CoreLogic (CLGX) and Amherst Holdings will begin forecasting future loan prepayments underlying mortgage-backed securities guaranteed by Fannie Mae and Freddie Mac. CoreLogic will provide the numbers from its database of more than 40 million active mortgages, and Amherst will conduct the analysis and predictions. Amherst will look at repay risks due to refinances, home sales and defaults. The Obama administration is working on a plan to refinance more underwater Fannie and Freddie loans. The likely outcome would be a retooling of the Home Affordable Refinance Program that has helped more than 838,000 borrowers refi into a new mortgage. Agency MBS prepayments spiked in September as mortgage rates continued to fall. Investors, particularly in the higher coupon stacks, are watching the development carefully, and now analytics firms are finding opportunity amidst the uncertainty. Amherst chief analyst Laurie Goodman will provide ongoing commentary as part of the offering. “Agency securities are among the most liquid and widely held fixed-income investments because they offer attractive yields and are implicitly backed by the U.S. Government,” Goodman said. “But the combination of historically low interest rates and unprecedentedly high default rates, which drive buyouts, create significant prepayment exposure.” Write to Jon Prior. Follow him on Twitter @JonAPrior.
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