’s< Score solution simply requires your analytics vendor to add AFT’s score to their infrastructure. The loan level indicatives will consolidate into 2 manageable fields – housing turnover score and refinancing score.

New Sub-prime 1st Lien Model (Fixed and Floating)
AFT has accumulated substantial data sets to release accurate sub-prime, first lien models.

Improved Hybrid Models
AFT has created customized models for both the fixed-rate teaser periods and the ARM period of hybrid collateral.

Prepay Penalty Structures
AFT’s models allow you to utilize prepayment penalty structures directly from data providers such as Intex or internal databases. This interface allows for improved performance of collateral that has embedded prepayment penalty structures.

Deal Specific Prepayment Adjustment (at run time)
Allows users to activate deal specific corrections to future prepayment projections. The AFT library solves for the prepayment adjustments that minimize the model errors relative to actual deal prepayment history and applies these adjustments to future projections (including OAS).

Dynamic Aggregator System

Loan Level Analysis
Prepayment assumptions are the most crucial element driving the valuation of a loan. The first step in understanding the prepayment risk of a portfolio is to understand the differences in the prepayment sensitivity of loans in the portfolio. Loans with the same coupon and maturity may differ greatly in their prepayment propensity and should be analyzed by origination channel, loan size, LTV, location, etc., to understand what factors impact that propensity. AFT has developed software that allows a user to dynamically aggregate all of the data available on a loan portfolio based on any number of axes, and create reports and analyses on those aggregations.

AFT Internal/Custom Prepayment Modeling and Scoring
AFT uses Dynamic Aggregator to build custom models. The Dynamic Aggregator tool is also available to clients on a commercial basis for building internal/custom models and for validation of existing models. Dynamic Aggregator analyzes loan performance relative to:

Distribution Channel
Geographic Location
Loan Program
Loan Size
FICO Score
Borrower Monthly Income
Any number of loan and borrower level fields

Incorporates AFT’s Prepay SCORE Technology
To improve the returns of trading or investing in mortgage assets, AFT has developed a prepayment score. This score acts as a modifier to our standard model that enables a better understanding of prepayment propensity at the loan level. The score was created using loan level data and prepayment histories obtained from various servicing data aggregators. The score considers the effects of many variables on a borrower's relative likelihood to prepay. The variables may include the original loan amount, the loan-to-value ratio, the geographic location and the purpose of the loan and borrower credit. The score expresses the combined effect of all of these variables on the propensity to prepay.

McDash Partnership

Dynamic Aggregator Front End
AFT and McDash have joined forces to combine the functionality of Dynamic Aggregator with the McDash database of 20 million loans. Under the terms of our partnership with McDash, AFT has scored all of the loans in the McDash database. Servicers wishing to obtain scores may do so simply by contacting McDash and asking for scores to be included in their monthly file. Currently, there is no charge for this service.

Comprehensive Loan Level Database

AFT Loan Scoring Web Site (Currently Available)
AFT has created an FTP site for users to send loan level information for the purpose of prepayment scoring and analysis. AFT can calculate short-term speed projections, housing turnover, refinancing scores and all of the economic analysis such as the relative OAS-based economic value of the score, duration and convexity. Economic values allow for a more accurate and intelligent understanding of the real value of loans. The economic value of the score represents a true arbitrage opportunity for the selling and acquisition of loans.