Barclays to introduce new model monitoring life of mortgage
Barclays Capital will introduce Friday a new loan-level transition model for investors to track mortgages through the chain of borrower actions and servicer reactions in various pools. The new model can use the borrower's entire payment history to project the timing of prepayments and defaults as well as how many occur in the evaluation of whole mortgage pools. According to BarCap, the model can track prime, Alt-A, subprime or second-lien loans, fixed or adjustable and any term length. The model will also distinguish which second lien mortgages were securitized into stand-alone deals. This option is important when modeling roll rates from 60-plus day delinquency to REO liquidation instead of 60-plus day to foreclosure. This is because most second-lien securitizations require loans to be charged off by the holder once it becomes 180-days delinquent. BarCap also said the model would determine which borrowers have never been delinquent and which current borrowers have been delinquent at some point in the past. This option will be applied to pools in which large numbers of borrowers have been brought current by a modification. The loan-to-values reported on targeted mortgages are calculated using home price indices on the ZIP code level provided by CoreLogic (CLGX). To track the strength in home prices, the model will use year-over-year trends. It will also use metro-level unemployment information to measure economic gains or deterioration since a mortgage in the area was originated. Write to Jon Prior.